Credit Risk Model and Bayesian Improvement for Companies in China

  • Lan LuoEmail author
  • Jian Xiong
  • Qing Zhou
Conference paper
Part of the Computational Risk Management book series (Comp. Risk Mgmt)


The paper focuses on credit risk measuring methods and tries to find suitable model for China’s listed companies’ credit risk measurement. According to the default condition in Chinese listed companies, we apply the factor analysis to the correlative data, and give the default discrimination model by Logistic regression. As the precision of the credit risk default model affect the bank’s risk status and profit directly, the paper uses the Bayesian estimate to improve the predictive power of credit risk default models. Comparing the precision of two models by AUC value and Brier Score, the result shows that the value of AUC of Standard estimator is 0.834 while the same value of Bayesian estimator is 0.870. It shows that the Bayesian estimate has a higher predictive power of precision and stability.


Credit Risk Empirical Bayesian Estimate Factor Analysis Logistic Regression 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2011

Authors and Affiliations

  1. 1.College of Mathematics and Information ScienceGuangzhou UniversityGuangzhouPeople’s Republic of China
  2. 2.The Institute of Mathematical Sciencesthe Chinese University of Hong KongHong KongPeople’s Republic of China
  3. 3.Teradata Information Systems Limited, Guangzhou BrandGuangzhouPeople’s Republic of China

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