财经理论与实践
財經理論與實踐
재경이론여실천
The Theory and Practice of Finance and Economics
2009年
4期
2~7
,共null页
彭建刚 屠海波 何婧 周颖辉
彭建剛 屠海波 何婧 週穎輝
팽건강 도해파 하청 주영휘
违约概率 因子分析 有序多分类Logistic模型
違約概率 因子分析 有序多分類Logistic模型
위약개솔 인자분석 유서다분류Logistic모형
Probability of default; Factor analysis; Ordered logistic regression model
初始违约概率的测算是商业银行实施经济资本管理的必要环节。针对我国商业银行的现状，结合贷款五级分类，通过对银行的公司类客户的财务指标作时间加权化处理、因子分析、ROC检验以及使用有序多分类logistic模型对初始违约概率的测算作了有价值的探索，并通过算例分析论证了其可行性。
初始違約概率的測算是商業銀行實施經濟資本管理的必要環節。針對我國商業銀行的現狀，結閤貸款五級分類，通過對銀行的公司類客戶的財務指標作時間加權化處理、因子分析、ROC檢驗以及使用有序多分類logistic模型對初始違約概率的測算作瞭有價值的探索，併通過算例分析論證瞭其可行性。
초시위약개솔적측산시상업은행실시경제자본관리적필요배절。침대아국상업은행적현상，결합대관오급분류，통과대은행적공사류객호적재무지표작시간가권화처리、인자분석、ROC검험이급사용유서다분류logistic모형대초시위약개솔적측산작료유개치적탐색，병통과산례분석론증료기가행성。
The initial default probability measure is an important aspect in the economic capital management of commercial bank. In the light of the present status of China＇s commercial banks, combined with loan＇s five - level classification, the paper makes valuable research to initial default probalility measure through time -weighted treatment on the financial indicators of the bank＇s corporate customers, the factor analysis, the ROC examination and the use of ordered logistic regression model, and proves its feasibility through the example analysis.
