摘要
随着金融的全球化趋势和金融市场的波动性加剧,各国银行和投资者受到了前所未有的信用风险的挑战。信用风险评估方法也不断推陈出新,管理技术正日臻完善,许多定量技术、支持工具和软件已付诸商业应用。然而,我国商业银行和金融市场尚处转轨和新兴发展阶段,信用风险管理技术较为落后。针对于此,本文从商业银行角度,研究借款人(上市公司)信用风险评估的方法和应用问题。利用SPSS软件对企业的多维财务指标进行t检验和主成份分析得到了7个能够反映企业信用风险高低的关键财务指标,并利用这7个指标建立了Logit模型,结果表明,利用建立的Logit对我国商业银行的信用风险评估中具有较高的预测准确率,从而为我国商业银行信用风险评估方法从传统的定性分析法向定量分析法迈进起到了一定的借鉴作用。
The globalization and fluctuation in financial world have brought big challenge to bankers and investors all around the world .Many new methods are introduced into the credit risk evaluation area and a lot of quantitative techniques have put into the market. Comparing with famous international commercial banks, banks in China have a long way to go. By summarizing and analyzing the main approaches and models in the area of evaluating borrowers （listed company） for commercial banks, Combined with t-test and principal component analysis for listed company＇s multidimensional financial ratio with SPSS, we get seven crilical principal component which reflect the credit risk and established Logit model with them. results from empirical analysis of the model are shown as follows： Logit technical is applied to commercial banks, credit risk assessment is a high accuracy rate on forecast, so this paper has played a important role on credit risk assessment methods from traditional qualitative analysis to quantitative analysis for commercial banks in China.
出处
《巢湖学院学报》
2010年第1期39-42,共4页
Journal of Chaohu University
基金
巢湖学院科研课题(项目编号:XWQ-200818)
