信用评分系统的建模及其验证研究  

Modeling of Credit Scoring System and its Empirical Study

作　　者：程建[1] 连玉君[1] 

机构地区：[1]西安交通大学金禾经济研究中心

出　　处：《国际金融研究》2007年第6期50-59,共10页Studies of International Finance

摘　　要：《巴塞尔新资本协议》鼓励银行采用内部评级法评估信用风险,但要求所采用的评分系统必须提供建模过程说明与验证结果。本文按照这一要求,在采用ROC曲线、变量序别化转换等不同于以往国内研究的统计方法对信用评分系统进行建模的同时,还提供了相应的验证结果。实证研究结果表明,依据方法所建立的信用评分卡具有较好的预测力和稳定性,可实现对借款者信用等级和违约概率的快速有效评估,具有实际可操作性。Based on the IRB in the new Basel Accord, this paper constructs two credit scorecard by different statistics and methods not used in domestic researches, such as ROC, ordinal transformation etc. It also presents the results of validation. This paper shows that these credit scorecards are accurate and robust, what＇s more, we can not only assign the credit grade of an application but also obtain its probability of default, and thus applicable in practice.

关 键 词：信用评分 违约概率 ROC 序别化转换 

分 类 号：F831[经济管理—金融学]