管理评论

›› 2012, Vol. 24 ›› Issue (2): 78-87.

• 经济与金融 • 上一篇    下一篇

基于信用评分模型的我国商业银行客户违约概率研究

王颖1,2 ,聂广礼3,4 ,石勇1   

  1. 1.中国科学院虚拟经济与数据科学研究中心，北京 100190;2.中国进出口银行资金运营部，北京 100031;3.北京大学光华管理学院，北京 100871;4.中国农业银行博士后工作站，北京 100005
  • 收稿日期:2012-06-19 修回日期:2012-06-19 出版日期:2012-02-25 发布日期:2012-06-20

An Research on Customers Default Rate of Commercial Banks in China Based on Credit Scoring Models

  1. 1.Research Center on Fictitious Economy and Data Science of CAS, Beijing 100190; 2. The Export-import Bank of China, Beijing 100031; 3. Guanghua School of Management, Peking University, Beijing 100871; 4. Postdoctoral Program of Agricultural Bank of China, Beijing 100005
  • Received:2012-06-19 Revised:2012-06-19 Online:2012-02-25 Published:2012-06-20

摘要： 信用风险是商业银行面临的最主要和最复杂的风险。《巴塞尔新资本协议》对信用风险的计量提出了标准法和内部评级法，指出有条件的银行要实施内部评级法，通过对历史数据构建模型测算客户的违约概率。本文结合内部评级法和我国的实际情况，从客户评级的角度，研究了个人客户违约概率和公司客户违约概率。

关键词: 个人违约概率, 公司违约概率, Logistic回归, 多目标线性规划

Abstract: Nowadays commercial banks are facing more and more complex risk factors. Credit risk is the most important and complex one. Basel II presents two methods on credit risk management including Standard Approach and Internal Rating-Based Approach (IRB). It also points out that banks which are suitable to do so should apply the IRB approach to estimate the probability of customers’ default by constructing models on historical data. Taking the IRB approach and the actual situation in China into consideration, this paper discusses problems of estimating the probability of customers’ default.

Key words: personal default rate, corporate default rate, logistic, MCLP