基于信息非对称的个人信用卡信用风险研究

发布时间：2018-01-01 05:07

本文关键词：基于信息非对称的个人信用卡信用风险研究　出处：《哈尔滨工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：信用卡作为信息时代的产物，已经成为人们日常生活中不可或缺的一种消费支付工具，再加上银行业的迅速发展和扩张，作为银行重要利润来源的信用卡的发行量也日益膨胀，这种由行业的扩张而引发的发卡数量的膨胀，又进一步刺激了潜在的相应风险源，进而加剧了个人信用卡信用风险，对信用风险的研究就成为了近几年来各大银行和众多学者关注的话题。了解信用卡信用风险的成因，有效地建立信用风险评估体系，对银行控制风险、节约运作成本、提高利润率具有十分重要的价值，同时对保证我国金融体制稳健、高效的运行，实现金融行业可持续发展也具有十分重要的意义。本文首先从信息经济学理论中的信息非对称理论出发，探讨信息非对称下的信用卡业务所引发的逆向选择和道德风险，进而研究信息非对称下的信用风险的配给效应和信用损失的度量，，并从发卡行与持卡人、发卡行与内部人员、发卡行之间、发卡行与政府部门这四个方面描述信用风险的成因表现。然后基于信息非对称的背景，分别从宏观和微观两个层面继续探讨形成信用卡信用风险的影响因素和各因素所引起的信用风险的形成机理。在此基础上，确定了模型的评估变量并构建了Logistic-AHP个人信用卡信用风险评估模型。在实证中，本文先用Logistic回归对评估变量进行筛选，确定出纳入信用风险评估体系的评估指标，并通过层次分析法确定各指标变量的权重，以进一步设计出风险评估体系的评分标准，然后通过分值的计算预测违约样本的个数，并通过模型预测精度的测量与对比说明Logistic-AHP模型的有效性。最后由模型结果得出持卡人所在的公司类型、月收入、职务是风险评估中最重要的三个因素，并通过结果的评价提出及时核实、更新客户信息以及加强持卡人诚信教育的建议。本文的模型结论为商业银行进一步调整评分体系，确定重点客户监测信息提供了一定的参考依据。
[Abstract]:As a product of the information age, credit card has become an indispensable consumer payment tool in people's daily life, coupled with the rapid development and expansion of the banking industry. As an important source of profits of banks, the issuance of credit cards is also expanding day by day. The expansion of the number of credit cards issued by the expansion of the industry further stimulates the potential risk sources. The study of credit risk has become a topic of concern for banks and many scholars in recent years. Understand the causes of credit card credit risk. The effective establishment of credit risk assessment system is of great value for banks to control risks, save operating costs and improve profit margins, and at the same time, it is of great value to ensure the steady and efficient operation of our financial system. It is also of great significance to realize the sustainable development of financial industry. This paper first discusses the adverse selection and moral hazard caused by credit card business under asymmetric information from the information asymmetry theory of information economics. Then it studies the rationing effect of credit risk and the measurement of credit loss under asymmetric information, and from between the issuing bank and the cardholder, the issuing bank and the internal personnel, the issuing bank. Credit card issuing banks and government departments describe the causes of credit risk performance. Then based on asymmetric information background. From the macro and micro levels, we continue to discuss the influencing factors of credit card credit risk and the formation mechanism of credit risk caused by each factor. On this basis. The evaluation variables of the model are determined and the credit risk assessment model of Logistic-AHP personal credit card is constructed. In the empirical analysis, this paper first uses Logistic regression to screen the evaluation variables, and determines the evaluation index which is included in the credit risk evaluation system, and determines the weight of each index variable by AHP. In order to further design the risk assessment system rating criteria, and then calculate the number of default samples through the calculation of the score. The validity of the Logistic-AHP model is proved by the measurement and comparison of the prediction accuracy of the model. Finally, the type of company in which the cardholder belongs, the monthly income, is obtained from the results of the model. Functions are the three most important factors in risk assessment and are verified in a timely manner through the evaluation of the results. The conclusion of this paper provides a reference for commercial banks to further adjust the scoring system and determine the monitoring information of key customers.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.479

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