本文關(guān)鍵詞：基于信息非對稱的個人信用卡信用風險研究　出處：《哈爾濱工業(yè)大學》2012年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 信息非對稱 信用卡 信用風險 Logistic-AHP模型

【摘要】：信用卡作為信息時代的產(chǎn)物，已經(jīng)成為人們?nèi)粘Ｉ钪胁豢苫蛉钡囊环N消費支付工具，再加上銀行業(yè)的迅速發(fā)展和擴張，作為銀行重要利潤來源的信用卡的發(fā)行量也日益膨脹，這種由行業(yè)的擴張而引發(fā)的發(fā)卡數(shù)量的膨脹，又進一步刺激了潛在的相應風險源，進而加劇了個人信用卡信用風險，對信用風險的研究就成為了近幾年來各大銀行和眾多學者關(guān)注的話題。了解信用卡信用風險的成因，有效地建立信用風險評估體系，對銀行控制風險、節(jié)約運作成本、提高利潤率具有十分重要的價值，同時對保證我國金融體制穩(wěn)健、高效的運行，實現(xiàn)金融行業(yè)可持續(xù)發(fā)展也具有十分重要的意義。 本文首先從信息經(jīng)濟學理論中的信息非對稱理論出發(fā)，探討信息非對稱下的信用卡業(yè)務所引發(fā)的逆向選擇和道德風險，進而研究信息非對稱下的信用風險的配給效應和信用損失的度量，，并從發(fā)卡行與持卡人、發(fā)卡行與內(nèi)部人員、發(fā)卡行之間、發(fā)卡行與政府部門這四個方面描述信用風險的成因表現(xiàn)。然后基于信息非對稱的背景，分別從宏觀和微觀兩個層面繼續(xù)探討形成信用卡信用風險的影響因素和各因素所引起的信用風險的形成機理。在此基礎(chǔ)上，確定了模型的評估變量并構(gòu)建了Logistic-AHP個人信用卡信用風險評估模型。 在實證中，本文先用Logistic回歸對評估變量進行篩選，確定出納入信用風險評估體系的評估指標，并通過層次分析法確定各指標變量的權(quán)重，以進一步設(shè)計出風險評估體系的評分標準，然后通過分值的計算預測違約樣本的個數(shù)，并通過模型預測精度的測量與對比說明Logistic-AHP模型的有效性。最后由模型結(jié)果得出持卡人所在的公司類型、月收入、職務是風險評估中最重要的三個因素，并通過結(jié)果的評價提出及時核實、更新客戶信息以及加強持卡人誠信教育的建議。本文的模型結(jié)論為商業(yè)銀行進一步調(diào)整評分體系，確定重點客戶監(jiān)測信息提供了一定的參考依據(jù)。
[Abstract]:As a product of the information age, credit card has become an indispensable consumer payment tool in people's daily life, coupled with the rapid development and expansion of the banking industry. As an important source of profits of banks, the issuance of credit cards is also expanding day by day. The expansion of the number of credit cards issued by the expansion of the industry further stimulates the potential risk sources. The study of credit risk has become a topic of concern for banks and many scholars in recent years. Understand the causes of credit card credit risk. The effective establishment of credit risk assessment system is of great value for banks to control risks, save operating costs and improve profit margins, and at the same time, it is of great value to ensure the steady and efficient operation of our financial system. It is also of great significance to realize the sustainable development of financial industry. This paper first discusses the adverse selection and moral hazard caused by credit card business under asymmetric information from the information asymmetry theory of information economics. Then it studies the rationing effect of credit risk and the measurement of credit loss under asymmetric information, and from between the issuing bank and the cardholder, the issuing bank and the internal personnel, the issuing bank. Credit card issuing banks and government departments describe the causes of credit risk performance. Then based on asymmetric information background. From the macro and micro levels, we continue to discuss the influencing factors of credit card credit risk and the formation mechanism of credit risk caused by each factor. On this basis. The evaluation variables of the model are determined and the credit risk assessment model of Logistic-AHP personal credit card is constructed. In the empirical analysis, this paper first uses Logistic regression to screen the evaluation variables, and determines the evaluation index which is included in the credit risk evaluation system, and determines the weight of each index variable by AHP. In order to further design the risk assessment system rating criteria, and then calculate the number of default samples through the calculation of the score. The validity of the Logistic-AHP model is proved by the measurement and comparison of the prediction accuracy of the model. Finally, the type of company in which the cardholder belongs, the monthly income, is obtained from the results of the model. Functions are the three most important factors in risk assessment and are verified in a timely manner through the evaluation of the results. The conclusion of this paper provides a reference for commercial banks to further adjust the scoring system and determine the monitoring information of key customers.
【學位授予單位】：哈爾濱工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.479

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本文編號：1363040