不良贷款处置方式的影响因素分析和判别模型

发布时间：2018-07-31 20:41

【摘要】：不良贷款的回收率与其处置方式有密切的关系,因此寻找最优处置方式是实际工作中很自然的诉求.但是因为不良贷款的特征与其最优处置方式之间的关系过于复杂,以往的文献中对处置方式只有定性的研究.本文不去关注不良贷款的特征与最优处置方式决定关系的具体形式,而是从处置方式的样本个数入手对处置方式进行定量研究,根据历史处置时的"投票"数越多则表明处置方式越优秀的思想,建立了处置方式的判别模型.文章首先通过列联表检验发现不良贷款的处置方式与贷款本金余额、本金占比、贷款银行、贷款担保方式、贷款企业的工商登记状态和经营现状等因素相关,而与债务企业是否上市公司和注册资本不相关.基于这些影响因素,本文首次将部分线性决策树(PLTR)的方法应用于建立不良贷款处置方式的判别模型,同时表达了影响因素与处置方式之间的线性关系和非线性关系,获得了相对较好的判别效果.由此,本文也发掘出不良贷款的历史处置模式,因而可以从提高期望回收率的角度提出合理建议.
[Abstract]:The recovery rate of non-performing loans is closely related to its disposal, so it is a natural demand to find the best disposal method in practical work. However, due to the complexity of the relationship between the characteristics of non-performing loans and their optimal disposal, there is only a qualitative study on the disposal methods in the previous literature. This paper does not pay attention to the specific form of the relationship between the characteristics of non-performing loans and the optimal disposal mode, but starts with the number of samples of the disposal mode to carry on the quantitative research on the disposal mode. According to the idea that the more "voting" in historical disposal indicates that the disposal mode is better, the discriminant model of disposal mode is established. First of all, the paper finds that the disposal mode of non-performing loans is related to the balance of loan principal, the proportion of principal amount, the loan bank, the loan guarantee method, the state of business registration of loan enterprises and the present situation of operation, and so on. And debt companies and whether listed companies and registered capital is irrelevant. Based on these factors, this paper first applies the partial linear decision tree (PLTR) method to establish a discriminant model for the disposal of non-performing loans. At the same time, the linear and nonlinear relationships between the influencing factors and the disposal methods are also expressed. A relatively good discriminant effect was obtained. Therefore, this paper also finds out the historical disposal mode of non-performing loans, so we can put forward some reasonable suggestions from the angle of increasing the expected recovery rate.
【作者单位】：中国科学院数学与系统科学研究院;中央财经大学管理科学与工程学院;长沙理工大学数学与计算科学学院;
【基金】：国家973计划(No.2007CB814902) 国家自然科学基金(No.70933003);国家自然科学基金(No.71203247) 教育部人文社科青年基金(11YJC790015) 中央财经大学青年创新团队的资助
【分类号】：F224;F832.4

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