基于违约成本的银行信贷风险管理

银行贷款的风险管理是关系到整个金融系统稳定的重大问题。本文利用logit方法以及人民银行提供的信贷数据库,根据相关的变量建立模型,并分析了该模型对贷款违约的预测能力。与以前的研究不同,我们的研究着重考虑了违约成本在贷款决策中影响,给予一类、二类错误不同的权重,这样的预测模型能更好地符合银行实际操作的需求。本文的研究也可以作为银行内部风险管理的参考。

Bank loaning risk management basing on breach of faith

The risk management of loans is crucial to stabilize the social financial system.Basing on the loan database from the People's Bank of China,we applied the logit method to construct the risk management models that are able to forecast the default probabilities of bank loans.Differing from other studies,we think that default costs are important in decision of loans.In our model,we give different weights to type one and type two error,that would be suitable to fit the process of loan decisions in reality.Our models are valuable for loan managers to make loan decisions and review their existing loan portfolios.