基于支持向量机的农户小额贷款决策评价研究
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摘要
农户小额贷款决策评价包括农户小额贷款信用等级评价与农户小额贷款决策两部分。农户小额贷款信用等级评价是指通过考察农户小额贷款客户的基本情况、还款能力、还款意愿、保证联保和宏观环境等因素,判别不同农户小额贷款客户的信用等级。农户小额贷款决策是指在农户小额贷款信用等级评价的基础上,综合考虑银行的目标利润、贷款费用等因素,制定出客户可接受的农户小额贷款利率。
农户小额贷款决策评价问题迫切需要解决,原因有三：一是信用等级评价是古老而现代的课题,农户小额贷款信用等级评价更是亟待解决的问题。农户小额贷款的额度小风险分散,加上农户的财务信息不健全,导致现有农户信用等级评价方法无法区分违约客户和非违约客户、违约客户评价得分反而比较高的不合理状况。二是贷款定价理论与模型是金融学的三大前沿课题之一,农户小额贷款定价更是亟待完善和探索的重要领域。对农户小额贷款进行合理定价,有利于改善农户融资难、贷款难的现状,促进农户发展。因此,农户小额贷款定价问题既是一个商业银行定价决策的问题,又是一个极其重要的社会问题。三是占总人口比重高达63.91%的农业人口的贷款问题迫切需要解决。小额贷款已成为发展中国家帮助低收入者扩展生产经营的一种资金融通方式。我国农业人口占总人口的比例高达63.91%。科学合理的农户小额贷款决策评价体系不仅在解决农户贷款难问题,促进农民增收、脱贫致富等方面起着举足轻重的作用,而且是“三农”问题的解决、社会主义新农村建设的重要手段。
本论文共分五章。第一章绪论。第二章基于违约判别能力的农户小额贷款信用等级评价指标体系的构建。第三章是基于最优核函数的农户小额贷款信用等级评价研究。第四章是基于区间效率的农户小额贷款定价研究。第五章是结论与展望。
本论文的主要工作如下：
(1)建立了农户小额贷款信用等级评价指标体系。以全国性大型商业银行可收集的农户小额贷款数据为基础,结合国内外相关机构的高频指标,通过偏相关分析和违约判别能力分析相结合的方法筛选出能显著区分违约客户和非违约客户的评价指标,最终构建了包括25个指标的农户小额贷款信用等级评价指标体系。
通过年净收入/人均GDP等指标反映农户的偿还能力。通过是否有未归还的银行借款反映农户的债务情况。通过保证人实力、联保小组成员关系等指标,反映农户的抵押担保情况。通过地区GDP增长率等指标反映地区经济发展对农户清偿能力的影响。
(2)建立了具有决策评价功能的农户小额贷款信用等级评价体系。
一是从违约与否、评价得分高低、违约损失大小三个层面对农户小额贷款信用风险进行了评价。二是通过比较不同信用等级客户贷款对利润的影响程度,确定信用等级临界点、使评价系统具有贷款的决策功能。
研究结果表明：对BB等级及其以上的农户发放贷款可以保证大型商业银行达到盈亏平衡。通过贷款临界点的设立,为银行贷款决策提供了依据。
(3)建立了基于区间效率的农户小额贷款定价模型。
以存款利息支出率、费用支出率、预期违约损失率、目标利润率等4个定价指标作为输入,以贷款利率作为输出,采用支持向量机回归算法建立基于区间效率的农户小额贷款定价模型。
综合考虑贷款价格能否被农户接受,将农户可接受的效率区间引入到贷款定价模型中：通过比较不同核函数、核参数下的贷款效率区间与农户可接受的效率区间的匹配程度,确定最优的核函数和核参数；进而得到了对应的贷款价格。更好解决了在考虑贷款价格能否被农户接受情况下贷款利率水平的确定问题。
This dissertation establishes the evaluation and decision system of small amount loans for farmers based on support vector machines. It includes the credit evaluation system of small amount loans for farmers and the decision-making system of small amount loans for farmers.The credit evaluation system of small amount loans for farmers is to evaluate the credit risk, considering loan repayment capacity, willing to pay, macro environment and guarantee and joint guarantee adding up to five primary standards.The decision-making system of small amount loans for farmers is to determine a customer acceptable price, considering deposit interest rates, expenditure rates, expected default loss rate and the target profit.
There are three reasons why evaluation and decision of small amount loans for farmers is a burning question. Firstly, credit evaluation is the subject of ancient and modern. Also credit evaluation of small amount loans for farmers is serious. Because there are several characteristics of small amount loans for farmers, such as farmers spread, a small line of credit and the incomplete financial information, the existing research can not distinguish default and non-default significantly, or even most research found that the default customers correspond to the higher credit scores.Secondly, the loan pricing model and theory is one of three advanced finance topics. And the loan pricing problem of farmers' is an important area to improvement or explore. The reasonable prices of small amount loans to farmers will help farmer to improve the financing status and getting loans, to promote the development of farmers. Therefore,the loan pricing problem of farmers' is not only a commercial bank issue,but also a very important social issue.Thirdly, the loan problem of farmers'need to be solved, that the proportion is up to 63.91 of the total population. Small amount loan is an import financing method in helping low-income expanding their production and operation in developing countries. Rural population is huge in China. Proportion of the total population accounted for 63.91.The scientific and rational evaluation-decision system for farmers'small amount loans will not only plays an important role in solving the problem of household loans, increasing peasant income, poverty alleviation, etc., but also solve the problem of countryside, agriculture and farmers.
