行为评分模型在个人信用评估应用中的实证研究被引量：5

An Empirical Study on the Application of Behavior Scoring Model to Personal Credit Scoring

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摘要本文将Logistic模型和马尔科夫链模型相结合,在Logistic模型的基础上综合考虑客户行为状态的变化,将其加入信用评估模型中,得到优于单一运用Logistic模型的结果,据此得到的动态信用评分,为商业银行信贷决策及客户关系管理决策提供更有力的依据。 This paper uses two methods, ie, behavior scoring and credit scoring, to handle the collected data and form a mixed evaluation method of personal credit scoring. Based on the analysis and comparison of the data, we get a more efl＇ective credit evaluation model, which shows analysis accuracy and predict stability. This research on the mixed evaluation method of personal credit can efl＇ectively lower the credit risk of commercial banks and make the decision-making on customer relationship management more efl＇ective.

作者莫茜高峰董纪昌

机构地区中国科学院研究生院管理学院中国民生银行北京管理部

出处《国际金融研究》 CSSCI 北大核心 2008年第7期45-51,共7页 Studies of International Finance

关键词个人信用评估行为评分信用评分马尔科夫链 LOGISTIC回归 Personal Credit Scoring Behavior Scoring Credit Evaluation Markov Chain Logistic Regression.

分类号 F831 [经济管理—金融学]

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参考文献10

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二级参考文献6

1[1]Thomas,L.C.(2000).A survey of credit and behavioural scoring:forecasting financial risk of lending to consumers. International Journal of Forecasting 16,149-172.
2[2]Cyert,R.M.,Davidson,H.J.,＆ Thompson,G.L.(1962). Estimation of allowance for doubtful accounts by Markov chains. Management Science 8,287-303.
3[3]Fryman,H.,Kallberg,J.G.,＆ KAO,D.L.(1985).Testing the adequacy of Markov chains and Mover Stayer models as representations of credit behaviour. Operations Research 33,1203-1214.
4[4]Banasik,J.,Crook,J.N.＆ Thomas,L.C.(1996).Does scoring a subpopulation make a difference?International Review of Retail,Distribution and Consumer Research 6,180-195.
5[5]Michael Banasiak.(2001).Behavior scoring. Business Credit 103,52-55.
6[6]Rosenberg,E.,＆ Gleit,A.(1994).Quantitative methods in credit management: a survey. Operations Research 42,589-613.