证据权重方法与信用风险控制  

Weight of evidence method and credit risk control

作　　者：甘信军 杨维强[2] 

机构地区：[1]山东大学数学学院,山东济南250100 [2]山东大学金融研究院,山东济南250100

出　　处：《山东大学学报（理学版）》2014年第12期55-59,共5页Journal of Shandong University(Natural Science)

基　　金：山东省科技发展计划项目(2011YD01105)

摘　　要：研究了证据权重方法在商业银行信用风险分析中的应用,给出了完整的证据权重逻辑回归算法,并且成功地将此算法应用到商业银行真实的企业财务数据,建立了信用风险评级模型,使得商业银行对于企业违约概率的定量刻画更加精准。此外通过与经典方法的比较,验证了该方法的可行性与效率。The weight of evidence （WOE） method was adopted on the credit risk control in commercial bank and a full description of the algorithm was proposed. By employing this WOE approach on the real financial data of commercial bank, the risk control model was constructed such that the probability of default can be estimated more precisely. The significant advantages of WOE method over conventional methods were verified, especially in statistical power.

关 键 词：证据权重方法 违约概率 逻辑回归 变量选择 

分 类 号：O212.5[理学—概率论与数理统计] O213.1[理学—数学]