人民银行、银保监会、证监会、发展改革委、财政部于2018年联合印发《关 于进一步深化小微企业金融服务的意见》，从货币政策、监管考核、内部管理、 财税激励、优化环境等方面提出23条短期精准发力、长期标本兼治的具体措施， 督促和引导金融机构加大对小微企业的金融支持力度，缓解小微企业融资难融资 贵的问题。广州农商银行作为一家广州市的本土金融机构，深刻领会中央及市政 府的安排部署，大力扶持，全面布局，力促微小金融向纵深推进，创新性的推出 了“太阳微贷”业务。然而，在拓展业务的同时，由于广州地区复杂的小微企业 结构，导致“太阳微贷”业务的违约率较高，而且“太阳微贷”的审批环节为人 工审批，缺少对客户违约风险的定量分析，完全依赖审批人员的经验，缺乏科学 性。“太阳微贷”业务发生违约，使得银行的信贷资金发生损失。 本文以广州农商银行“太阳微贷”业务的违约风险管理为研究主题，构建“太 阳微贷”业务违约风险评级体系。论文依据信息不对称理论以及全面风险管理理 论，并使用Logistic回归模型，在分析了“太阳微贷”业务违约风险管理现状及 问题后，基于“太阳微贷”业务的客户数据，利用Logistic回归模型分析出了13 个对违约风险有显著影响的风险因素并计算出相关的权重，构建出违约风险评级 体系。之后利用方差分析及描述统计对违约风险评级体系进行了验证。最后结合 广州农商银行的风险管理工作提出了“太阳微贷”违约风险评级体系的实施方案 及保障措施。 本文结果表明，构建的“太阳微贷”业务违约风险评级体系对于区分高违约 风险客户与低违约风险客户的效果较好。在“太阳微贷”业务流程中应用违约风 险评级体系，不仅能科学的进行贷款审批避免审批人员的道德风险，同时在贷后 环节能动态地掌握客户的风险评分，实时发现潜在的高风险客户。应用业务违约 风险评级体系同时也提高了广州农商行违约风险管理的水平。 关键词：违约风险，风险评级，Logistic回归，“太阳微贷” MBA学位论文 作者：邝谦 广州农商银行“太阳微贷”业务违约风险评级体系研究 II RESEARCH ON DEFAULT RISK RATING SYSTEM FOR SLSE BUSINESS IN GRC BANK Abstract The people's Bank of China, China Banking and Insurance Regulatory Commission, China Securities Regulatory Commission, China Development and Reform Commission and the Ministry of Finance jointly issued the opinions on further deepening the financial services of small and micro enterprises in 2018, and put forward 23 specific measures for short-term precise efforts and long-term governance from the aspects of monetary policy, regulatory assessment, internal management, financial and tax incentives, and business environment optimization. The government further urged and guided financial institutions to increase financial support for small and micro enterprises, so as to ease the difficulty and high cost of financing for small and micro enterprises. As a local financial institution in Guangzhou, GRC bank (Guangzhou rural commercial bank) deeply accepted the arrangement and deployment of the government. It not only vigorously supported and comprehensively arranged, but also urged micro finance to advance in depth. So it innovatively launched the SLSE(sunny loan for small Enterprises) business. However, due to the complex structure of small and micro enterprises in Guangzhou, the default rate of SLSE business was higher, while the business were expanding. and the approval process of SLSE was manual approval, which lacked of quantitative analysis of customer default risk and full dependence on the experience of the approval personnel, and also lacked of scientific. The bank's credit fund lost because of the default of SLSE business. This paper takes the default risk management of the SLSE business of GRC bank as the research subject, and constructs the default risk rating system for the SLSE business. This paper is based on information asymmetry theory and comprehensive risk management theory meanwhile this paper uses logistic regression model. After analyzing the current situation and problems of the default risk management of the SLSE business, thirteen risk factors which have significant impact on the default risk are analyzed and calculated the relevant weights by using the logistic regression model, MBA学位论文 作者：邝谦 广州农商银行“太阳微贷”业务违约风险评级体系研究 III based on the borrowers’ data of the SLSE business. After that, we use ANOVA and descriptive statistics to verify the default risk rating system. Finally, the paper puts forward the implementation scheme and guarantee measures of the default risk rating system for SLSE combining with the risk management work of GRC bank. The results of this paper show that the SLSE business default risk rating system has a good effect on distinguishing high default risk borrowers from low default risk borrowers. The application of the default risk rating system in the SLSE business process can not only scientifically conduct the loan approval but also avoid the moral hazard of the approvers. At the same time, we can dynamically grasp the risk score of borrowers in the post loan link and find out the potential high-risk borrowers in real time. The application of business default risk rating system also improves the level of default risk management of GRC bank. Keywords: Default risk，Risk rating，Logistic regression model，Sunny Loan for Small Enterprises MBA学位论文 作者：邝谦 广州农商银行“太阳微贷”业务违约风险评级体系研究 IV 目 录 中文摘要 ................................................ Ⅰ Abstract ................................................ Ⅱ 第一章 绪论 .............................................. 1 1.1 研究背景与意义 .............................................. 1 1.1.1 研究背景 ................................................ 1 1.1.2 研究意义 ................................................ 3 1.2 研究内容与思路 .............................................. 4 1.2.1 研究内容 ................................................ 4 1.2.2 研究方法与工具 .......................................... 5 1.2.3 研究思路 ................................................ 5 第二章 相关理论与方法概述 ................................ 7 2.1 主要概念 .................................................... 7 2.1.1 违约风险 ................................................ 7 2.1.2 小微企业贷款违约风险 .................................... 8 2.2 理论概述 .................................................... 9 2.2.1 信息不对称理论 .......................................... 9 2.2.2 全面风险管理理论 ....................................... 12 2.3 研究方法介绍 ............................................... 13 第三章 “太阳微贷”业务违约风险管理现状及问题分析 ......... 15 3.1 “太阳微贷”业务介绍 ....................................... 15 3.1.1 企业简介 ............................................... 15 3.1.2 业务流程 ............................................... 16 3.2 “太阳微贷”业务违约风险管理现状 ........................... 18 3.2.1 违约风险识别现状 ....................................... 18 MBA学位论文 作者：邝谦 广州农商银行“太阳微贷”业务违约风险评级体系研究 V 3.2.2 违约风险计量现状 ....................................... 18 3.2.3 违约风险控制现状 ....................................... 19 3.3 违约风险管理的问题和原因分析 ............................... 19 第四章 “太阳微贷”业务违约风险评级体系构建 ............. 23 4.1 目标与思路 ................................................. 23 4.2 “太阳微贷”业务数据 ....................................... 23 4.3 违约风险要素识别 ........................................... 25 4.3.1 模型变量选取 ........................................... 25 4.3.2 模型结果 ............................................... 27 4.3.3 结果总结 ............................................... 30 4.4 违约风险评级体系构建 ....................................... 32 4.4.1 指标权重计算 ........................................... 32 4.4.2 建立评级体系 ........................................... 33 4.4.3 指标赋值 ............................................... 33 第五章“太阳微贷”业务违约风险评级体系效果验证与实施保障 35 5.1 效果验证 ................................................... 35 5.2 实施与保障 ................................................. 38 5.2.1 实施计划 ............................................... 38 5.2.2 保障措施 ............................................