【摘要】：中國的商業(yè)銀行開展客戶評(píng)級(jí)、貸款評(píng)級(jí)的的時(shí)間不是太長，數(shù)量也不多，目前還沒有一套科學(xué)的成熟可靠的信用評(píng)級(jí)體系。各以工農(nóng)中建四大國有商業(yè)銀行為首的中國商業(yè)銀行正在摸索和建設(shè)自己的內(nèi)部評(píng)級(jí)體系。但是我國目前既沒有建立一個(gè)比較權(quán)威性的第三方評(píng)估機(jī)構(gòu)，又缺乏一套科學(xué)而有效的評(píng)級(jí)體系。沒有制定行業(yè)內(nèi)通行的統(tǒng)一規(guī)范，，各家商業(yè)銀行推行自己的客戶評(píng)級(jí)標(biāo)準(zhǔn)。同一公司客戶在不同銀行的信用評(píng)級(jí)結(jié)果差異頗大。而國外發(fā)達(dá)國家，既有正規(guī)的第三方評(píng)級(jí)機(jī)構(gòu)，也有可靠而有效的評(píng)級(jí)體系。國內(nèi)商業(yè)銀行的信用風(fēng)險(xiǎn)管理水平和意識(shí)還有待加強(qiáng)和提高。由于信用評(píng)級(jí)結(jié)果的可靠性取決于參與評(píng)級(jí)客戶所提供數(shù)據(jù)的真實(shí)性，故根據(jù)銀行內(nèi)部信貸數(shù)據(jù)來構(gòu)建一套客戶信用風(fēng)險(xiǎn)評(píng)級(jí)體系顯得尤為重要。 本文首先介紹了信用風(fēng)險(xiǎn)的定義、新巴塞爾協(xié)議下的內(nèi)部評(píng)級(jí)法（IRB）的主要內(nèi)容。對(duì)比分析了國內(nèi)外對(duì)違約概率模型PD的研究情況。接著介紹了工商銀行湖南分行內(nèi)部信用評(píng)級(jí)工作的開展情況，對(duì)比分析了工商銀行內(nèi)部評(píng)級(jí)一期和二期項(xiàng)目所取得的成就及不足之處。最后運(yùn)用Logistic回歸模型對(duì)湖南工行所屬的企業(yè)客戶進(jìn)行實(shí)證分析，構(gòu)建湖南工行企業(yè)信用風(fēng)險(xiǎn)評(píng)估模型。在模型的構(gòu)建時(shí)，隨機(jī)選取了72家企業(yè)作為建模樣本組，隨機(jī)選取了58家企業(yè)作為檢驗(yàn)樣本組，通過處理樣本企業(yè)2012年的數(shù)據(jù)得到相應(yīng)的40個(gè)財(cái)務(wù)指標(biāo)，利用SPSS軟件進(jìn)行正態(tài)性檢驗(yàn)、假設(shè)檢驗(yàn)、相關(guān)性檢驗(yàn)來篩選指標(biāo)，最后再利用Logistic回歸模型對(duì)篩選出來的指標(biāo)進(jìn)行回歸分析。 通過使用檢驗(yàn)樣本組對(duì)該模型進(jìn)行驗(yàn)證，發(fā)現(xiàn)該模型的準(zhǔn)確率達(dá)到了84.5%。本文所得出的公司客戶信用評(píng)價(jià)模型對(duì)于湖南工行現(xiàn)有的情況來說是較為有效的。
[Abstract]:China's commercial banks carry out customer rating, loan rating is not too long, the number is not much, there is no scientific and reliable credit rating system. China's commercial banks, led by four state-owned commercial banks, are groping and building their own internal rating system. However, there is neither an authoritative third-party evaluation institution nor a scientific and effective rating system in China. There is no uniform standard in the industry, commercial banks promote their own customer rating standards. The credit rating results of the same company's customers in different banks vary greatly. Foreign developed countries, both formal third-party rating agencies, but also reliable and effective rating system. The credit risk management level and consciousness of domestic commercial banks need to be strengthened and improved. Because the reliability of the credit rating results depends on the authenticity of the data provided by the participating rating customers, it is particularly important to construct a set of customer credit risk rating system based on the internal credit data of the bank. This paper first introduces the definition of credit risk and the main content of (IRB). The research of default probability model (PD) at home and abroad is compared and analyzed. Then it introduces the development of the internal credit rating of ICBC Hunan Branch, and compares and analyzes the achievements and shortcomings of ICBC's internal rating projects in the first and second phases. Finally, the Logistic regression model is used to analyze the customers of Hunan Industrial and Commercial Bank of China (ICBC), and the credit risk assessment model of ICBC is constructed. When the model was constructed, 72 enterprises were randomly selected as modeling sample group, 58 enterprises were randomly selected as test sample group, and 40 financial indexes were obtained by processing the data of sample enterprises in 2012. The SPSS software is used for normality test, hypothesis test and correlation test to screen the indexes. Finally, the Logistic regression model is used to analyze the selected indexes. It is found that the accuracy of the model is 84.55by using the test sample group to verify the model. The customer credit evaluation model obtained in this paper is effective for the current situation of Hunan Industrial and Commercial Bank of China (ICBC).
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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