违约率评估因素与指标确定及其重要度排序实证研究

违约率的评估已被巴塞尔新资本协议列为关键内容,而违约率影响因素与指标的确定及其重要度测算则是评估的首要基础和关键。论文结合中国转轨经济下企业信用评估的实际,运用历史经验法、全国范围内信用评估专家的大型问卷调查和层次分析法(AnalyticalHierarchyProcess,AHP)相结合的方法,在国内首次对影响违约率的因素和指标进行系统整合、分析与逐层筛选,最后确定出了影响中国贷款企业违约率的因素和指标,测算出了各个因素和指标的重要度排序。实证研究的结果可以为国内商业银行和评级公司对企业信用风险评估提供重要的应用参考价值。

Empirical Study on the Determining and Weightiness of Factors and Index Affecting Firm's PD

The Measurement and Evaluation on Possibility of Default (PD) have been listed as crucial part of IRB(Internal Rating-Based) in the New Basel Capital Accord, while the determining of factors and index affecting PD is of very importance. Based on the credit evaluation situation of loan firms in China, the paper firstly use the History Experience, Questionnaire Inquiry, and AHP to systematic conformity, analyze and filter the factors and index affecting the PD, and then determines the key factors and index, as well as measuring their weightiness for loan firms in China. The empirical study can provide the important reference for the credit evaluation of commercial banks and rating agency.