基于logit模型的商业银行个人信用风险评估  

Personal Credit Risk Evaluation of Commercial Banks Based on Logit Model

作　　者：曲秋实[1] 李莉[1] 

机构地区：[1]东北农业大学经济管理学院,黑龙江哈尔滨150030

出　　处：《商业经济》2010年第12期72-73,75,共3页Business & Economy

摘　　要：通过构造我国商业银行个人信用风险的Logit模型,利用其对我国某商业银行510个客户的财务信息和数据作为检验样本进行实证分析,然后计算出不同等级的个人违约概率,并进行信用风险判别和比较研究,得到结论:即Logit模型在预测商业银行个人信用风险评估中具有很好的有效性,能够为商业银行判定借款人的信用风险程度、降低不良贷款率提供准确性较高的客观依据。在商业银行个人信用风险管理工作中,应结合使用评级方法和信用风险度量模型;商业银行应加强信用风险管理意识,不断创新信用风险管理方法,从而为商业银行更好更快的发展打下更坚实的基础。This paper first builds a Logit model on personal credit risk of China＇s commercial banks,takes a empirical analysis of the 510 clients＇ financial information and data as a sample,calculates personal default probability of different grades,then compares the credit risk,and finally concludes that Logit model is effective in predicting personal credit risk evaluation of commercial banks,it can provide high-accuracy objective evidence for the commercial banks to judge the borrowers＇ credit risk degree and decrease bad loan ra-tio.In personal credit risk management,the commercial banks should combine rating method and credit risk measurement models,in-crease awareness and develop methods on credit risk management,and accordingly lay a more solid foundation for their better and faster development.

关 键 词：商业银行 个人信用风险 LOGIT模型 风险评估 

分 类 号：F640[经济管理—产业经济]