以存活分析法預測通信貸款之還款期限; Utilizing Survival Analysis to Predict Duration of Mail Loan Products

NCUIR > School of Management at National Central University > Executive Master of Finance Management > Electronic Thesis & Dissertation > Item 987654321/12445

Please use this identifier to cite or link to this item: http://ir.lib.ncu.edu.tw/handle/987654321/12445

Title:	以存活分析法預測通信貸款之還款期限;Utilizing Survival Analysis to Predict Duration of Mail Loan Products
Authors:	陳勝忠;Sheng-Chung Chen
Contributors:	財務金融學系碩士在職專班
Keywords:	比例危險模型;存續期間;存活分析;Duration;Survival Analysis;Proportional Hazard Model
Date:	2009-06-20
Issue Date:	2009-09-22 14:49:31 (UTC+8)
Publisher:	國立中央大學圖書館
Abstract:	次貸金融風暴的發生，金融業的流動性風險更顯重要，資金移轉訂價是現行資產負債管理重要的範疇，而要合理執行資金移轉訂價，評量產品存續期間是重要的課題，所以本研究運用比例危險模型(Proportional Hazard Model)研究影響存續期間的因子，並利用存活分析(Survival Analysis)預測存續期間的長短。本研究利用T銀行2001~2008年信用卡通信貸款共93,929筆資料分析，比例危險模型實證發現男性比女性存續期間較短，教育程度越高存續期間越短，年齡越高存續期間越長，貸款金額越高存續期間越短，貸款利率越高存續期間越短。以存活分析預測存續期間發現Extreme分配預測能力較佳。 In the aftermath of the sub-prime crisis, the liquidity risk to financial institutions have become more and more important, Fund transfer pricing is also a major key factor in the current practices of asset and liabilities management. To determine a fair and reasonable pricing for the transfer of funds, each product’s duration must be accurately estimated. This study applies the Proportional Hazard Model to analyze the various factors which may effect the duration of an individual product, and to employ Survival Analysis to estimate the length of the duration. Using 93,929 mail loan transactions from T-bank during 2001 to 2008, the finding reveal that under the Proportional Hazard Model female have a longer duration than male, higher education means a shorter duration, older individuals have a longer duration than their younger peers, higher loan balance means shorter duration, higher loan rate means shorter duration. We also discover that the Extreme distribution resulted in a more accurate duration forecast from the survival analysis.
Appears in Collections:	[Executive Master of Finance Management] Electronic Thesis & Dissertation

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