违约概率

基于Logistic回归分析的违约概率预测研究

A Research on Probability of Default prediction Based on Logistic Regression Analysis

基于logistic模型的违约概率测算研究

The Research on the Probability of Default Measure on the Basis of Logistic Model

有序多分类logistic模型在违约概率测算中的应用

The Application of Ordered Logistic Regression Model in the Default Probability Measure

基于Logistic回归分析的上市公司信贷违约概率预测模型研究

A Research into Listed Companies ' Credit Default Probability Prediction Model Based on Logistic Regression Analysis

实证研究结果表明：借鉴贷款风险度确定creditrisk+模型中单个借款人的违约概率这一方法具有可行性。

The result shows : It is a feasible plan to refer to loan risk degree to determine Credit Risk model of individual probability in breach .

CPV模型在银行贷款违约概率计算中的应用研究

Toward the Application of CPV Model in the Calculation of Loan Default Probability

基于违约概率模型KMV的上市公司财务危机预警研究

An Empirical Study on Financial Distress Prediction of Listed Companies on KMV Model

违约概率和违约损失率分别是客户评级和债项评级的定量基础，两者构成了IRB法的核心变量。

Probability of Default and Loss Given Default are the two key variables of internal rating system .

Copula的本质是一个联合违约概率，但它包含了非线性因素，因此更贴近现实世界。

Copula is a joint default probability essentially , but it including the non-lined factors , so it more suitable to the real world .

本文构建一个测度贷款违约概率的联立双变量Probit模型（SBP模型），对样本选择偏差问题进行纠正。

In this paper , we construct a simultaneous bivariate probit model ( SBP model ) to correct the sample selection bias .

运用Logit模型计算贷款企业的违约概率，估计其违约的可能性；

By using Logit model to account the probability of default for a loan enterprise , we can estimate the possibility of its default .

本文主要介绍了一种信用风险管理模型&违约概率（PD）模型。在国际上，对违约概率模型变量的选择上形成两种基本方法。

This paper presents a credit risk management models-probability of default ( PD ) model . Internationally , it has formed two kinds of basic methods for the choice of variables of the default probability model .

然后把这9个公共因子作为输入变量，建立以公司违约概率为输出变量的一个数据集合，使用了神经网络、Logistic回归和决策树三种数据挖掘分类方法。

Then these nine common factor as input variables , to establish a probability of default for the output variables of a data set , using neural networks , Logistic regression and decision tree classification of three kinds of data mining .

本文从风险缓释工具入手，解释了抵押品对违约概率和违约损失率和信用风险VaR的影响，对银行信用风险控制有着十分重要的理论与现实意义。

The paper starts with Risk Mitigation tool , try to explain how mortgage affects PD , LGD and credit risks VAR , Research of this sort is significant in theory and practice of Bank credit risk management .

宏观经济环境、地区经济发展水平直接影响企业的违约概率，企业所在地区的人均GDP、人均财政收入越高、企业违约的可能性就越小。

Macroeconomic environment , the level of economic development in the region directly affects the default probability of companies , GDP per capita , and income per capita , the higher the income per capita , the lower the possibility of corporate default .

为了满足CRB法的要求，本文利用财务危机预警模型中的z值模型估计公司的信用风险，并证明了该模型可以很好的估计违约概率。

In order to bring the CRB into effect , the paper measures our companies ' credit risk using the financial distress pre-warning discrimination model : Z-value model and demonstrate that the model could measure the probability of default .

与EvelynHayden（2003）实证研究结论相反，在我国，由于有限公司的治理结构优势明显，其违约概率低于非有限公司。

Opposite to the research conclusion of Evelyn Hayden ( 2003 ), in our country , because the governance structure advantage of limited company is obvious , PD of limited company is lower than that of unlimited company .

本文首先综合比较了主流定量评级方法的理论适用性和实证效果，并且还对商业银行使用的基于违约概率测度的评级方法进行了简单介绍，最终选择使用多元Probit分析的方法。

This thesis first compares the theoretic applicability and empirical result of the popular quantitative rating methods , and introduce the probability of default measurement model used by commercial banks , finally the author choose the multiple Probit analysis method .

基于违约概率和违约损失率的贷款定价研究

Loan Pricing Based on Probability of Default and Loss Given Default

基于信用评级和违约概率的贷款定价研究

Study on Loan Pricing Based on Credit Rating and Default Probability

企业规模与违约概率负相关。

Enterprise scale negatively correlated with the probability of default .

无可否认，违约概率是一个非常复杂的问题。

Default probabilities are admittedly a very complicated subject .

企业的经营能力对企业的违约概率影响较大，且负相关。

The business operation capacity affects default probability greatly with a negative correlation .

不同的行业其违约概率不同。

There are different default probabilities for different sectors .

银行贷款违约概率测量方法研究

Study on Methodology of Measuring Bank Loan PD

研究表明：①企业的性质对企业的违约概率有较大的影响。

Research showed that : ① the nature of business affects default probability greatly .

第二层次&违约概率的计算。

The second level & Caculating of ' Probability of Default ( PD ) ' .

测算商业银行贷款违约概率的贷款违约表法探讨

Loan Default Table : A Method to Measure the Loan Default Possibility for Commercial Banks

对贷款违约概率的测算是商业银行风险管理的一项重要内容。

To measure the loan default risk is very important in risk management for commercial banks .

第2章是基于几何布朗运动的利率互换交易双方违约概率测算模型。

Chapter 2 introduces the calculation model of default probability based on the geometric Brownian motion .