商业银行信用风险评估的考克思模型

为探讨Cox模型在中国商业银行信用风险评估中的应用问题,借助生存分析中的Cox模型构建样本公司的信用风险评估及预测模型,在商业银行信用风险评估模型中,Cox模型具有可以使用时间序列、无需样本配对、连续预测和高鲁棒性的特点,并采用中国上市公司的财务报表数据,通过2001年到2004年数据实证研究表明,该模型可以较好地对信用风险进行评估。

Cox model for credit risk evaluation of Chinese commercial banks

Aiming at study Cox model application in credit evaluation for Chinese commercial bank, this paper establishes a survivat anatysis model, called Cox model, to predict credit risk with the financial sample data from listed companies in Chinese capitalmarket. Among the credit risk evaluation model for commercial bank, Cox model has the characters of using time series data, no sample match requirement, continual forecast and high robustness. Through the that Cox model is an effective tool in the evaluation empirical study of data from 2001-2004,it is found of credit risk of commercial hanks.