| 银行信贷中的行业风险测度 |
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| 引用本文： | 陈红艳,王加中.银行信贷中的行业风险测度[J].金融论坛,2010(12). |
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| 作者姓名： | 陈红艳 王加中 |
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| 作者单位： | 南京工业大学管理科学与工程学院; |
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| 基金项目： | 国家自然科学基金(70801036); 江苏省教育厅高校哲社科研基金(08SJD6300026) |
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| 摘 要： | 中国的商业银行信贷风险测度较多的是针对企业进行,而对企业所属行业的风险考虑不充分。目前针对行业的授信集中度限额并没有统一的规定,而需要基于行业特征因素,在行业授信风险测度的基础上动态地确定,因此有必要研究行业信贷风险的测度。。本文在行业风险测度指标体系设计的基础上,提出了PCA-Logit风险测度模型,并将其应用到制造业中。实证结果显示,根据该模型可以判断各行业违约风险的相对值,正判率达到85.7%。在银行贷款头寸一定的情况下,其相对风险的判断结果可为银行贷款结构的优化调整提供依据。
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| 关 键 词： | 银行信贷 行业风险 风险测度 PCA-Logit模型 |
Measures of the Industry Risk of Bank's Credit |
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| CHEN Hong-yan WANG Jia-zhong.Measures of the Industry Risk of Bank's Credit[J].Finance Forum,2010(12). |
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| Authors: | CHEN Hong-yan WANG Jia-zhong |
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| Institution: | CHEN Hong-yan WANG Jia-zhong |
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| Abstract: | The measures of the Chinese commercial bank's credit risk are taken more to the enterprise's risk,but the enterprise's industry risk has not been adequately considerated.To the concentration limit for industry credits,currently there is no uniform requirement.It needs to be dynamically determined on the basis of industry characteristics and the risk measures of industry credits and therefore,it's necessary to study the risk measures of industry credits.Based on the design of the index system of industry ris... |
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| Keywords: | bank's credit industry risk risk measure PCA-Logit model |
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