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The Research on the Probability of Default Measure on the Basis of Logistic Model

Author: TuHaiBo
Tutor: PengJianGang；LiuXiPing
School: Hunan University
Course: Finance
Keywords: Corporate loans Probability of default Factor Analysis Ordinal classification Logistic Model ROC analysis
CLC: F830.5
Type: Master's thesis
Year: 2009
Downloads: 553
Quote: 2
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Abstract


The probability of default in the credit risk management of commercial banks , the possibility of the borrower in the future a certain period of time can not be required under the contract to repay the principal and interest of bank loans or to fulfill its obligations . Estimates of the probability of default of the borrower , has been listed as the key elements of the IRB of the New Basel Capital Accord , is an important part of the modern commercial bank credit risk management . In this paper, the original data is lost in the General Logistic Default Model , multicollinearity , and did not consider the time factor , logistic probability of default calculation model based on factor analysis . Joined on the time-weighted method , considering the time cycle ; improved general logistic probability of default calculation model by introducing the factor analysis method , while not missing variable makes the model appear to be saving to expand the application of the logistic model estimates the probability of default range , and then use the data to carry out a numerical example , demonstrated the feasibility of the method . The general binary logistic model only divided into the breach and does not breach the two states , is relatively simple . In this paper, the actual situation of China 's commercial banks , according to their post after the loan according to the borrower's repayment ability of the five classification of loan quality , the binary logistic model extended to multi- classification logistic model can make full use of existing information , more accurate estimates of the probability of default . The convergence estimates the final probability of default estimates of probability of default of this article and loans thus obtained the probability of default has taken into consideration the customer 's financial data to consider the customer's history of non-compliance , and improve the accuracy of the bank estimates the loan default probability of corporate customers , thus , the implementation of economic capital measurement RAROC performance appraisal , and provide a basis for improved loan pricing . Finally, we made ??a number of recommendations on commercial banks is how to effectively use the default probability calculation method proposed in this paper .

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Credit
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