动态信用评分的模型与方法综述

Abstract

随着我国经济的飞速发展和新巴塞尔资本协议在全球迅速推进，个人信用评分的重要性日益加强。由于个人信用的动态变化、信用评分目的转变、经济形势对信用评分的影响，采用动态信用评分方法势在必行。国内对动态信用评分模型的研究非常少，为推动动态信用评分的发展，本文回顾了动态信用评分的发展历程，介绍了Markov链、生存分析以及最新的基于数据挖掘的动态信用评分方法，介绍了它们的最新运用，同时分析了它们的特点。分析了国内实行动态信用评分的困难和挑战, 展望了国内实施动态信用评分的前景。 With the rapid development of China’s economy and the advance of the Basel 2 accord all around the world, personal credit scoring is more and more important. It is imperative under the situation to adopt the dynamic credit scoring methods for personal credit score is dynamic changing and the purpose of credit scoring is changed. There is little research on dynamic credit scoring and no research based on the Chinese credit data. For the sake of the development of dynamic credit scoring, we reviewed the development of dy- namic credit scoring, introduced Markov chain, survival analysis, and dynamic credit scoring based on data mining proposed recently, analyzed their advantage and weakness. Finally, the existing problems and the fu- ture direction in this field are discussed.