Research On Using The Bounded Logistic Model To Evaluate The Credit Risk In Commercial Banks Of China

It's an important issue to measure credit risk in commercial banks of China,credit risk assessment practices continue to drive the evaluation of theoretical research, while a series of research achievements in this field has promoted the establishment of credit risk management system and improved. Compared with the western developed countries, China's credit risk assessment work began relatively late. Through learning international advanced credit risk measurement techniques,establishing suitable credit risk measurement methods and models is an important way to improve credit risk management level in China's banking industry.This paper began from the meaning of credit risk in commercial banks, then study the causes of credit risk management,the main methods and problems in China's commercial banks,in view of the above research contents, this paper has proposed the introduction of bounded logistic model into credit risk measurement.Again, selected special treatment of 32 samples of ST companies in 2008 as default sample and selected 96 samples of non-ST companies based on a ratio of 1:3 as non-default sample,using annual report's data of listed companies in 2007,2006,2005 years to build models.There were logistic model (without the principal component analysis), boundary logistic model (without the principal component analysis), boundary logistic model (principal component analysis), then had comparative analysis of these three models and empirical studies were conducted, results showed that the assessment of bounded logistic model in predicting the effect of the credit risk was more accuracy,better stability.Thus,Chinese commercial banks should synthesize using principal component analysis and boundary logistic model to evaluate their credit risk at present.At last,this paper pointed out policy proposals to further improve the credit risk management level in China's banking industry.