基于TEI@I方法论的借款人信用品质转移概率计算及失联概率预测应用  

Calculating Method of Borrower’s Credit Quality Transfer Probability and Application in Forecasting Loss-of-Connection Probability Based on TEI@I Methodology

作　　者：庞素琳[1,2] 侯鲜艳 Pang Sulin;Hou Xianyan(Institute of Finance Engineering in School of Management/School of Emergency Management,Jinan University,Guangzhou 510632;Guangdong Emergency Technology Research Center of Risk Evaluation and Pre-warning on Public Network Security,Guangzhou 510632)

机构地区：[1]暨南大学管理学院金融工程研究所/应急管理学院,广州510632 [2]广东省公共网络安全风险评价与预警应急技术研究中心,广州510632

出　　处：《管理评论》2020年第7期267-279,共13页Management Review

基　　金：国家自然科学基金项目(91646112)。

摘　　要：本文基于TEI@I方法论的理论框架,首次提出研究借款人信用品质转移概率计算及失联概率预测应用。文本挖掘用来处理借款人信用品质的不稳定性,根据信用等级和信用评分划分等级,模糊分类信用品质等级,并定义了信用品质等级转移概率。条件概率计量模型推广到信用等级条件概率和信用评分条件概率,利用全概率计算方法得出信用品质条件概率计算公式。借鉴标准普尔信用转移矩阵的计算方法,同时再运用马尔科夫C-K方程对借款人信用品质等级转移概率进行预测,以此联合研究借款人失联的概率。研究结果表明:信用品质等级越高,借款人按时还款的概率越高,信用品质等级越低,借款人坏账的概率越高;越靠近“失联”等级的借款人,其失联可能性越大;随着借款期限的延长,信用品质等级保持原始等级的可能性不大,转向下一等级的转移概率会逐渐上升。Based on the theoretical framework of TEI@I methodology,for the first time,we study the calculation method of the probabil-ity of borrower’s credit quality and its forecasting probability prediction application.In this paper,text mining is used to deal with the in-stability of borrower’s credit quality,credit grade and credit score are used for classification,credit quality grade is classified by fuzzy classification,and the conversion probability of credit quality is defined.The conditional probability measurement model is extended to the conditional probability of credit grade and the conditional probability of credit score.The calculation formula of conditional probability of credit quality is obtained by using the method of total probability calculation.Referring to the calculation method of S&P credit transfer matrix,and using Markov C-K equation to predict the transfer probability of borrower’s credit quality grade,this paper jointly studies the probability of borrower’s loss of connection.The results show that the higher the credit quality grade is,the higher the probability of timely repayment is,the lower the credit quality grade is,and the higher the probability of bad debts is;the closer the borrower is to the“lost link”grade,the greater the possibility of losing link;with the extension of the borrowing period,it becomes less likely to keep the original credit quality grade and the transition probability to the next level will gradually increase.

关 键 词：TEI@I方法论 信用等级与信用评分 信用品质转移概率 失联概率预测 C-K方程 

分 类 号：F832.4[经济管理—金融学] F224