Study On Methodology Of Measuring Bank Loan PD

Starting with the basic scope of probability of default (PD), this paper focus on the methodology of measuring bank loan PD as its study object, and it gives a thorough introduction of requirement and meaning of this study under the framework of New Basel Accord, then analyzes the existing methodologies and approaches of measuring bank loan PD according to the theory development stage, including z-score model, logit model, EDF model and ANN. Upon those analyses, this paper makes empirical study with loan and financial statistic of borrowing enterprise, analyzes default situation in several perspectives, then test the effectiveness of some models and builds new regression models regarding PD as well, at last demonstrates the models suitable for our commercial bank, which offers theoretical and empirical support for independent measure of bank loan PD and for the carry out of Internal rating based approach (IRB).