CAJ | 학술논문

本文以银行业金融机构大额授信风险及零售贷款违约风险数据为基础, 从宏观经济环境、客户信贷行为、企业经营水平三个维度出发,对客户风险预警的相关指标进行系统分析, 构建了企业客户风险预警指标体系, 并利用统计学和数据挖掘方法, 从企业财务、企业信贷行为等客户数据信息中挖掘出隐含在背后的客户风险特征. 在上述分析的基础上, 引入一种基于 Logit与SVM的混合预警模型. 该模型除了具有单个模型的良好基本性质, 还能够充分捕捉和有效刻画影响因素对于客户违约的线性和非线性的复杂特征. 实证结果表明, 新的模型具有更好的泛化能力, 对客户信贷风险具有较高的预警准确率.
본문이은행업금융궤구대액수신풍험급령수대관위약풍험수거 위기출, 종굉관경제배경、객호신 대행위、기업경영수평삼개유도출발,대객호풍험예경적상관지표진행계통분석, 구건료기업객호풍험예경지표체계, 병 이용통계학화수거알굴방법, 종기업재무、기업신대행위등객호수거신식 중알굴출은함재배후적객호풍험특정. 재상술분석적기출상, 인입일충기우 Logit여SVM적혼합예경모형. 해모형제료구유단개모형적량호기본성질, 환 능구충분포착화유효각화영향인소대우객호위약적선성화비선성적복잡특정. 실 증결과표명, 신적모형구유경호적범화능력, 대객호신대풍험구유교고적예경 준학솔.
In this study, based on the data of large credit risk and retail loan default risk of banking and financial institutions, we conducted a systematic analysis of indicators related to client risk early warning. Considering macroeconomic environment, customer credit behavior and enterprise management level, the indicator system of enterprise customer risk warning is established. Meanwhile, with the use of statistical methods as well as data mining skills, we find out the characteristics of customer risk implied in customer data concerning enterprise finance, credit behavior, and so on. According to the above analysis, a hybrid early warning model based on Logit and SVM is proposed, which has good basic properties of a single model and can effectively describe the linear and non-linear features of customer default influenced by different factors. Finally, the empirical results indicate that the new model has more generalization ability and higher accuracy of the credit risk early warning.