Quantitative Research Of Credit Risk Based On Survival Analysis

Credit risk has been an important risk that banks face for a long time. Basel Ⅲ released in2010puts forward new requirements to the risk management of commercial banks. This also urges our commercial banks of China to establish credit risk measurement models suitable to China’s basic national conditions.Survival analysis model is the hotspot model in the field of statistical analysis on credit risk currently. As a method of dynamic analysis, it can reflect the relationship between risk and risk factors more intuitively. Therefore, this paper mainly introduces the survival analysis theory and explores the application of the model in credit risk analysis.Based on the review of related literature at home and abroad first and an overview of related research models on credit risk field, the paper introduces survival analysis model in detail. Secondly, the paper selects A-shares listed companies of Shanghai as samples. Given the definition of survival time clearly, the basic statistics and survival function curves of companies’ survival time are used to conduct the descriptive statistical analysis. It can be concluded that for Shanghai A-shares listed companies, the probability of financial crisis and credit risk is lower in the top30months and after200months. Besides, there is no significant difference among the survival rates of three industries.The focus of the paper is using Cox proportional hazards models to explore the influential factors of credit risk and forecast. Financial indicators of listed companies and their lag variables are introduced as covariates. Cox models are built respectively according to the four types of indicators. Taken all the indicators into consideration, three phases of regression models are also conducted respectively. A relatively consistent conclusion is obtained in the key variables in these two ways finally. Compared with operating capacity and growth ability, profitability and solvency have larger impact on survival probability of companies. The relationship between these indicators and risk rate is negatively related which signals the stronger the firm’s ability to resist financial risk, the lower the probability of credit risk.Finally, this paper summarizes the above analysis and puts forward the deficiencies and prospects of research.