| 有序多分类logistic模型在违约概率测算中的应用 |
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| 引用本文： | 彭建刚,屠海波,何婧,周颖辉.有序多分类logistic模型在违约概率测算中的应用[J].财经理论与实践,2009,30(4). |
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| 作者姓名： | 彭建刚 屠海波 何婧 周颖辉 |
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| 作者单位： | 湖南大学金融学院,湖南,长沙,410079 |
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| 基金项目： | 国家自然科学基金项目(70673021);;教育部博士点基金项目(20060532011) |
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| 摘 要： | 初始违约概率的测算是商业银行实施经济资本管理的必要环节。针对我国商业银行的现状,结合贷款五级分类,通过对银行的公司类客户的财务指标作时间加权化处理、因子分析、ROC检验以及使用有序多分类logistic模型对初始违约概率的测算作了有价值的探索,并通过算例分析论证了其可行性。
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| 关 键 词： | 违约概率 因子分析 有序多分类Logistic模型 |
The Application of Ordered Logistic Regression Model in the Default Probability Measure |
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| PENG Jian-gang,TU Hai-bo,HE Jing,ZHOU Ying-hui.The Application of Ordered Logistic Regression Model in the Default Probability Measure[J].The Theory and Practice of Finance and Economics,2009,30(4). |
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| Authors: | PENG Jian-gang TU Hai-bo HE Jing ZHOU Ying-hui |
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| Institution: | College of Finance;Hunan University;Changsha;Hunan 410079;China |
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| Abstract: | The initial default probability measure is an important aspect in the economic capital management of commercial bank.In the light of the present status of China's commercial banks,combined with loan's five-level classification,the paper makes valuable research to initial default probalility measure through time-weighted treatment on the financial indicators of the bank's corporate customers,the factor analysis,the ROC examination and the use of ordered logistic regression model,and proves its feasibility th... |
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| Keywords: | Probability of default Factor analysis Ordered logistic regression model |
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