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Please use this identifier to cite or link to this item: https://ah.lib.nccu.edu.tw/handle/140.119/35806
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dc.contributor.advisor鍾經樊zh_TW
dc.contributor.author謝有隆zh_TW
dc.creator謝有隆zh_TW
dc.date2005en_US
dc.date.accessioned2009-09-18T08:05:29Z-
dc.date.available2009-09-18T08:05:29Z-
dc.date.issued2009-09-18T08:05:29Z-
dc.identifierG0922580251en_US
dc.identifier.urihttps://nccur.lib.nccu.edu.tw/handle/140.119/35806-
dc.description碩士zh_TW
dc.description國立政治大學zh_TW
dc.description經濟研究所zh_TW
dc.description92258025zh_TW
dc.description94zh_TW
dc.description.abstract在競爭激烈的借貸市場中,\n銀行業者為求迅速做出適當的授信決策必須藉助信用評分機制,\n於此「信用評分」已逐漸成為銀行業者授信決策的重要依據。\n國內外雖有許多關於「信用評分模型」的相關文獻,\n但對於評分卡整體建置與驗證過程的敘述並不詳細,\n諸如解釋變數的序別化、\n案控樣本的問題、\n以及評分模型的驗證。\n此外,\n本文將「ROC」分析的概念引入解釋變數的序別化過程,\n以提昇模型的辨識力,\n不同於以往對解釋變數的序別化皆採行簡單的均分或主觀的序別化方式。\n\n信用評分模型為了要能適用於各種經濟環境,\n必須加入「控制變數」 (control variables) 以控制外在環境,\n本文認為信用評分模型一旦加入控制變數後,\n對於「信用評分模型驗證」除了看總評分的驗證統計量外,\n還必須將控制變數控制在給定的條件下進行驗證,\n才能確保「信用評分」實際運用時的穩定性與可靠性。\n本文將提出控制變數在給定控制值的情況下,\n評分模型在驗證時所面臨的問題以及解決方案。\n故本文對信用評分模型的建置與驗證的主要貢獻為:\n(1) 提供評分模型的建置過程與驗證方法;\n以及 (2) 信用評分模型加入控制變數之運用與驗證方法。\n\n本文實證使用台灣經濟新報資料庫的企業財務比率資料,\n建置預測企業財務危機的信用評分模型,\n並與「台灣經濟新報信用風險指標」 (TCRI) 進行比較,\n結果顯示本文所製作的信用評等指標優於已行之多年之 TCRI。zh_TW
dc.description.tableofcontents1 緒論\n1.1 信用評分簡史\n1.2 信用評分概述\n2 文獻回顧\n2.1 資料收集與分析\n2.2 違約定義\n2.3 變數篩選\n2.4 信用評分模型\n2.5 評分模型的驗證\n2.6 樣本選擇\n3 信用評分模型的建置\n3.1 資料收集與分析\n3.1.1 缺漏值樣本\n3.1.2 案控樣本\n3.2 變數序別化\n3.2.1 ROC 線分析\n3.2.2 組數的決定與界點的選擇\n3.2.3 自體抽樣與平滑化\n3.3 變數篩選\n3.3.1 排除不穩定的解釋變數\n3.3.2 變數縮減\n3.3.3 控制變數\n3.3.4 篩選統計量\n3.3.5 篩選方式\n3.3.6 評等壞率的單調性\n3.4 Logit 評分模型\n3.4.1 Logit 模型\n3.4.2 評分模型的轉換\n3.4.3 證據權重與 Logit 模型的關係\n3.4.4 案控樣本對評分模型的影響\n3.4.5 案控樣本對證據權重的影響\n3.5 截斷點的選擇\n4 評分模型的驗證\n4.1 驗證統計量\n4.1.1 信息值\n4.1.2 PSI 值\n4.1.3 離敵統計量\n4.1.4 HL 值\n4.1.5 校準度分析\n4.2 控制變數對模型驗證的影響\n5 實證\n6 結論與建議zh_TW
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dc.language.isoen_US-
dc.source.urihttp://thesis.lib.nccu.edu.tw/record/#G0922580251en_US
dc.subject信用評分模型建置zh_TW
dc.subject解釋變數序別化zh_TW
dc.subject控制變數zh_TW
dc.subject信用評分zh_TW
dc.subject信用評分模型驗證zh_TW
dc.title信用評分模型的建置與驗證zh_TW
dc.typethesisen
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