基于信用评分模型的我国商业银行客户违约概率研究被引量：20

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

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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。 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.

作者王颖聂广礼石勇

机构地区中国科学院虚拟经济与数据科学研究中心中国进出口银行资金营运部北京大学光华管理学院中国农业银行博士后工作站

出处《管理评论》 CSSCI 北大核心 2012年第2期78-87,共10页 Management Review

基金国家自然科学基金项目(70921061 71110107026 71071151 70871111) 中国科学院研究生科技创新与社会实践专项中国科学院国家外国专家局创新团队国际合作伙伴计划项目

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 personal default rate corporate default rate logistic MCLP

分类号 F224 [经济管理—国民经济] F832.33 [经济管理—金融学]

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参考文献20

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