消费行为改变下的信用卡风险仿真  

A Simulation Study on the Risk of Credit Card with Consumers’ Behavior

作　　者：张维[1,2] 曾薇[1] 熊熊[2] 

机构地区：[1]天津财经大学金融系,天津300222 [2]天津大学管理与经济学部,天津300072

出　　处：《华东经济管理》2012年第4期79-83,共5页East China Economic Management

摘　　要：文章基于计算实验金融方法,结合消费者消费行为和还款意愿与还款行为的改变,构建信用卡预测模型,观察发卡行信用卡业务期末应偿信贷总额变动情况,为发卡行可能面对的持卡人消费行为及其应对措施提供改进依据。模型结果表明在持卡人的授信额度等于其月收入的条件下,且消费者在一定的触发条件下进行"高消费",当持卡人的本月刷卡额度超过以往刷卡额度均值的1.3倍时,应该引起发卡行的关注,并结合持卡人的收入和还款状态的变化,推迟或停止提高其授信额度。Agent-based Computational Finance （ACF） techniques and the behavior of consumption and repayment are used to construct forecasting models of consumer credit risk. The models improve the way of risk management in bank. In these models customers＇ regular pattern of consumption are changed by their meet with richer one. The result of model tell us that banks should take care of this change when the consumers without earn more money. When tbe change is more than 1.3 times, the line of credit as same as his income and consumers change their behavior of repayment the banks should delay or stop the increase of their lines of credit.

关 键 词：信用卡 计算实验金融 消费行为 

分 类 号：F275[经济管理—企业管理]