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An Optimal Decision Assessment Model Based on the Acceptable Maximum LGD of Commercial Banks and Its Application
Joint Authors
Meng, Bin
Wang, Jing
Shi, Baofeng
Source
Issue
Vol. 2016, Issue 2016 (31 Dec. 2016), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2016-09-21
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
This paper introduces a novel decision assessment method which is suitable for customers’ credit risk evaluation and credit decision.
First of all, the paper creates an optimal credit rating model, and it consisted of an objective function and two constraint conditions.
The first constraint condition of the strictly increasing LGDs eliminates the unreasonable phenomenon that the higher the credit rating is, the higher the LGD (loss given default) is.
Secondly, on the basis of the credit rating results, a credit decision-making assessment model based on measuring the acceptable maximum LGD of commercial banks is established.
Thirdly, empirical results using the data on 2817 farmers’ microfinance of a Chinese commercial bank suggest that the proposed approach can accurately find out the good customers from all the loan applications.
Moreover, our approach contributes to providing a reference for decision assessment of customers in other commercial banks in the world.
American Psychological Association (APA)
Shi, Baofeng& Meng, Bin& Wang, Jing. 2016. An Optimal Decision Assessment Model Based on the Acceptable Maximum LGD of Commercial Banks and Its Application. Scientific Programming،Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1118420
Modern Language Association (MLA)
Shi, Baofeng…[et al.]. An Optimal Decision Assessment Model Based on the Acceptable Maximum LGD of Commercial Banks and Its Application. Scientific Programming No. 2016 (2016), pp.1-9.
https://search.emarefa.net/detail/BIM-1118420
American Medical Association (AMA)
Shi, Baofeng& Meng, Bin& Wang, Jing. An Optimal Decision Assessment Model Based on the Acceptable Maximum LGD of Commercial Banks and Its Application. Scientific Programming. 2016. Vol. 2016, no. 2016, pp.1-9.
https://search.emarefa.net/detail/BIM-1118420
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1118420