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| 信用风险的两阶段非线性变量边界Logit模型实证研究 | |
| 引用本文： | 顾乾屏,孙晓昆,吴斌,张林.信用风险的两阶段非线性变量边界Logit模型实证研究[J].系统管理学报,2008,17(6). |
| 作者姓名： | 顾乾屏 孙晓昆 吴斌 张林 |
| 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,北京,100871 3. 中国工商银行上海分行,上海,200120 4. 中国工商银行湖南张家界分行,湖南张家界,427000 |
| 摘 要： | 为有效测度公司的信用风险,基于统计、结构、简约模型原理,利用某商业银行的数据,得到了多个具有较高回判精度的实证模型,并比较了不同模型的相关性和特点,由此提出了一个回判率为88%的两阶段非线性变量边界Logit模型.认为,统计、结构、简约模型对信用风险的计量具有相关性和一定的互补性,可根据信息掌握情况选用不同模型有效预测风险,信息收集与模型技术改进间具有一定的替代性. |
| 关 键 词： | 信用风险 违约概率 统计模型 结构模型 简约模型 |
Empirical Research of Two-stages Non-linear Parameter Bounded Logit Model for Credit Risk |
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| GU Qian-ping,SUN Xiao-kun,WU Bin,ZHANG Lin.Empirical Research of Two-stages Non-linear Parameter Bounded Logit Model for Credit Risk[J].Systems Engineering Theory·Methodology·Applications,2008,17(6). | |
| Authors: | GU Qian-ping SUN Xiao-kun WU Bin ZHANG Lin |
| Institution: | 1.School of Economics and Management;Tsinghua University;Beijing 100084;China;2.College of Engineering;Peking University;Beijing 100871;3.Shanghai Branch of Industrial and Commercial Bank of China;Shanghai 200120;4.Zhangjiajie Branch of Industrial and Commercial Bank of China;Hunan Zhangjiajie 427000;China |
| Abstract: | In order to measure the credit risk of the company effectively,according to statistical,structural,reduced-form approach,making use of the data of the commercial bank,the paper gets some emprical models which have higher accuracy of judgement,and compares the relativity and characteristics of different models,presents a two-stages non-linear parameter bounded Logit model which has an accuracy of 88%.The paper demonstrates that statistical,structural,reduced-form approach has a relativity and interconnection... |
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