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Corporate Financial Distress Prediction - Based On The Analysis Of Commercial Bank Credit Decisions

Posted on:2005-01-27Degree:MasterType:Thesis
Country:ChinaCandidate:X M HeFull Text:PDF
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In the measure and management of credit risk, overseas commercialbanks have been gradually maturing, however domestic commercialbanks fall far behind for this or that reason. In this field the achievementof domestic researches is deficient. In face of gradual perfection of thenew Basel Agreement and the entry of WTO, our banking will beconfronted with enormous challenge. Many commercial banks attach the greatest importance to enterpriseloan. They do not allow the little accident to happen. The amount of mostenterprise loan is very large. If one of them becomes unregainable, thebank will shoulder agreat risk. Moreover, commercial banks competewith each other for the companies with good credit. So the ultimate profitis thin. The profit/risk value is smaller, which affects the total profitseriously. Most credit officials put stress on the analysis on financialreports. They hope to dig out the information that can help them indecision-making. However, the cumbersome financial index systemcauses the complexity of information obtained, which seriously interfereswith the credit official's analysis and decision-making. How to pick upthe sensible and accurate financial indexes that can reflect the enterprise'sfinancial situation from numerous indexes and establish the positivemodel are the main aims of this paper. Financial Crisis is called the Financial Distres. The most seriousfinancial crisis is financial bankruptcy. Many researches on financialcrisis start from the enterprise bankruptcy. Because the interest ofcommercial banks is different from the outside investors and insidegovernor, commercial banks think a lot of the possibility of payoff andthe liquidation ability. When handling enterprise loan, commercial banks 1face primarily credit risk of the enterprise, which in reality is default risk.The paper refers to the new Basel agreement draft, at the same timeconsiders the special circumstances of our country and finally assumesthat "commercial bank's financial crisis view" should be defined as thebig default possibility of the enterprise. The paper selects 40 financial indexes that reflect the capability torepay, to make profit, to manage property and to develope. The paperchooses 117 listed companies as the samples of positive model. Forovercoming some deviation, the paper chooses 117 healthy listedcompanies which have the same industry, close property scale with the117 bad companies. The paper mainly exploits profile analysis, single variable analysis,multi-variable analysis and logistic regression model. These methods arefrequently adopted in domestic and abroad study of financial crisis. Theaccuracy of these methods can predict the exact result. To overcomecommon linearity, the paper makes an innovation. The paper offers amain component analysis and makes a logistic regression based onthem .Finally, the paper chooses logistic repression model based on maincomponent as early warning model of commercial bank's credit risk.Credit officials of the commercial banks input financial index into modelsand if the probability received is greater than 0.4680 , we may draw aconclusion that the enterprise is enterprises with financial crisis, on thecontrary, if the probability value received is smaller than 0.4680 , we canregard it as healthy enterprises; If the value is relatively large, creditofficial can command that the enterprise should increase the pledge; ifprobability received is in the neighborhood of 0.4680, credit officialshould make a prudent decision and choose other appraisal means at thismoment, such as expert's evaluation. In addition, the model can also beused to supervise enterprises that have already got the loan. If commercialbanks find that customer's financial situation worsens, the banks can take 2the remedy in time. The innovation of the paper lies in ①Application innovation. From...
Keywords/Search Tags:Financial crisis, Prediction, Commercial bank, Credit decision, Credit risk
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