A Study of Research and Application of Credit Scoring Model Based on Probit Model

Da Ren, Maodong Hou () and Huan Li
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Da Ren: Tianjin University
Maodong Hou: Tianjin University
Huan Li: Tianjin University

Chapter Chapter 1 in The 19th International Conference on Industrial Engineering and Engineering Management, 2013, pp 1-13 from Springer

Abstract: Abstract As the main content of the credit risk management, Credit rating has significant research value. China’s current use of credit scoring method is too subjective and unable to adapt to the fierce competition in the banking sector. In connection with the week ability of risk identification of Chinese commercial banks, paper use the Probit regression to build credit scoring models, calculate the probability of default of each customer, divide the customers into two categories, and then test the classification results with ROC curve. The conclusion of the paper shows that the Probit—based credit scoring models can be effective to identify the risk of a manufacturing enterprise, and it is suitable for China’s commercial banks to assess corporate lending credit risk.

Keywords: The management of credit risks; Probit regression; Credit rating; Risk identification (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-642-38442-4_1

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DOI: 10.1007/978-3-642-38442-4_1

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