小額信用貸款違約機率預測模型中結合變數之應用

近年來，銀行在因應BASEL II之IRB法規範下，借款人的違約機率預測已成為銀行界十分重要的課題。在過去眾多針對IRB法下之違約機率預測模型的研究中，其建模變數的選擇皆未考量到自變數間之交互效果對模型預測力的影響。本研究在建構小額信用貸款違約機率預測模型之自變數選取時，加入考量自變數彼此間之交互效果，整合出新的結合變數用以建模，並探討結合變數對建模效果之改善及影響。本研究之結論發現，經整合交互效果後所得之結合變數，的確能建構出預測力更佳之違約機率預測模型，此一結論可做為銀行未來建模流程及風險控管時之重要參考依據。

關鍵字

交互效果；違約機率；結合變數

並列摘要

In the recent years, the bank in accordance to IRB (Internal Rating Based Approach) of BASEL II, the prediction of probability of default has become the banking circles extremely important topic. Many researches have concentrated on this topic, but the interaction effect of independent variables on dependent variable was rarely considered during the process of significant independent variables selection. This research integrates independent variables with interaction into combined variables, and puts those combined variables into constructing the predictive model of probability of default of personal consumer loans. The result shows that the combined variables can improve the abilities of prediction. This conclusion should be an important reference for banks when construct the predictive model of probability of default.