Research On Credit Risk Measurement Based On Logit Model Of Chinese Commercial Bank Loans To Small And Medium Enterprises

In recent years, with the development of the financial market reform, more and more commercial banks into the market, leading to increasingly fierce market competition. Facing the pressure, Small and medium enterprises which are absolute quantity in the market have become the first choice of commercial bank competition for dispersion. At present, in order to understand the small and medium enterprise loan risk, commercial banks are actively exploring an effective quantitative tool. If commercial banks have such tools, the existence of small and medium enterprise risk sticks out a mile. Therefore, focusing on small and medium enterprises credit risk management is a kind of effective credit risk measurement method.Combining with the related theories of the commercial banks and small and medium enterprises, The author analyzes the difficulties of small and medium sized enterprises credit risk measurement. Through analysis and comparison of common credit risk measurement tools, the author tries to study the hypothesis conditions Logit regression model which is more suitable for small and medium enterprise at the present stage of our country.In the aspect of the selection of initial index,the paper selects 16 quantitative indicators in four aspects which can reflect the financial condition of small and medium sized enterprise and applies 3 qualitative indexes of non-financial influencing factors reference to the related research. It selects 160 sample datas based on the asset-liability ratio of 60% as the threshold of enterprises'risk.Firstly, the paper obtains five effective factors by using exploratory factor analysis to reduce the dimension of the variable and confirmatory factor analysis of the rationality of the factor structure of inspection. Secondly, through the use of Logit regression analysis, obtained the small and medium enterprise default probability. Finally, choose other enterprise sample, used to test the validity of Logit regression analysis. The results show that:Logit regression analysis can predict the credit risk of SMEs, provides a reliable measure of credit risk of SMEs for commercial banks.