信用卡信用评分模型与最优临界策略研究

发布时间：2018-01-13 01:37

本文关键词：信用卡信用评分模型与最优临界策略研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：近些年来,我国银行卡业务一直处于高速发展期,据中国人民银行报告,国内信用卡发卡量在2012年第二季度已经突破3亿张门槛,截至第四季度末,总信用卡发卡量已达到3131亿张。我们可以看到,商业银行为获取信用卡带来的高额利润,不断通过各种营销手段扩大市场份额,但同时潜在的坏账风险也随之而来。信用评分模型技术的发展和应用,为商业银行进行消费信贷风险管理,提供了非常有效的决策依据,银行依据信用评分模型可以客观、全面、准确地评估消费者的还款能力和还款意愿,以此来控制潜在坏账损失,进行风险管理。根据信用评分模型,银行可以计算出每一位申请者的信用评分,而此信用评分就代表该申请者的风险程度大小,银行根据自身所能承受的风险和其经营管理目标来制定拓展客户的策略。通常,银行会为信用评分设置一个标准分数,通常我们称之为临界值(cutoff score),信用评分在临界值之上的客户的申请会被接受,而信用评分低于临界值的客户的申请会被拒绝。临界值的设定,将直接影响信用卡客户的批准比例、坏账率和给银行带来的利润。在巴塞尔协议框架下,银行如何设置最优的临界值,为合理分配好信贷资本实现中长期经营目标,并控制好利润,坏账以及批准率等之间的关系,已成为信贷风险管理生命周期中,商业银行制定客户拓展战略的核心。学术界,有很多的理论研究都侧重于信用评分模型的开发,但是对如何设置适当的信用评分临界分数,制定最优的拓展客户战略方面的研究却并不多。对制定战略方面在学术界缺乏重视的主要原因主要还是研究者偏向于对信用评分技术以及决策模型方法等进行持续的更深层次的探索,因为他们相信这样可以不断提高信用评分模型的辨别和决策能力。但是,对经营实践者例如银行来说,在操作层面如何有效地利用信用评分工具,制定最优的临界值策略也是一样的非常重要。国内外历史文献中关于信用卡信用评分模型最优临界策略的研究重点,主要都是放在信贷成本,盈亏目标,坏账率或批准比例分析上,而忽视了巴塞尔协议下银行面临的资本约束和资本配置问题。本论文通过实证分析比较了设置最优临界值策略的几种不同方法,进而提出银行在巴塞尔协议框架下,进行信贷业务风险管理,要确定风险调整后的资本回报率(RAROC),以此来衡量银行风险收益绩效,银行在设置信用评分临界值来实现拓展客户战略时,不仅仅要考虑坏账损失,利润及市场份额,更应把风险调整后的资本回报率作为主要衡量指标来做最后决策。
[Abstract]:In recent years, China's bank card business has been in a period of rapid development, according to the people's Bank of China report, the number of domestic credit card issued in in the second quarter of 2012 has exceeded 300 million threshold, up to the end of 4th quarters. The total number of credit cards issued has reached 313.1 billion. We can see that commercial banks continue to expand their market share through various marketing means in order to obtain the high profits brought by credit cards. But at the same time, the potential risk of bad debts also followed. The development and application of credit scoring model technology provides a very effective decision basis for commercial banks to manage consumer credit risk. Banks can objectively and comprehensively according to the credit scoring model. Accurately assess consumers' ability and willingness to repay to control potential bad debt losses and manage risk. According to the credit rating model, banks can calculate the credit score of each applicant. And this credit score represents the applicant's level of risk, and banks develop customer outreach strategies based on the risks they can take and their management objectives. The bank sets a standard score for the credit score, usually called the threshold value cutoff score, and customers whose credit scores are above the threshold are accepted. Customers whose credit score is below the threshold will be rejected. The setting of the threshold will directly affect the approval ratio of credit card customers, the bad debt rate and the profits to banks. How to set the optimal critical value for the rational allocation of credit capital to achieve the medium- and long-term business objectives, and to control the relationship between profits, bad debts and approval rate, has become the life cycle of credit risk management. The core of the development of customer expansion strategy by commercial banks. In academia, there are many theoretical studies focused on the development of credit scoring model, but how to set the appropriate critical credit score. The main reason for the lack of attention to the development of strategy in academic circles is that researchers prefer credit scoring techniques and decision model methods. A deeper exploration. Because they believe this will improve the ability to identify and make decisions on credit scoring models. However, for business practitioners such as banks, how can credit scoring tools be used effectively at the operational level. It is equally important to develop an optimal critical value strategy. Domestic and foreign historical literature on credit card credit rating model optimal critical strategy research emphasis, mainly on the credit cost, profit and loss targets, bad debt ratio or approval ratio analysis. The capital constraints and capital allocation problems faced by banks under the Basel Accord are ignored. This paper compares several different methods of setting the optimal critical value strategy through empirical analysis. Furthermore, it is proposed that banks should manage the risk of credit business under the framework of Basel Accord, and determine the return on capital after risk adjustment, so as to measure the risk return performance of banks. Banks should not only consider the loss of bad debts, profits and market share when setting credit rating threshold to achieve customer expansion strategy. Risk-adjusted rate of return on capital should be taken as the main measure to make final decision.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.2

【共引文献】