Cox Proportional Hazards Model Based Research On Credit Risk Measurement Of The Commercial Banks

Credit risk as one of the main risks of the bank, has more diverse forms as influence gradually expanded, it has a huge impact not only for the financial industry but also affects the stability of the whole society, the danger has also been more and more attention. In order to effectively manage credit risk, commercial banks have accelerated the pace of credit risk research.Credit risk management in developed countries started early, more ma-ture, and gradually realize the qualitative and quantitative development.Moreover, China’s credit risk management of commercial banks is still in the stage of qualitative analysis, quantitative analysis are lack of sophisticated models and techniques.However, with the continuous development of the financial sector, the traditional credit risk rating methodology and traditional credit risk model has been difficult to meet the development needs, and therefore, reasonably ac-curate measure of the credit risk of commercial banks’credit risk management of commercial banks is particularly important.Currently,there are more research credit risk models, such as Logit model which is used earlier, KMV is used to study single credit risk measurement models and Credit Risk+is used to portfolio credit risk and so on, under cer-tain conditions and assumptions, these models achieved good results. However, Credit Risk+need corporate credit rating data, and our lack of historical data corporate credit rating, these models do not apply to China’s financial market-s. With the development of survival analysis and application of theory, based on Cox proportional hazards survival analysis models in credit risk measure-ment studies showed some advantages, Cox proportional hazards model does not require credit rating data, but study of survival time financial data, so it can be used to analyze the financial situation of domestic enterprises. This article attempts to empirically study the Cox proportional hazards model.Based on the study of credit risk,first,I just introduction the basic theory of survival analysis and analysis of the role in the survival analysis of credit risk measurement. Second,I just introduction the details of the Cox proportional hazards model based on survival analysis,and gives the model parameters and non-parametric estimation methods. Finally,based on the actual data set,we use Cox proportional hazards model to get the default probability of listed companies,then analysis the result of the model. According to the model results we can analyze the factors increased financial risk (ie, risk factors),and reducing the factors (ie protective factors).By analyzing predictive ability and accuracy of the model,we determine that the model is viable,commercial banks can determine their own credit risks faced by the results according to the model. In the paper,through the CAP curve,ROC curves and KS test the validity and stability of the model,the model provides a basis for the practical application of the model.