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Research on Optimal Allocation Strategy of Bank Credit Funds Based on KMV Model and Logit Model

Chao Liu, Xiaofan Zhang, Yuerong Wang

Abstract


Using KMV model, normal Copula function, K-means cluster analysis and logit model, this paper constructs the enterprise credit risk assessment model, bank credit fund optimal allocation model, banking risk index system, and synthetically uses software such as MATLAB、SPSS to solve the problem of credit fund distribution strategy for small and medium-sized enterprises, and draws the conclusion that the loan interest rate classification of enterprise credit risk assessment, the weight of bank to credit fund distribution, and the change of bank risk index weight in sudden situation.Finally, the above model provides the strategy for bank credit fund allocation and gives the test and evaluation.
The outstanding features of this paper are: using the KMV model and the normal Copula function, combining the enterprise credit rating and default times to establish a linear model to quantify the enterprise credit risk, will not beeasy to calculate the industry violation probability quantitative analysis, also get the bank credit annual interest rate fordifferent industries and levels of enterprises, and through the representative industries of the optimal loan weight calculation, so that the bank decision has the characteristics of the least unit risk. This paper also establishes a banking risk index system with emergency factors, which is of practical significance to make decision analysis of emergency events.

Keywords


KMV Model; Logit Model; Optimal Allocation of Credit Funds

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References


Chi G, Zhang Y, Shi B. The debt rating for small enterprises based on Probit regression. Journal of Management Sciences in China 2016; (6): 136–156.

Cao Y, Li M, Li G, et al. Bank loan portfolio optimization model between industries based on joint probabilities of default states. Journal of Systems & Management 2018; 27(5): 881–894.

Yu D, Li X. Credit risk assessment of small and medium enterprises under supply chain finance model — Taking electronic manufacturing industry as an example (in Chinese). Credit Reference 2019; 37(10): 72–77.




DOI: http://dx.doi.org/10.18686/fm.v6i1.3061

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