| Credit risk rating model is the core content of internal ratings based approach(IRB) in "The new Basel Capital Accord". Banks use credit risk rating model to assess the probability of default of the borrowers. And in order to resist the risk, the results are used to measure the risk weighted assets and capital regulation.Since the internal rating method implemented in the banking industry, in spite of many debt crises happened in the world, but China's economy has not yet been volatility. From the beginning of 2013, affected by multiple factors in homeland and abroad, the complexity of the Chinese economy gradually increased, some areas appear obvious signals of risk, some companies(such as steel) surge in bank default case. In this case, the credit risk rating model of commercial banks began to act the "overage" phenomenon.The so-called "extended" is used to refer to a commercial bank default data to simulate the history in 3 years or even earlier. The enterprise default risk characteristics within economic down cycle are not included in the research and development model. In order to change this situation, in this paper, we make a new simulation of the bank customers' new credit risk features from the beginning of 2013 to the end of 2014.We also use data mining software to find the main factors of enterprise financial credit default.This paper adopts the method of empirical research. From use the factor analysis of banks' "normal" and "default" customers. There reveals the characteristics of bank enterprise customers' credit risk in the economic down cycle, which summed up 4 financial factors are closely related with the default of enterprises. They are capital efficiency, cash flows, profit making ability and solvency. Finally, we built the credit risk evaluation model which based on multivariate ordinal Logit regression. Through the actual case of commercial banks, it is proved that the model has good predictive validity and reliability. |
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