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The Research on the Dynamic Early-Warning of Credit Risk Based from the Commercial Banks’ Perspective

Author: WangJian
Tutor: ZhengXiangQing
School: Nanchang University
Course: Industrial Economics
Keywords: Credit risk warning Convergence process Factor Analysis Logistic regression analysis
CLC: F830.33
Type: Master's thesis
Year: 2010
Downloads: 139
Quote: 0
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Abstract


In a market economy under the conditions of commercial bank credit risk is one of the main risk . Competitive environment and the New Basel Capital Accord credit risk management of commercial banks put forward higher requirements, how to determine the credit risk early warning , early warning sound credit risk management of commercial banks , relying on loans for business development in China's major commercial banks to that is very important. Therefore, the credit risk early warning of risks become extremely challenging field of research one of the topics . In this paper, long-term study abroad ignore credit risk early warning data time series prediction feature which led to the presence of errors , they established a 26 financial indicators and non- financial indicators index system, binding factor analysis and Logistic regression analysis method, a suitable for our dynamic company credit risk early warning model . On this basis , select the 146 listed companies as a model the overall sample , the empirical analysis of the model . The results showed that the dynamic created by the credit risk early warning model achieved 87.3% prediction accuracy , test samples prediction accuracy rate reached 83.3% , in line with the expected results, in a large extent, improve the use value of the credit risk warning . Finally, the paper on how to improve credit risk early warning made ??a number of recommendations.

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Financial organizations, banks > Commercial bank
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