基于主观违约性的银行客户信用评级改善  

Improvement of Bank Customer's Credit Rating by Introducing Subjective Default Indicator

作　　者：李家军[1] 李娅娅[1] 

机构地区：[1]西北工业大学

出　　处：《金融论坛》2008年第3期26-30,共5页Finance Forum

基　　金：国家社科基金资助项目(05BJY021);西安市社会科学基金项目(06J52)

摘　　要：商业银行信用评级是银行风险防范的基础,但是目前的客户信用评级体系中缺乏主观违约指标,不能全面反映客户的信用等级。主观还款意愿应作为信用评级不可忽略的要素,为此,本文在充分考虑影响客户违约的客观指标基础上,纳入主观违约这一刚性指标,以反映客户还款意愿,并基于模糊综合评判方法,某银行对运用该指标前后的违约客户进行信用评级,评级结果的假设检验显示,纳入该指标前后,存在着显著性差异,表明主观违约指标纳入信用评级体系具有合理性,有利于推进国内评级的改善。Commercial bank＇s credit rating is the basis of its risk precaution. However, lack of subjective default indicator, the current customer credit rating system cannot comprehensively reflect customer＇s credit status. Subjective repayment wishes should be a necessary evaluating factor for the credit rating. Therefore, the paper introduces a stiff index subjective default, to reflect clients＇repayment wishes, along with covering various objective factors affecting clients＇ default behaviors. Based on fuzzy integrative evaluation method, the paper compares the credit rating results on default clients when introducing subjective default index with that without such index, by using the data of Bank H. The t-hypothesis testing shows that there is significant distinction between two rating results, so it is reasonable to introduce the subjective default index into the credit rating system, which will help to advance commercial bank＇s credit rating quality,

关 键 词：信用评级 评级指标 模糊综合评判 主观违约 

分 类 号：F832.4[经济管理—金融学] F224