System and method for estimating credit risks

A credit and risk technology, applied in the field of credit risk management, can solve problems such as the inability to achieve objective, accurate and efficient evaluation, and achieve the effect of efficient evaluation and improved accuracy

Inactive Publication Date: 2011-07-06
INDUSTRIAL AND COMMERCIAL BANK OF CHINA
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Problems solved by technology

[0008] In order to overcome the difficulty that banks currently rely on human experience to quantify and evaluate credit risk in extreme situations, and cannot achieve objective, accurate, and efficient evaluations, the present

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  • System and method for estimating credit risks
  • System and method for estimating credit risks
  • System and method for estimating credit risks

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Embodiment Construction

[0047] In order to make the object, technical solution and advantages of the present invention clearer, the present invention will be described in further detail below in conjunction with specific embodiments and with reference to the accompanying drawings.

[0048] The system and method for evaluating credit risk provided by the present invention adopts a "top-down" (Top-Down) macro model method to automatically collect the source data of each business system, and perform logical regression on these source data , panel regression, time series analysis and other means to measure and evaluate credit risk in extreme cases, generate evaluation result data, and store the generated evaluation result data in the data storage device. The final evaluation result is the credit risk analysis data in extreme cases (such as PD after pressure, economic capital EC after pressure, non-performing loan ratio NPLR after pressure, etc.). Describe in detail below with reference to the accompanyin...

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Abstract

The invention discloses a system and a method for estimating credit risks in extreme cases. The system comprises a source data acquisition device, a user input device, a credit risk pressure measurement device, a data storage device and a data output device, wherein the source data acquisition device is connected with the data storage device; the user input device, the credit risk pressure measurement device, the data storage device and the data output device are connected sequentially; and the credit risk pressure measurement device reads source data collected by the source data acquisition device from the data storage device, and conducts simulation and prediction processing on the source data and user input information input by the user input device so as to realize the estimation of the credit risks in the extreme cases. The system and the method overcome the problem that objective, accurate and efficient estimation cannot be realized since the quantification and the estimation of the credit risks in the extreme cases of a bank are mainly dependent on the experience of personnel, and greatly improve the accuracy and safety of the data.

Description

technical field [0001] The invention relates to the technical field of credit risk management, in particular to a system and method for evaluating credit risk. Background technique [0002] Credit risk refers to the risk that the debtor or counterparty fails to perform the obligations stipulated in the contract or changes in credit quality, which affects the execution of the contract, thereby causing losses to the creditor or financial instrument holder. From the perspective of whether the risk is predictable, the credit risk losses faced by banks are divided into expected losses, unexpected losses and extreme losses. Expected losses can be digested through bank pricing and reserves; unanticipated losses can only be resisted and absorbed by economic capital; extreme losses are losses that occur under abnormal circumstances, with an extremely low probability of occurrence but huge losses. In recent years, banks have conducted many researches on credit risk assessment and ach...

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Application Information

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IPC IPC(8): G06Q40/00
Inventor 桑海炀盛明颖李瑾瑜朱佳宁王玥婷
Owner INDUSTRIAL AND COMMERCIAL BANK OF CHINA
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