Empirical Analyzing Of The Personal Consumable Loan Credit Risk Measuring Model

In the 1990's, Personal Consumable Loan had played a important role in accelerating the consumption, extending domestic demands, impelling productive forces, sustaining GDP's increasing, adjusting credit structure, and improving credit assets quality. In 2000's, as the Personal Consumable Loan market expands, a lot of feigned real states credit occurs and, default rate of Personal Consumable Loan rises. All that the bank supervision association has been showing imply credit risk's increasing in Personal Consumable Loan Market.Because of the importance of the credit risk in banking management, the Basel committee, from 1998 to 2004, issued a series guidelines about intensifying credit risk in terms of banking risk measure, management and control. Still, international commercial banks and institutions developed new theory and measure method, and have taken a lot of practice. Particularly, on the 26th Jun.2004, the Basel Committee issued BaselⅡFramework, putting forward standard method and internal measure method to measuring credit risk, but it recommended the internal grade-evaluation, and encouraged banking measuring credit risk with econometrics model. This implied econometric model being the core of the internal measure method. From them on, there have been more and more papers about credit risk measure with econometric model. However, in China, risk measurement and management is still weak, especially the credit risk measure of Personal Consumable Loan.Of the abroad foundation of such models, there are three different opinions in the Sample-Selection:the first one is modeling with granting credit data; the second one is taking the rejected customer into account, and regarding them as bad customer; the third one is also taking the rejected customer into account, but during modeling regards them as separate sample. The author supports the third one and introduces the large conception of model in Personal Consumable Loan credit risk.The thoughts of this text: in the sake of solving the problem of choice-windage of sample, the text introduces the credit-risk measuring model of the personal consumptional loan.The first chapter is an introduction which introduces measuring model of the personal consumptional loan to eliminate deflections brought by sample selectivity.The second chapter gives studying situation and evaluation from domestic and abroad.The third chapter narratives theoretical basis of model-measuring for the personal consumptional loan, including information asymmetry theory and game theory.The fourth chapter narratives the methods of model-measuring establishment of credit-risks for generalized personal consumptional loan.The fifth chapter shows data pretreatment of model-measuring establishment of credit-risks for generalized personal consumptional loan.The six chapter analysis the demonstration of model-measuring of credit-risks for generalized personal consumptional loan.The seventh chapter is a conclusion part.The results of the empirical analyzing in Personal Consumable Loan credit risk are as flowing three opinions:The first one is that the large conception of model in Personal Consumable Loan credit risk could not test the validity of policy implementing.The second one is that the large conception of model in Personal Consumable Loan credit risk could post the problems in banking risk management.The third one is the large conception of model in Personal Consumable Loan credit risk could explain the reason of the credit risk.The features of the paper:First, in order to dealing with the problem of the Sample-Selection bias, the paper introduced the large conception of model in Personal Consumable Loan credit risk. According the empirical analyzing, the author find its economics value.Secondly, the paper introduced the ROC curve to test the power of the large conception of model in Personal Consumable Loan credit. finally, the paper used Multivariate Stratified Sampling to dealing with the data.