This dissertation includes five chapters. The first chapter analyzes the topic basis, the relative research development, methods, content and so on. The second chapter expounds the construction of the index system of small amount loans for farmers based on comprehensive discriminate capacity. The third chapter discusses the credit evaluation model based on the best kernel function. The forth chapter establishes the loan pricing model based on this efficiency interval. In the fifth chapter come the conclusion and the prospects.
The major work of this dissertation is as follows:
(1) This dissertation constructs the index system of small amount loans for farmers that reflect the requirements of scientific development.
Considering the high-frequency indicator of relevant research and the credit data for farmer of a large national commercial bank in China, this dissertation set up the index system of small amount loans for farmers based on partial correlation and comprehensive discriminate capacity. The index system of small amount loans for farmers includes 25 indicators.Those 25 indicators can distinguish default and non-default significantly.
The operating net income of the lender, the ratio of annual net income to per capita GDP, Families daily living expenses reflect farmers' solvency.Have not repaid bank borrowing reflects the debt situation of farmers. The relationship among the joint guarantee group members and the strength of the guarantors reflect the influence of Guarantee and joint guarantee standard to farmers' solvency. Per capita net income of rural households, regional GDP growth rate, and the Engel coefficient index reflect the influence of macro environment to farmers' solvency.
(2) Based on the index system of small amount loans for farmers, the credit evaluation model based on the best kernel function is established.
Firstly, the credit risk is evaluated from three levels, such as the breach of contract or not, the evaluation score of credit risk, the loss given default. Secondly, by determining the critical point through comparing the credit evaluation of different customers, the established credit risk evaluation system of small amount loans for farmers is not only used to credit risk evaluation but also to determination.
The results for one of national biggest banks showed that:loaning to the customer of BB grade and above can achieve profit balance.
(3) The loan pricing model based on the interval efficiency is established.
Taking deposit interest rates, expenditure rates, expected default loss rate, the target profit as the input, the loan interest rate as the output, the loan pricing model based on the interval efficiency is established using support vector machine regression algorithm.
Considering the price can be accepted by clients, this dissertation takes the interval into the loan pricing model and establishes the loan pricing model based on the interval efficiency. The dissertation determined the optimal kernel function and the optimal kernel parameters by comparing the efficiency interval in different kernel function and kernel parameters and the acceptable efficiency interval of farmers'.Then the loan price is determined. It solves the loan pricing problem that considering the price can be accepted by clients.
农户小额贷款决策评价问题迫切需要解决,原因有三：一是信用等级评价是古老而现代的课题,农户小额贷款信用等级评价更是亟待解决的问题。农户小额贷款的额度小风险分散,加上农户的财务信息不健全,导致现有农户信用等级评价方法无法区分违约客户和非违约客户、违约客户评价得分反而比较高的不合理状况。二是贷款定价理论与模型是金融学的三大前沿课题之一,农户小额贷款定价更是亟待完善和探索的重要领域。对农户小额贷款进行合理定价,有利于改善农户融资难、贷款难的现状,促进农户发展。因此,农户小额贷款定价问题既是一个商业银行定价决策的问题,又是一个极其重要的社会问题。三是占总人口比重高达63.91%的农业人口的贷款问题迫切需要解决。小额贷款已成为发展中国家帮助低收入者扩展生产经营的一种资金融通方式。我国农业人口占总人口的比例高达63.91%。科学合理的农户小额贷款决策评价体系不仅在解决农户贷款难问题,促进农民增收、脱贫致富等方面起着举足轻重的作用,而且是“三农”问题的解决、社会主义新农村建设的重要手段。
本论文共分五章。第一章绪论。第二章基于违约判别能力的农户小额贷款信用等级评价指标体系的构建。第三章是基于最优核函数的农户小额贷款信用等级评价研究。第四章是基于区间效率的农户小额贷款定价研究。第五章是结论与展望。
本论文的主要工作如下：
(1)建立了农户小额贷款信用等级评价指标体系。以全国性大型商业银行可收集的农户小额贷款数据为基础,结合国内外相关机构的高频指标,通过偏相关分析和违约判别能力分析相结合的方法筛选出能显著区分违约客户和非违约客户的评价指标,最终构建了包括25个指标的农户小额贷款信用等级评价指标体系。
通过年净收入/人均GDP等指标反映农户的偿还能力。通过是否有未归还的银行借款反映农户的债务情况。通过保证人实力、联保小组成员关系等指标,反映农户的抵押担保情况。通过地区GDP增长率等指标反映地区经济发展对农户清偿能力的影响。
(2)建立了具有决策评价功能的农户小额贷款信用等级评价体系。
一是从违约与否、评价得分高低、违约损失大小三个层面对农户小额贷款信用风险进行了评价。二是通过比较不同信用等级客户贷款对利润的影响程度,确定信用等级临界点、使评价系统具有贷款的决策功能。
研究结果表明：对BB等级及其以上的农户发放贷款可以保证大型商业银行达到盈亏平衡。通过贷款临界点的设立,为银行贷款决策提供了依据。
(3)建立了基于区间效率的农户小额贷款定价模型。
以存款利息支出率、费用支出率、预期违约损失率、目标利润率等4个定价指标作为输入,以贷款利率作为输出,采用支持向量机回归算法建立基于区间效率的农户小额贷款定价模型。
综合考虑贷款价格能否被农户接受,将农户可接受的效率区间引入到贷款定价模型中：通过比较不同核函数、核参数下的贷款效率区间与农户可接受的效率区间的匹配程度,确定最优的核函数和核参数；进而得到了对应的贷款价格。更好解决了在考虑贷款价格能否被农户接受情况下贷款利率水平的确定问题。
This dissertation establishes the evaluation and decision system of small amount loans for farmers based on support vector machines. It includes the credit evaluation system of small amount loans for farmers and the decision-making system of small amount loans for farmers.The credit evaluation system of small amount loans for farmers is to evaluate the credit risk, considering loan repayment capacity, willing to pay, macro environment and guarantee and joint guarantee adding up to five primary standards.The decision-making system of small amount loans for farmers is to determine a customer acceptable price, considering deposit interest rates, expenditure rates, expected default loss rate and the target profit.
