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The Expirical Sduty on Credit Risk Evaluation of Business Loan in Chinese Commerical Banks

Author: HuXue
Tutor: CaiMingChao
School: Shanghai Jiaotong University
Course: Finance
Keywords: Credit risk Credit score Logit method Principal Component Analysis
CLC: F832.4
Type: Master's thesis
Year: 2007
Downloads: 565
Quote: 3
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Abstract


Of this thesis for the commercial banks in corporate lending credit risk assessment. Credit scale and complexity of modern financial markets exacerbated the bank is exposed to credit risk, the establishment of internal credit risk assessment system in China's commercial banks, for the banks to provide accurate and easy business loans credit risk assessment methodology has important theoretical and practical significance. Papers from the Current Theories of credit risk assessment at home and abroad, the paper introduces three categories of credit risk assessment methodology, namely the classical credit evaluation, credit score and modern credit risk estimation models. Through a comprehensive comparison of the three types of assessment methods in the theory and practical application level, a detailed analysis of each type of credit risk evaluation of the respective applications, advantages and disadvantages: classical credit evaluation method subjective, fails accurate and suitable for China's small consumer credit risk assessment; modern credit risk measurement model for state-of-the-art comprehensive, but the conditions are not yet ripe in China; credit score both practical and objectivity, suitable for Chinese enterprises credit risk assessment . Paper thus describes and compares several commonly used credit score modeling methods - discriminant analysis method, Logit method and neural network method, the final choice of high accuracy, simple Logit as our corporate credit risk assessment model to empirical analysis. Papers in the empirical study of listed companies as the research object, the credit risk of the enterprise to quantify the probability of default, and select the 2001-2006 implementation ST sample as a \shares as a \T-test screening assessment indexes, the first primaries of the original financial indicators, screened out of the 13 indicators there are significant differences in the two types of enterprises; excluding multicollinearity between the indicators and then using principal component analysis, extract to reflect the corporate solvency, profitability, capital structure and operating capacity of the four main ingredients to build a model of the final evaluation. 2004-2006 sample, as estimated sample, were constructed of one-year and two-year the Logit credit risk prediction model; 2001-2003 samples as a test sample to determine the build model to predict the stability of the force sex. The empirical results show that, to build a one-year the Logit credit risk prediction model overall discriminant accuracy rate of more than 80%, can distinguish between \similar results, with good stability and reasonable economic significance. Paper empirical results show that the financial data logit modeling to assess the credit risk of Chinese listed companies is feasible, suitable as China's commercial banks' internal credit risk assessment system for corporate loan credit risk assessment methods. In practical application, should uphold the credit score-based, supplemented by expert scoring method, a combination of qualitative analysis and judgment of the credit score results, to maximize the accuracy of assessment, reducing the bank's credit risk exposure.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Credit
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