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| 信贷违约率实证分析 | |
| 引用本文： | 顾乾屏,孙晓昆,陈兵,蒋林宏,闻国平.信贷违约率实证分析[J].北京工商大学学报(自然科学版),2007,25(2):66-71. |
| 作者姓名： | 顾乾屏 孙晓昆 陈兵 蒋林宏 闻国平 |
| 作者单位： | 1. 清华大学,经济管理学院,北京,100084 2. 北京大学,工学院,北京,100081 3. 中国工商银行,青岛分行,山东,青岛,266071 4. 中国工商银行,重庆分行,重庆,400060 5. 中国工商银行,江西分行,江西,南昌,330008 |
| 摘 要： | 运用商业银行多年积累的大量真实数据,统计得到了银行客户多年度的、不同信用等级的、分行业、分地区的违约率,并进行了拟合分析.基于此,结合企业的财务数据,运用Logit回归模型,得到了客户的模型违约率.这些数据和技术方法可以提供商业银行进行信用风险管理时使用. |
| 关 键 词： | 违约率 Logit回归 商业银行 信贷 |
| 文章编号： | 1671-1513（2007）02-0066-06 |
| 收稿时间： | 2007-01-10 |
| 修稿时间： | 2007年1月10日 |
EMPIRICAL ANALYSIS OF DEFAULT PROBABILITY OF CREDIT |
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| GU Qian-ping,SUN Xiao-kun,CHEN Bing,JIANG Lin-hong,WEN Guo-ping.EMPIRICAL ANALYSIS OF DEFAULT PROBABILITY OF CREDIT[J].Journal of Beijing Technology and Business University:Natural Science Edition,2007,25(2):66-71. | |
| Authors: | GU Qian-ping SUN Xiao-kun CHEN Bing JIANG Lin-hong WEN Guo-ping |
| Institution: | 1. School of Economics and Management, Tsinghua University, Beijing 100084, China ; 2. College of Engineering, Peking University, Beijing 100081, China;3. Qingdao Branch of Industrial and Commercial Bank of China, Qingdao 266071, China ;4. Chongqing Branch of Industrial and Commercial Bank of China, Chongqing 400060, China ;5. Jiangxi Branch of Industrial and Commercial Bank of China, Nanchang 330008, China |
| Abstract: | With a great deal of true data from the commercial bank,this paper uses the statistical principle to calculate the default probability of bank's customers in different years,several rating degrees,many industries and divided districts,and to make the regression of the default probability.And then,combined with the financial indicator,this paper calculates the probability of default for the individual company by the Logit model.The results and techniques can be used by commercial banks to manage the credit risk. |
| Keywords: | probability of default logit regression commercial bank credit |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |