Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Finance Forum》 2006-11
Add to Favorite Get Latest Update

A Survival Analysis Model for Credit Risk Appraisal of Commercial Banks and an Empirical Study

SONG Xue-feng YANG Chao-jun XU Ren-zhong  
That an enterprise in financial crisis is unable to repay the due loans constitutes the major source of risks to credit assets of commercial banks.Thus it is of paramount importance for commercial banks to predict a company's financial crisis with an appropriate credit risk appraisal model so as to keep such credit risk at bay.This paper studies listed companies in our country and establishes a credit risk appraisal model based on survival analysis using Du Pont approach.The model provides 86%,72% and 68% prediction correctness respectively for 1,2 and 3 year randomly selected samples.By comparing with Altman model and Ohlson model and through robustness test,it is found that this model which can use time sequence and demands no sample match demonstrates high medium-and-long term forecastability and robustness.These characteristics put commercial banks in good stead in terms of medium-and-long term credit risk management.
【Fund】: 国家自然科学基金(70373053)
【CateGory Index】: F832.4;F224
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 4 Hits
1 BAI Pengfei,DUAN Qianqian,LI Jinlin(School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China);The Credit Risk Measurement of Individual Housing Loan——Based on the Method of Survival Analysis[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2012-04
2 WANG Wei-qing;YAO Rao;LIU Cheng;;The Factors to Influence the Customer Running-Off of Commercial Banks——A Study Based on Survival Analysis Method[J];Finance Forum;2014-01
3 LI Hua-ming,XIANG Ying-zhen(Business School,Xiangtan University,Xiangtan,Hunan 411105,China);Credit Risk Precaution Model of Region Joint-stock Commerce Banks in China and it's Empeirical Study[J];Journal of Xiangtan University(Philosophy and Social Sciences);2007-06
4 Zhou Jing;Li Ji;Jiang Minghua;Department of Marketing,Guanghua School of Management,Peking University;Department of Marketing,Business School,Central University of Finance and Economics;;Research on Decision Making of Product Elimination: An Empirical Study Based on Cox Survival Model[J];Journal of Marketing Science;2013-02
Chinese Journal Full-text Database 6 Hits
1 By Wang Chunfeng, Wan Haihui, Zhang Wei (School of Management, Tianjin University, Tianjin 300072);Application of Combining Forecasts in Credit Risk Assessment in Banks … (5)[J];JOURNAL OF INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT;1999-01
2 YU LiyongGuanghua School of Management, Peking University, Beijing 100871, China;Study on credit risk assessing and forecasting model in commercial bank[J];Journal of Management Sciences in China;2003-05
3 Wang Chunfeng,Wan Haihui,Zhang WeiInstitute of Systems Engineering,Tianjin University;Credit Risk Assessment in Commercial Banks and Its Test[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;1998-01
4 Zhang Zhong zhi (Department of Applied mathematics,Dalian University of Technology,Dalian,116024,China) Fu Lin (Institute of Operational Research and Management Science,Dalian University of Technology,Dalian,116024,China) Tang Huan wen (Department of Applied mathematics,Dalian University of Technology,Dalian,116024,China);RESEARCH ON CREDIT RISK MODEL OF COMMERCIAL BANKS USING ARTIFICIAL NEURAL NETWORKS[J];Mathematics In Economics;2003-03
5 WU Chong, LU¨ Jing-jie, PAN Qi-shu, LIU Yun-tao(School of Management, Harbin Institute of Technology, Harbin Heilongjiang 150001, China);Study on Credit Risk Assessment Model of CommercialBanks Based on Fuzzy Neural Network[J];Systems Engineering-theory & Practice;2004-11
6 PANG Su_lin,WANG Yan_ming (School of Mathematics & Lingnan College, Sun Yat_sen University,Guangzhou 510275,China);Study on Miltilayer Perceptron Credit Scoring Model[J];Acta Scientiarum Naturalium Universitatis Sunyatseni;2003-04
Chinese Journal Full-text Database 10 Hits
1 YIN Zong-cheng1,TIAN Feng2,WU Yong-hui3(1.College of Economics and Trade,Anhui Agricultural University,Hefei,230036,Anhui 2.Hefei Urban Construction Development Co.,Ltd,Hefei,230061,Anhui, 3.Human Resources Department,Anhui Agricultural University,Hefei,230036,Anhui);Overview on Evaluation Methods of Commercial Banks' Credit Risk[J];Journal of Anhui Agricultural University(Social Science Edition);2008-05
2 YU Wen-qing (Antai School of Economics and Management,Shanghai Jiaotong University,Shanghai 200030);Bank Procyclicality and Macroeconomic Fluctuation[J];Journal of Anhui Agricultural Sciences;2006-22
3 CHENG Gong1, REN Yu-hang2 (1. School of Management Tianjin University, Tianjin 300072; 2. School of Management and Economics Beijing Institute of Technology, Beijing 100081);The Effect of Company Capital Structure on the Credit Risk of Bank[J];Journal of Beijing Institute of Technology(Social Sciences Edition);2007-01
4 JIN Jian-guo,YU Li-yong(Guanghua School of Management,Peking University,Beijing 100871,China);The Operational Risk of Basel Ⅱ and Chinese Banking Industy's Countermeasures[J];Commercial Research;2005-21
5 TANG Jun,XIAO Jian-hua,WU Jin-pei(Institute of Intelligent Technology & System,Wuyi University,Jiangmen,Guangdong 529020,China);Rough Sets Approach to Credit Risk Management in Commercial Banks[J];Commercial Research;2006-20
6 ZHAI Qing-lan(Department of management,Chaohu College,Chaohu Anhui 238000);AN EMPIRICAL STUDY OF CREDIT RISK ASSESSMENT BASED ON LOGIT MODEL IN CHINA' S COMMERCIAL BANKS[J];Journal of Chaohu College;2010-01
7 YU Liyong~1, ZHAN Jiehui~2 (1. Guanghua School of Management, Peking University, Beijing 100871, China; 2.Harbin Institute of Technology, Harbin 150001, China);A Research on Probability of Default prediction Based on Logistic Regression Analysis[J];The Study of Finance and Economics;2004-09
8 WANG Xiaoming (Department of Statistics, Shanghai University of Finance and Economics, Shanghai 200433,China);Study on Credit Risk Measurement Methods of Commercial Bank[J];The Study of Finance and Economics;2005-05
9 Zheng Yuntao;Establishing an Individual Credit Risk Management System of ICBC with Data Bank Technology[J];Finance Forum;2005-10
10 Guan Qihai;An Empirical Analysis of Default Judgment of Enterprise on Short-Term Loans in Agriculture, Forestry, Husbandry and Fishery Industries[J];Finance Forum;2006-01
China Proceedings of conference Full-text Database 8 Hits
1 HUANG Zhang-shu,QIAO Xin(School of Management,Fuzhou University,Fuzhou 350108,China);The Credit Rating of Machinery Manufacturing Listed Company Using Data Mining[A];[C];2011
2 JIANG Jun-wei1,SAI Ying1 LU Yu-jing1(School of Computer and Information Engineering,Shandong University of Finance,Jinan 250014,China);Research on Evaluation Model of Enterprise Performance Based on Fuzzy Neural Network[A];[C];2011
3 SHAO Ke- xiong,ZENG Yong,FANG Hong-quan (School of Management,University of Electronic Science and Technology of China,Chengdu,610054,China;Sichuan Branch,China Construction Bank,Chengdu,610054,China);An Empirical Comparison of Credit Risk Assessment Methods in China's Listed Companies[A];[C];2006
4 YAO Hong-gang,ZENG Yong,FANG Hong-quan (School of Management,University of Electronic Science and Technology of China,Chengdu,610054,China;China Construction Bank Sichuan Branch,Chengdu,610016,China);A Study on Cumulative Logistic Regression Model to the Residential Mortgage Loans Risk Rating Evaluation[A];[C];2006
5 JIANG Ming-hui, XIE Xiao-lu (School of Management, Haibin Institute of Technology, Haibin 150001);A Combined Forecasting Model of Personal Credit Based on Logistic Regression and Linear Regression[A];[C];2006
6 ;中小企业贷款决策与监控技术研究综述与应用建议[A];[C];2009
7 DING Xiao-pei,GU Zhi-hui,HAN Li-yan (IMM,Business School of Nankai University,Tianjin 300071,China);Rare Events,Debt Evaluation and Credit Risk[A];[C];2010
8 Shuai Li;Lai Hui;Zhou Zongfang;School of Management and Economics, University of Electronic Science & Technology of China;;Literature Review of Study on Personal Credit Risk Evaluation[A];[C];2013
Chinese Journal Full-text Database 10 Hits
1 WANG Yong-Mei (Guanghua School of Management, Peking University, Beijing 100871, China);Annual Financial Information Disclosure, Response Duration,and Investment Decision[J];Journal of Peking University(Humanities and Social Sciences);2005-02
2 JIANG Tian, HAN Li-yan (School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China);Forecast of Financial Distress for Chinese Pre-losing Listed Companies Based on the Logistic Model[J];Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition);2004-01
3 WU Qi-zong,SONG Ying (School of Management and Economics, Beijing Institute of Technology, Beijing100081, China);Method of Fuzzy Combination Forecasting[J];Journal of Beijing Institute of Technology;2004-04
4 SHI Xiao-jun1,SUN Cai-hong2(1.School of Economics and Management,Beihang University,Beijing 100191,China; 2.School of Information,Renmin University of China,Beijing 100872,China);Trade Credit Term Decision Under Boundary Logistic Default Risk[J];Transactions of Beijing Institute of Technology;2010-03
5 CAO Yang(Southwest University of Political Science and Law,Chongqing 400031,China);The Prevention of Project Finance Risk[J];Commercial Research;2005-12
6 LIANG Li-Ming~1 WENG Fa-lu~1 DING Yuan-chun~2 (1.Logistics Administrative Office,Jiangxi University of Science and Technology,Canzhou,341000,China;2.School of Environmental and Architecture Engineering,Jiangxi University of Science and Technology,Ganzhou,341000,China);The Research on the Model of Customer Loss Based on Neural Network[J];Commercial Research;2007-02
7 Zhou Yuan-fan;The credit risk measurement by KMV-based model on listed insurance companies[J];Insurance Studies;2009-03
8 ZHANG Gen-ming~1,XIANG Xiao-ji~1,SUN Jing-yi~2(1.School of Business,Central South University,Changsha 410083,China;2.School of Economics,Yantai Vocational College,Yantai 410083,China);Financial Crisis Warning Research Of Manufacturing Industry Based on BP Neural Network[J];Journal of Shandong Institute of Business and Technology;2006-04
9 XIE Kai gui GAO Xiang ZHOU Jia qi (Electric Power System Research Institute of Electrical Engineering College,Chongqing University,Chongqing, 400044) ZHENG Ji ming (Department of Basic Courses,Chongqing University of Posts and Telecommu;Applying Genetic Algorithm to Solving the Weight Coefficients of Combination Forecasting Model[J];Journal of Chongqing University of Posts and Telecommunications;1999-04
10 YU Ju HUANG Wan-cai (School of Economy and Trade,Chongqing Institute of Technology,Chongqing 400050,China);Game Analysis of the Tunneling Behavior of the Associated Side and the Market Reaction[J];Journal of Chongqing Institute of Technology;2006-10
【Secondary References】
Chinese Journal Full-text Database 8 Hits
1 YAN You-bing 1,CHEN Zhe-zhi 1,YAN Nan-xi 2(1.School of Tourism Management,Xiangtan University,Xiangtan 411105,China;2,School of Health & Human Science,Purdue University,West Lafayette,USA);Study of Development Rule of Travel Agencies in Changsha——Based on Survival Analysis[J];Journal of Wuling;2012-06
2 Zhu Weidong;Li Lingling;Liu Zhenzhen;Hefei University of Technology;;Research on Industry Factors of the Distinguish Effect of Comprehensive Risk- warning Model——A Case Study of Logit Model Based on Principal Component Analysis[J];Journal of Industrial Technological Economics;2015-05
3 Fan Hengdong,Lv Juan(School of Business,Anhui University,Hefei 230601,China);Commercial Bank Financial Risk Pre-warning System Research in China[J];Economy and Management;2011-07
4 Wan Yanling,Yang Jun(School of Economics and Business Administration,Chongqing University,Chongqing 400044,China);Analysis on Credit Risk of China's Listed Companies in Manufacturing Industry:Based on KMV Model[J];Technology Economics;2011-05
5 GENG Chen-Xing(Shenyang University of Technology,Shenyang 110870 China);Analysis on the Customer Clarsification Index Based on Personal Credit Card[J];Journal of Luohe Vocational Technology College;2011-01
6 ;基于Bayes判别模型和Logistic回归模型的银行监管评级研究[J];Financial Regulation Research;2012-08
7 XU Xu-chu;GAO Zhi;ZHAO Na;College of Finance,Anhui University of Finance and Economices;;Study on the Optimal Sample Size of Small Business Credit Rating Based on SVM[J];Journal of Huaiyin Teachers College(Natural Science Edition);2014-01
8 YANG Yi-fan;ZHU Heng;Public school of management, Southwest Jiaotong university;;The Choice of Imbalances Risk Early Warning Method in Basic Pension Insurance Fund——Xinjiang-based Data Analysis[J];Journal of Xinjiang University(Natural Science Edition);2013-04
【Secondary Citations】
Chinese Journal Full-text Database 6 Hits
1 LIANG Qi(Department of Finance, School of Economics, Nankai University,Tianjin 300071,China);PCA & Multivariate Discriminant Model and Prediction of Corporate Distress[J];The Study of Finance and Economics;2003-05
2 By Wang Chunfeng, Wan Haihui, Zhang Wei (School of Management, Tianjin University, Tianjin 300072);Application of Combining Forecasts in Credit Risk Assessment in Banks … (5)[J];JOURNAL OF INDUSTRIAL ENGINEERING AND ENGINEERING MANAGEMENT;1999-01
3 LAI Yi-nan1,2;DONG Hui-juan1;TAN Jia-xiang2 1. School of Mechanical and Electrical Engineering, Harbin Institute of Technology, Harbin 150001, China 2. School of Mechanical and Power Engineering, Harbin University of Science and Technology, Harbin 150040, China;Color filter based on fuzzy neural network[J];Journal of Harbin Institute of Technology;2003-08
4 Wang Chunfeng,Wan Haihui,Zhang WeiInstitute of Systems Engineering,Tianjin University;Credit Risk Assessment in Commercial Banks and Its Test[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;1998-01
5 Zhangwei,Li YushuangSchool of Management,Tianjin University;Credit Risk Analysis in Commercial Bank:An Overview[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;1998-03
6 WANG Chun\|feng, KANG Li (Center for Financial Engineering, School of Management, Tianjin University, Tianjin 300072);A Model Based on Genetic Programming for Credit Risk Assesment in Commercial Banks[J];Systems Engineering-theory & Practice;2001-02
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved