???????? CREDIT SCORING MODEL ???????????????????????????????????????????? ???. - PowerPoint PPT Presentation

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Title:

???????? CREDIT SCORING MODEL ???????????????????????????????????????????? ???.

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Title: Changes in Partnership Interest Author: home Last modified by: iLLuSioN Created Date: 6/20/2001 7:48:10 AM Document presentation format: On-screen Show – PowerPoint PPT presentation

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Title: ???????? CREDIT SCORING MODEL ???????????????????????????????????????????? ???.


1
???????? CREDIT SCORING MODEL????????????????????
???????????????????????? ???.
  • ???????? ????????????
  • ??????????????????????????????????????

2
????????????????
  • ?????????? (Core Business) ??? ???.
    ??????????????????????????????????????????????????
    ????????????????????????? ?????????????
    ???????????????????????? ???. ????????????????????
    ?????? ???????????????????? ??????????????????????
    ??????????????????????????????????????????????
    ??????????? ??????????????????????????????????????
    ??????????????? Credit Scoring Model
    ??????????????????????????????????????????????????
    ???????
  • ????????????????????????????????????????????????
    ?????????? ???????????????????????????????????????
    ??????????????? ?????????????????????????????????
    Phase ??? ???????????????? Database ?????????

3
?????????????????????
????????????
?????? SME ????????
Credit Risk (???)
????????????
??. ????????? ???????????
??????????????????????
4
????????????????????? SBCG Model
5Cs Plus
5Cs
?????? SME ????????
Bank
??????????????????????
5
5 Cs Plus ???????
5 Cs ??????????????????????????????????????
????????????????? ???.????????????????????????????
???????? ????????????? ????????? ???.
???????????????????? Originating Banks ??????
??????????????????????????????????????????????????
??????????????
  • Bank
  • Character
  • Capacity
  • Capital
  • Collateral
  • Condition

6
???????????
Logit/Probit
Discriminant Analysis
Credit Scoring Model
Linear Probability Model
7
?????????????????????????????????? LPM
  • Logit / Probit Model
  • Discriminant Analysis
  • Linear Probability Model (LPM)
  • ?????

8
???????????
Y a0 a1 Character a2 Capacity a3
Capital a4 Condition a5 Collateral a6
Originating_Bank ????????? Y 0 (Solvency) ????
1 (Default) ??????? EY 5Cs,
Originating_Bank Default Probability
conditioned on Information from 5Cs and
Originating Bank Variables
9
?????????????????????????
  • ?????????????????????????????
  • ???????? 2547-2548
  • ??????????? Observations ??????????????????? 620
    ???
  • ???????????????????????????????

10
????????????????????????? ????????? 5Cs Plus
Bank, Control Variables
?????????????????????????
Character Variables
?????????????????????????
???????????????
?????????????
11
????????????????????????? ????????? 5Cs Plus
Capacity Variables
????????????????????????????
???????????????????
?????????????????????????????????
???????????????????????????????
12
????????????????????????? ????????? 5Cs Plus
Capital Variables
???????????????????????????
Condition Variables
??????????????????
Collateral Variables
????????????????????????? ???????????????????????
13
????????????????
  • ??????????????????
  • ???? A ??? B Non-NPL(0) ???? C, D, E
    NPL(1)
  • ??????
  • ????? 0 ?????????????????????????????????
  • ????? 1 ???????????????????????
  • ???????????????????
  • ????? 0 ??????
  • ????? 1 ???????
  • ??????????????????
  • ????? 0 ????????????????????????????
  • ????? 1 ????????????????????????? ??????????
    Refinance ????????????????????

14
?????????????????????????????????
?????? ???????????
??????(D1Bank2) - /
????????????????????????? (Period) -
???????????????(Employment) -
????????????? (Asset) -
????????????????????????????(PrincipleDirectExperience) -
??????????????????? (PrincipleSex) - /
????????????????????????????????? (ProfitChangePerAsset) -
??????????????????????????????? (LoanPerAsset)
??????????????????????????? (PrincipleInvestmentRatio) - /
?????????????????? (DObjective2)
???????????????????????????????????????????????? (LandOutProjectPerLoanAmount) -
15
??????????????
16
???????????????
Y 0.127178 0.028902D1Bank2 - 0.00251Period
0.027434PrincipleSex -0.0018PrinDirectExperienc
e - 0.00041LoanPerAsset -2.9E-05ProfitChangePerAss
et 0.115518PrincipleInvestmentRatio
0.053008DObjective2 - 0.05668Collateral_LandOutPr
ojectPerLoanAmount -0.0064LnAsset
17
?????????????????
  • 1. ????????????????????????????????
  • ??????????????? ???????????????????? Noise
    ??? ???? ????????????????????????
  • 2. ???????????????????????????????????????????????
    ??????
  • ???????????
  • ???
  • ?????????????????????
  • ???????????????????????????
  • ???????????????????

18
???? ????????????????????????
  • PD ???????????????? ???????????????????????????-
    ????? Model Validation- ????? Probability
    Mapping
  • ?????????????? Textbook ??????????????? ???? DE
    Ratio ????????? ?????????????

19
????????????????????????????? Textbook
20
???? ????????????????????????
  • ?????????
  • - ?????????????? ???. ???????????????????????????
    ???????????????????? SME ?????????????????????????
    ??????????????????????????????????????????????????
    ??????????????????????????????????????????????????
    ??????????
  • - ???????????????????????????????????????????????
    ??????????????????????????? NPL ???
    ????????????????????? Loan Quality ?????????
    ??????????????????????????????????????????????????
    ?????? ???. ????????????????????? ?????????????
    ????????? ????????????????????????????????????????
    ????????????????????????????????
    ??????????????????? ???.????????????????????
    Risk-Based Pricing ???????????? Loan Portfolios
    ???? Credit Risk Portfolio Model
    ??????????????????????????????????????????????????
    ??????
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