The Research On The Dynamic Early-warning Of Credit Risk Based From The Commercial Banks' Perspective

The credit risk is one of the main risks with which commercial banks confronted in social economic condition. In face of the competition pressure and New Basel Capital Accord on enterprise-wide risk management, it is so necessary that to set up an early-warning management model to forecast the credit risk of companies, especially for the domestic commercial banks which mainly rely on loan business. Therefore, the early-warning of the credit risk became a challenging research in this area.Base on the research about the early-warning of the credit risk in domestic and abroad, they always neglect of the data characteristics of time series. Then we established an index of model with 26 financial indicators and non- financial indicators, this model combined with Factor Analysis and Logistic Regression Analysis. This model is employed to establish Chinese enterprises'early-warning model of credit risk. On the basis of the previous research, we choose 146 listed companies of 2007-2008 in ShenZhen and ShangHai stock market, include which has been ST and normal companies, were chosen them as the research sample. Then we make the descriptive test and analysis the index'characteristic by SPSS17.0, finally, we found that the dynamic model can forecast the credit risk well, the total predictions is 87.3%, and the test sample also reached 83.3%, and that reaches the expected purpose. Finally, we propose some suggestions on how to improve the early-warning of credit risk.