零售贷款非线性时变比例违约模型  

Non-linear proportional default model with time-dependent variables for retail loan

作　　者：彭建刚[1] 李樟飞[1] 吕志华[1] 周鸿卫[1] 

机构地区：[1]湖南大学金融学院,长沙410079

出　　处：《系统工程理论与实践》2009年第11期60-66,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70673021);教育部博士点基金(20060532011)

摘　　要：基于Cox模型,针对零售贷款的运行规律和违约因素影响违约行为的特点,提出了零售贷款非线性时变比例违约模型,该模型在测算商业银行零售贷款违约概率时充分考虑了变量之间非线性关系和时间相依变量,使得其更符合客观实际,并通过实证分析和算例分析论证了这种模型在我国商业银行运用的科学性和可行性.In view of the operation rules of retail loans and the characteristics of default factors affecting default Behavior, we put forward non-linear proportional default model with time-dependent variables based on the Cox model. This model takes into account the non-linear relationship among variables and time-dependent variables while calculating the retail loan default probability of China＇s commercial banks, which will make the model to be in line with its objective reality better. We demonstrate this model is scientific and feasible in practical application of China＇s commercial banks through empirical analysis and example analysis

关 键 词：零售贷款 违约概率 非线性关系 时间相依变量 

分 类 号：F832.21[经济管理—金融学]