Study On Credit Risk Assessment Of China Everbright Bank Based On Projection Persuit

Considering domestic commercial banks in transition period, there exists problems: on one hand, features of the data used on credit assessment are unstable,sample size of the historical data is limited, which shows a non-normal distribution;On the other hand, financial indicators of enterprise are complicated, which has different statistical calibers and strong correlation, the traditional statistical methods demand relatively independence between indicators, which augments difficulties of choosing indexes. All these problems lead to a result that credit assessment of domestic commercial banks is a typical issue about high dimensional and non-normal distribution classification.Currently, it is multivariate statistics analysis method that widely used among foreign commercial banks, whose principle is that, establish a discriminant formula used for the classification of the new samples by the rules summarized from several samples of each category(normal/default class) in history. According to the form of discriminant function and the assumption of sample distribution, the main models are: multiple regression analysis model, multiple discriminant analysis model, logit model and neighbor algorithm, among which multiple discriminant analysis model and logit model are most popular that have lots of business software. The greatest advantage of statistic model is its significant explanatory power, while its disadvantage is strict prerequisite. Therefore, this paper presented a new method---Projection Pursuit, which was used to build the discriminant analysis model, solving the problem of credit assessment of domestic commercial banks that trapped in high dimensional and non-normal distribution. The empirical results showed that projection pursuit discriminant analysis performed better on risk evaluation than the traditional discriminant analysis technology, logit model and neighbor algorithm with higher precision.This paper took credit risk of commercial bank as the main research object,established the credit risk evaluation model applied to China Everbright Bank(CEB)based on its real credit data, using projection pursuit as the main research approach,as wish to improve the quality of credit assets and to enhance the ability to control credit risk, so as to sharpen its edge among the whole domestic peers. In the aspect of content, this paper made further research to the status quo of CEB credit risk evaluation system, pointed out the existing problems and carefully analyzed the causes.Based on the above, with the feasibility of applying projection pursuit to CEB credit assessment analyzed, this paper rebuilt the evaluation index system and the assessment model using projection pursuit. The whole design thought of the new model was established. Then the validity of the model was proved by analogue simulation, as wish to improve the quality of credit assets and to enhance the ability to control credit risk, so as to sharpen its edge among the whole domestic peers...