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Study on the Measurement of Credit Risk Identification of the Credit Card

Author: WuLiYa
Tutor: ShenPeiLong
School: Shanxi University of Finance
Course: Finance
Keywords: Credit card IRB Credit scoring techniques Credit Risk
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 143
Quote: 0
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Abstract


The credit card business as a bank intermediary business in China started relatively late , but the credit card in China 's major commercial banks business has become one of the most profitable products . According to McKinsey predicts that China 's credit card market exponentially growth to profits in 2013 will reach 130-140 billion yuan, becoming the core business of commercial banks and the main source of profits . With the full liberalization in the financial sector in China , some foreign banks have already by way of joint venture , cooperation , tentacles into this area , intensifying competition in the domestic credit card business . At the same time , the credit card business, the risks should not be overlooked , Basel Ⅲ recommendations issued credit card business risk management provisions , which expressly provides that the credit card capital accrual method . Description of credit risk research and management more and more attention , and credit card defaults imperative . The main work of this paper is to master the system theory of credit cards , the use of several credit scoring technology to build an integrated model for credit card defaults . The contents of this article includes the following five areas : ( 1 ) describes the basic theory of credit and credit risk , and also explained the credit card research status at home and abroad ; ( 2) describes the provisions of the New Basel Capital Accord of the retail business (credit card ) and the IRB , and summarize and generalize the method of calculation of the risk factors in the credit card capital extraction ; (3 ) introduced a credit scoring technology may be used in the model . (4) through the use of credit scoring techniques , comprehensive scorecard model , the neural network model and Logistic regression model , the default rate for credit cards to establish two integrated model : integrated scorecard model , logistic regression model and integrated scorecard model, BP neural network model and logistic regression model . (5) collected 15 group of customers basic information , Eviews software to build integrated scorecard model , Logit model Logistic regression , and ultimately determine the main factors affect the credit card default rates of 15 customers and model the determination of the model is conducive to the commercial banks to establish dynamic supervision and prevention of credit card defaults management system , to provide a theoretical basis to reduce our credit card defaults .

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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