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A commercial bank customer credit rating methodology and empirical analysis

Author: XuGuangYong
Tutor: WeiGang
School: Shandong University
Course: Financial Mathematics and Financial Engineering
Keywords: Credit Rating The probability of default Logistic regression IV ROC curve
CLC: F830.4
Type: Master's thesis
Year: 2010
Downloads: 309
Quote: 2
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Abstract


Commercial banks operating process faces many risks , including credit risk of commercial banks are facing one of the major risks , so the importance of credit risk management is particularly prominent . Basel II recommendations commercial banks to establish a sound internal credit rating system in order to improve the level of credit risk management . Internal customer credit rating is an important part of the credit rating , it can quantify the credit risk of borrowers to calculate the probability of default of customers , customer credit rating . So customer credit rating in the importance of credit risk management is self-evident . This paper describes a customer credit rating , the method steps are: 1 . Calculation of financial indicators weight of evidence (WOE), information value (Ⅳ) equivalent , for an initial logistic regression selected indicators ; 2 Logistic regression obtained through calculation of default probability model ; 3 . use Kolmogorov-Smirnov test ( KS test referred to ), ROC curve , testing ability to distinguish between default probability models and accuracy , and finally determine customer credit rating model . This method differs from the traditional choice of indicators on principal component analysis, factor analysis method, which introduces the theory of linear Ⅳ combined WOE goodness of fit , direct selection and default correlation strong, and risk trends linearly indicators ; Logistic regression calculation in the credit rating of the core elements - the probability of default , we do not use a variable sequence method , the original index value instead of using the value of the interval WOE improved Logistic regression toughness, reduce the influence of outliers . Another article with reality, the use of a large commercial bank's IT industry, the actual data , the empirical research has been the bank's IT industry, customer credit rating model . Thus demonstrate the feasibility of this approach .

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