| 信用风险的两阶段非线性变量边界Logit模型实证研究 | |
| 顾乾屏 ; 孙晓昆 ; 吴斌 ; 张林 ; GU Qian-ping ; SUN Xiao-kun ; WU Bin ; ZHANG Lin | |
| 2010-05-14 ; 2010-05-14 | |
| 关键词 | 信用风险 违约概率 统计模型 结构模型 简约模型 credit risk probability of default statistical approach structural approach reduced-form(approach) F270 F224 |
| 其他题名 | Empirical Research of Two-stages Non-linear Parameter Bounded Logit Model for Credit Risk |
| 中文摘要 | 为有效测度公司的信用风险,基于统计、结构、简约模型原理,利用某商业银行的数据,得到了多个具有较高回判精度的实证模型,并比较了不同模型的相关性和特点,由此提出了一个回判率为88%的两阶段非线性变量边界Logit模型。认为,统计、结构、简约模型对信用风险的计量具有相关性和一定的互补性,可根据信息掌握情况选用不同模型有效预测风险,信息收集与模型技术改进间具有一定的替代性。; In order to measure the credit risk of the company effectively,according to statistical,structural,reduced-form approach,making use of the data of the commercial bank,the paper gets some emprical models which have higher accuracy of judgement,and compares the relativity and characteristics of different models,presents a two-stages non-linear parameter bounded Logit model which has an accuracy of 88%.The paper demonstrates that statistical,structural,reduced-form approach has a relativity and interconnection with each other in some degree,we can choose different models to predict the credit risk according to the information standard,the information collections and the model technique improvements can substitute each other in some degree. |
| 语种 | 中文 ; 中文 |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/33435]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | 顾乾屏,孙晓昆,吴斌,等. 信用风险的两阶段非线性变量边界Logit模型实证研究[J],2010, 2010. |
| APA | 顾乾屏.,孙晓昆.,吴斌.,张林.,GU Qian-ping.,...&ZHANG Lin.(2010).信用风险的两阶段非线性变量边界Logit模型实证研究.. |
| MLA | 顾乾屏,et al."信用风险的两阶段非线性变量边界Logit模型实证研究".(2010). |
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