There are three reasons why evaluation and decision of small amount loans for farmers is a burning question. Firstly, credit evaluation is the subject of ancient and modern. Also credit evaluation of small amount loans for farmers is serious. Because there are several characteristics of small amount loans for farmers, such as farmers spread, a small line of credit and the incomplete financial information, the existing research can not distinguish default and non-default significantly, or even most research found that the default customers correspond to the higher credit scores.Secondly, the loan pricing model and theory is one of three advanced finance topics. And the loan pricing problem of farmers' is an important area to improvement or explore. The reasonable prices of small amount loans to farmers will help farmer to improve the financing status and getting loans, to promote the development of farmers. Therefore,the loan pricing problem of farmers' is not only a commercial bank issue,but also a very important social issue.Thirdly, the loan problem of farmers'need to be solved, that the proportion is up to 63.91 of the total population. Small amount loan is an import financing method in helping low-income expanding their production and operation in developing countries. Rural population is huge in China. Proportion of the total population accounted for 63.91.The scientific and rational evaluation-decision system for farmers'small amount loans will not only plays an important role in solving the problem of household loans, increasing peasant income, poverty alleviation, etc., but also solve the problem of countryside, agriculture and farmers.
This dissertation includes five chapters. The first chapter analyzes the topic basis, the relative research development, methods, content and so on. The second chapter expounds the construction of the index system of small amount loans for farmers based on comprehensive discriminate capacity. The third chapter discusses the credit evaluation model based on the best kernel function. The forth chapter establishes the loan pricing model based on this efficiency interval. In the fifth chapter come the conclusion and the prospects.
The major work of this dissertation is as follows:
(1) This dissertation constructs the index system of small amount loans for farmers that reflect the requirements of scientific development.
Considering the high-frequency indicator of relevant research and the credit data for farmer of a large national commercial bank in China, this dissertation set up the index system of small amount loans for farmers based on partial correlation and comprehensive discriminate capacity. The index system of small amount loans for farmers includes 25 indicators.Those 25 indicators can distinguish default and non-default significantly.
The operating net income of the lender, the ratio of annual net income to per capita GDP, Families daily living expenses reflect farmers' solvency.Have not repaid bank borrowing reflects the debt situation of farmers. The relationship among the joint guarantee group members and the strength of the guarantors reflect the influence of Guarantee and joint guarantee standard to farmers' solvency. Per capita net income of rural households, regional GDP growth rate, and the Engel coefficient index reflect the influence of macro environment to farmers' solvency.
(2) Based on the index system of small amount loans for farmers, the credit evaluation model based on the best kernel function is established.
Firstly, the credit risk is evaluated from three levels, such as the breach of contract or not, the evaluation score of credit risk, the loss given default. Secondly, by determining the critical point through comparing the credit evaluation of different customers, the established credit risk evaluation system of small amount loans for farmers is not only used to credit risk evaluation but also to determination.
The results for one of national biggest banks showed that:loaning to the customer of BB grade and above can achieve profit balance.
(3) The loan pricing model based on the interval efficiency is established.
Taking deposit interest rates, expenditure rates, expected default loss rate, the target profit as the input, the loan interest rate as the output, the loan pricing model based on the interval efficiency is established using support vector machine regression algorithm.
Considering the price can be accepted by clients, this dissertation takes the interval into the loan pricing model and establishes the loan pricing model based on the interval efficiency. The dissertation determined the optimal kernel function and the optimal kernel parameters by comparing the efficiency interval in different kernel function and kernel parameters and the acceptable efficiency interval of farmers'.Then the loan price is determined. It solves the loan pricing problem that considering the price can be accepted by clients.
引文
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