<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>This paper takes the credit risk management of commercial banks in China as the mainline, and puts forward a quantitative model that is suitable for the credit risk management of commercial banks in China at present – Logistic regression model, and takes a commercial bank as an example, using the regression model to conduct empirical research on the credit risk of enterprises. The estimated Logistic model was tested with confirmation samples. The results show that when the cut-off point is set to 0.5, the overall correct rate of the model for the credit risk measurement of natural persons and for enterprises reaches 84.9% and 88%, respectively. When the cut-off point is set at 0.7, the overall accuracy is 89.2%. In general, the results of credit risk measurement of bank customers by the Logistic model are quite satisfactory. The Logistic Regression model is easy to understand and efficient, so it is worth popularising and putting into practice in commercial banks in China.</p>
</abstract>

This paper takes the credit risk management of commercial banks in China as the mainline, and puts forward a quantitative model that is suitable for the credit risk management of commercial banks in China at present – Logistic regression model, and takes a commercial bank as an example, using the regression model to conduct empirical research on the credit risk of enterprises. The estimated Logistic model was tested with confirmation samples. The results show that when the cut-off point is set to 0.5, the overall correct rate of the model for the credit risk measurement of natural persons and for enterprises reaches 84.9% and 88%, respectively. When the cut-off point is set at 0.7, the overall accuracy is 89.2%. In general, the results of credit risk measurement of bank customers by the Logistic model are quite satisfactory. The Logistic Regression model is easy to understand and efficient, so it is worth popularising and putting into practice in commercial banks in China.

Application of Logical Regression Function Model in Credit Business of Commercial Banks

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

This paper takes the credit risk management of commercial banks in China as the mainline, and puts forward a quantitative model that is suitable for the credit...

Application of Logical Regression Function Model in Credit Business of Commercial Banks

Published Online: Dec 27, 2021

Page range: 513 - 522

Received: Jun 16, 2021

Accepted: Sep 24, 2021

DOI: https://doi.org/10.2478/amns.2021.1.00088

Keywords
Credit risk, Credit risk of commercial bank, Logistic Regression Model

© 2021 Ying Wei published by Sciendo.

This work is licensed under the Creative Commons Attribution 4.0 International License.

Application of Logical Regression Function Model in Credit Business of Commercial Banks

Published Online: Dec 27, 2021

Page range: 513 - 522

Received: Jun 16, 2021

Accepted: Sep 24, 2021

DOI: https://doi.org/10.2478/amns.2021.1.00088

KeywordsCredit risk, Credit risk of commercial bank, Logistic Regression Model

© 2021 Ying Wei published by Sciendo.

This work is licensed under the Creative Commons Attribution 4.0 International License.

Keywords
Credit risk, Credit risk of commercial bank, Logistic Regression Model