[1]冯 蕾,董继刚.基于logistic模型商业银行借款企业违约概率的度量——以制造业上市公司为例[J].金融教育研究,2016,(06):27-34.
　FENG Lei,DONG Jigang.The Measurement of the Probability of Default of the Borrowing Enterprises in Commercial Bank based on Logistic Model——Take Manufacturing Listed Companies for Example[J].,2016,(06):27-34.
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基于logistic模型商业银行借款企业违约概率的度量——以制造业上市公司为例()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2016年06期
页码:
27-34
栏目:
出版日期:
2016-12-01

文章信息/Info

Title:
The Measurement of the Probability of Default of the Borrowing Enterprises in Commercial Bank based on Logistic Model——Take Manufacturing Listed Companies for Example
作者:
冯 蕾;  董继刚
山东农业大学 经济管理学院,山东 泰安 271000
Author(s):
FENG Lei;  DONG Jigang
School of Economics and Management,Shandong Agricultural University,Tai’an,Shandong 271000,China
关键词:
商业银行;  违约概率;  logistic模型;  制造业企业
Keywords:
commercial banks;  probability of default;  logistic model;  manufacturing enterprise
分类号:
F830.33
文献标志码:
A
摘要:
新巴塞尔协议的要求以及利率市场化的逐步完成,商业银行的风险管理已经成为重中之重,其主要内容就是测算借款人的违约概率。文章运用logistic回归模型,对2011年-2014年我国80家制造业A股上市公司的21个指标进行比较分析,得到以固定资产比率、流动负债率、每股收益以及资本积累率为显著影响变量的违约概率预测模型,以期为商业银行建立起对借款企业违约风险的定量测试和评估系统以及完善贷款定价机制提供依据,并提出相应的对策建议。
Abstract:
With the requirements of the Basel Ⅲ and the gradual completion of the interest rate market,the venture management of commercial banks becomes a top priority; its main content is to measure the probability of default of the borrower.The thesis used the logistic regression model to compare and analyze the 21 indicators of 80 A-share listed companies in manufacturing industry in China from 2011 to 2014,get the default probability prediction model which had significant impact on variables such as fixed assets ratio,current liabilities ratio,earnings per share and the capital accumulation rate.This paper is aim to help commercial banks establish a quantitative test and evaluation system for the loan default risk and improve the loan pricing mechanism,then put forward the corresponding countermeasures and suggestions.

参考文献/References:

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备注/Memo

备注/Memo:
收稿日期:2016-08-20作者简介:冯 蕾(1990-),女,山东青州人,硕士研究生,研究方向为货币理论与政策; 董继刚(1961-),男,山东郯城人,教授,博士生导师。
更新日期/Last Update: 1900-01-01