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題 名 | 信用評分模型區別力之穩健性研究=The Research of Robustness in Discriminatory Power of Credit Scoring Model |
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作 者 | 洪明欽; 張揖平; 陳昱陵; 陳和貴; | 書刊名 | 金融風險管理季刊 |
卷 期 | 3:4 2007.12[民96.12] |
頁 次 | 頁1-23 |
分類號 | 563.1 |
關鍵詞 | 信用評分模型; 區別力; 信賴區間; Discriminatory power; Credit scoring model; Confidence interval; |
語 文 | 中文(Chinese) |
中文摘要 | 新巴塞爾資本協定(The New Basel Capital Accord,簡稱Basel II)允許銀行可自行發展信用評分模型,而信用評分模型是銀行做為區別授信戶未來是否可能發生違約的重要依據,其區別授信戶的能力稱之為信用評分模型區別力(discriminatory power)。本文主要藉由財團法人金融聯合徵信中心(聯徵中心)之企業信用評分和歷史違約資料,在不同情境下,銀行信用評分模型區別力指標之信賴區間,並探討信用評分模型區別力指標的穩健性。 本研究所使用區別力指標KS(Kolmogorov-Smironov)、AUC(area under curve)和AR(accuracy ratio)判斷信用評分模型的優劣,研究結果發現當授信戶數相同時,違約比率較低的銀行琦區別力指標會較高,但指標較不穩定(信賴區間較寬);此外,在違約比率相同的情況之下,授信戶數較少的銀行其區別力指標會較高,但指標也較不穩定。因此,在信用評分模型驗證(validation)時,除了信用評分模型區別力指標外,還需輔以信用評分模型區別力指標之信賴區間。 |
英文摘要 | The New Basel Capital Accord (Basel II) permits a bank to build its internal credit scoring model which is the key to tell if obligors will default or not. The ability of correctly distinguishing good or bad obligors is called the discriminatory power of credit scoring model. In this research, with data set provided by Joint Credit Information Center (JCIC), we calculate the confidence intervals of discrimination power indices - KS,AUCandARand discuss the stability property of discrimination. We found that, with same number of obligors, when a bank has lower default rate, the discriminatory power index is higher but the index is unstable (i.e. the confidence interval of the discriminatory power is wider). Also, given a fixed default rate, when a bank has fewer obligors, its discriminatory power will be generally higher but the index is also unstable. We conclude that when judging a credit scoring model, in addition to the discriminatory power, regulator should also consider its confidence interval together. |
本系統中英文摘要資訊取自各篇刊載內容。