Abstract
Abstract This paper takes the credit risk management of commercial banks in China as the mainline, and puts forward a quantitative model that is suitable for the credit risk management of commercial banks in China at present – Logistic regression model, and takes a commercial bank as an example, using the regression model to conduct empirical research on the credit risk of enterprises. The estimated Logistic model was tested with confirmation samples. The results show that when the cut-off point is set to 0.5, the overall correct rate of the model for the credit risk measurement of natural persons and for enterprises reaches 84.9% and 88%, respectively. When the cut-off point is set at 0.7, the overall accuracy is 89.2%. In general, the results of credit risk measurement of bank customers by the Logistic model are quite satisfactory. The Logistic Regression model is easy to understand and efficient, so it is worth popularising and putting into practice in commercial banks in China.
Highlights
In recent years, with the reform of China’s financial system, the opening of the financial industry to the outside world, the continuous entry of foreign banks, the emergence of financial innovation and the diversification of banking business, China’s banking industry is facing a huge challenge to participate in international competition
According to the information provided by the five-level classified information system of enterprise loan of a commercial bank in the province, this paper randomly selects the data of one enterprise as the forecast sample and uses it to estimate the Logistic model
The purpose of this paper is to establish a Logistic model to judge the credit risk of an enterprise based on the financial data provided by the enterprise and some qualitative indicators to measure the nature of the enterprise, which is represented by the probability P-value
Summary
With the reform of China’s financial system, the opening of the financial industry to the outside world, the continuous entry of foreign banks, the emergence of financial innovation and the diversification of banking business, China’s banking industry is facing a huge challenge to participate in international competition. In this situation, China’s commercial banks should learn from the international advanced credit risk management experience, research the credit risk management technology suitable for China’s banks, to narrow the gap with other countries’ banking industry and improve the overall competitiveness of China’s banking industry. The current research on credit risk measurement in China is more about the application of various methods proposed by the West, to evaluate the advantages and disadvantages of various methods, providing a good reference for the practice of credit risk of commercial banks
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