Consumption financial risk assessment method for measuring unexpected loss

Abstract

The invention discloses a consumption financial risk assessment method for measuring unexpected loss, which comprises the following steps of: extracting different types of user information and corresponding default information from a certain amount of historical data, converting the user information and the default information into a general format, and constructing an anti-fraud data set; receiving user information of the incremental users, extracting user attributes related to the default probability, classifying the user attributes, and calculating according to historical default probability corresponding to the same type of users in the anti-fraud data set to obtain estimated default probability of the users in a normal economic environment; deviation correction is conducted on the estimated default probability obtained through calculation; obtaining the current economic and environmental factors, calculating the influence of the current economic and environmental factors on the estimated default probability, and adjusting to obtain the final estimated default probability; and calculating to obtain the unexpected loss corresponding to the user. According to the method, the default probability of the same type of users can be calculated by transversely comparing the existing default conditions and analyzing the information amount of the past default users, so that the unexpected loss can be accurately predicted.

Description

technical field [0001] The invention relates to the technical field, in particular to a consumer financial risk assessment method for measuring unexpected losses. Background technique [0002] In the business of consumer finance companies, there are two kinds of losses: expected losses and unexpected losses. It is not the expected loss that has a greater impact on the credit business, but the unexpected loss, because the former is known, and the latter is the potential loss of volatile asset values. The unexpected loss varies with the change of tolerance, and the risk borne by the bank is the potential loss caused by unexpected or uncertain factors, and this loss is exactly the part that needs to be compensated by capital. Consumer finance companies are subject to regulatory constraints. In the case of maximizing benefits and minimizing losses, they hope to clarify possible unexpected losses, so that they can develop and promote business more conveniently. [0003] There a...

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Problems solved by technology

[0003] There are several uncertainties in the calculation of unexpected losses. In the credit scenario of traditional banks, banks often use credit rating data and a large amount of historical data to model and estimate the probability of default; for consumer finance companies, there is a dilemma of data scarcity , the probability of default modeled using the existing credit rating data of consumer finance companies may not be very accurate, and there will be fat tails, such as figure 2 As shown, it is difficult for the Consumer Finance Department to use credit rating data to directly calculate unexpected losses as in traditional banking

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