商户贷款的信用风险评价实证研究

发布时间：2019-02-15 15:19

【摘要】：近年来我国商户规模不断扩大,在我国经济发展中起着举足轻重的作用,特别是促进了服务业的发展,而且日趋显著。但是商户普遍面临着阻碍其发展的一些问题,其中最主要的就是商户贷款难、融资难的问题,鉴于此需要建立商户贷款信用风险评价模型,同时为各大银行等金融机构提供贷款决策。本文通过分析商户的基本情况以及运营等方面因素,建立了商户贷款信用风险评价指标体系。通过熵值法确定了指标的权重并建立了商户贷款信用评分模型,运用该模型计算了1311名贷款商户的信用得分。根据贷款商户的信用得分、应收未收本息和应收本息的数据,将1311个商户划分为9个信用等级。本文共四部分。第一章是绪论,主要是整理分析了现有的信用评价指标体系、指标筛选方法、信用评价模型的现状。第二章是商户贷款信用评价指标体系与评价方程的构建原理。第三章实证研究,建立了商户贷款信用风险评价体系。第四章是本研究的结论以及创新点。本文的主要工作如下： (1)建立了包含16个指标的商户贷款信用评价指标体系。通过秩和检验筛选出能显著区分商户违约状态的指标,运用相关分析删除反映信息冗余的指标。基于105个海选指标,构建了由16个评价指标组成的商户贷款信用评价指标体系。最终用15%的指标反映了82%的原始信息。 (2)建立了商户贷款的信用风险评价方程。建立了熵值法赋权的模型,通过熵值法求出各指标熵值,然后确定了16个指标的权重,通过构建的商户贷款信用评分方程计算1311名商户的信用得分。 (3)对1311名商户的信用等级划分。根据信用等级越高、违约损失率越低的违约金字塔标准,利用商户贷款的信用得分、应收未收本息、应收本息数据,通过调整不同等级的贷款商户数,找出满足信用等级越高、违约损失率越低这一违约金字塔标准的信用等级划分结果。最终将1311名贷款商户划分为AAA、AA、…、C等9个信用等级。
[Abstract]:In recent years, the scale of Chinese merchants has been expanding, which plays an important role in the economic development of our country, especially promotes the development of the service industry, and is becoming more and more remarkable. However, merchants are generally faced with some problems that hinder their development, the most important of which is the difficulties of loans and financing. In view of this, it is necessary to establish a credit risk evaluation model for commercial loans. At the same time for major banks and other financial institutions to provide loan decisions. Based on the analysis of the basic situation and operation of the merchant, this paper establishes the credit risk evaluation index system of the merchant loan. The weight of the index is determined by the entropy method and the credit scoring model of the merchant loan is established. The credit score of 1311 loan merchants is calculated by using the model. According to the credit score of loan merchants, the data of outstanding principal and interest receivable and principal and interest receivable, 1311 merchants are divided into 9 credit grades. There are four parts in this paper. The first chapter is the introduction, mainly collates and analyzes the existing credit evaluation index system, index screening method, credit evaluation model. The second chapter is the construction principle of credit evaluation index system and evaluation equation. Chapter three, empirical study, establishes the credit risk evaluation system of merchant loan. The fourth chapter is the conclusion and innovation of this study. The main work of this paper is as follows: (1) A credit evaluation index system of 16 indexes is established. Through the rank sum test, the index which can distinguish the state of breach of contract of the merchant is selected, and the index reflecting the information redundancy is deleted by the correlation analysis. Based on 105 audition indexes, a credit evaluation index system of merchant loans is constructed, which consists of 16 evaluation indexes. Finally, the index of 15% reflects 82% of the original information. (2) the credit risk evaluation equation of merchant loan is established. The weight model of entropy value method is established, the entropy value of each index is calculated by entropy value method, and the weight of 16 indexes is determined, and the credit score of 1311 merchants is calculated by the credit scoring equation of commercial households. (3) the credit rating of 1311 merchants. According to the pyramid standard of the higher credit grade, the lower the default loss rate, the higher the credit score, the outstanding principal and interest receivable, the principal and interest receivable data, and the higher the credit rating can be found by adjusting the number of credit quotients of different grades. The lower the default loss rate, the lower the credit rating of the default pyramid standard. Ultimately, 1311 loan merchants were divided into AAA,AA,. C, 9 credit ratings.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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