發(fā)布時(shí)間：2018-07-15 09:41

【摘要】：由于我國(guó)銀行的商業(yè)化改革剛剛起步,法律、法規(guī)、數(shù)據(jù)和管理方法等還很不完善,這些都是產(chǎn)生金融風(fēng)險(xiǎn)的因素,其中信用風(fēng)險(xiǎn)是我國(guó)商業(yè)銀行面臨的最主要風(fēng)險(xiǎn).我國(guó)加入WTO后,金融市場(chǎng)進(jìn)一步對(duì)外開(kāi)放,當(dāng)前我國(guó)商業(yè)銀行面臨的主要任務(wù)是如何采取積極有效地措施與國(guó)際銀行業(yè)接軌,這些任務(wù)首當(dāng)其沖的是如何管理信用風(fēng)險(xiǎn).《新巴塞爾協(xié)議》的實(shí)施要求銀行建立完整的內(nèi)部信用評(píng)級(jí)體系,對(duì)客戶進(jìn)行信用評(píng)級(jí),量化貸款客戶的信用風(fēng)險(xiǎn).本文通過(guò)建立違約概率模型來(lái)預(yù)測(cè)客戶違約情況,進(jìn)一步加強(qiáng)商業(yè)銀行信用風(fēng)險(xiǎn)的管理. 本文中的違約概率模型是基于Logistic回歸分析。首先,采用逐步向后選擇法進(jìn)行模型指標(biāo)的篩選。其次,通過(guò)Logistic回歸得到違約概率模型.最后,我們利用Kolmogorov-Smirnov檢驗(yàn)(簡(jiǎn)稱K-S檢驗(yàn))與ROC曲線來(lái)檢驗(yàn)?zāi)Ｐ蛥^(qū)分違約客戶的能力和準(zhǔn)確度,最后確定違約概率模型.并且通過(guò)某商業(yè)銀行的真實(shí)數(shù)據(jù)來(lái)對(duì)我們所建立的模型進(jìn)行實(shí)證分析研究,得出結(jié)論.
[Abstract]:As the commercial reform of Chinese banks has just started, the laws, regulations, data and management methods are still very imperfect, these are the factors that produce financial risks, among which the credit risk is the most important risk faced by commercial banks in our country. After China's entry into WTO, the financial market is further opened to the outside world. At present, the main task facing our commercial banks is how to take active and effective measures to connect with the international banking industry. The implementation of Basel II requires banks to establish a complete internal credit rating system, credit rating for customers, and quantify the credit risk of loan customers. In this paper, the default probability model is established to predict the customer default and further strengthen the credit risk management of commercial banks. The probability model of default in this paper is based on Logistic regression analysis. First, the stepwise backward selection method is used to screen the model indexes. Secondly, the probability model of default is obtained by logistic regression. Finally, we use Kolmogorov-Smirnov test (K-S test for short) and ROC curve to test the model to distinguish the ability and accuracy of default customers, and finally determine the default probability model. And through the real data of a commercial bank to make an empirical analysis of our model, draw a conclusion.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F224;F832.33

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