石宝峰

刘锋,JIANJUN WANG,Chi Guotai

2017-01-01

Operations Research and Management Science

J

26

9

137-147

1007-3221

"PROMETHEE-II; credit rating; credit risk; PROMETHEE-II; small private business; microfinance loan"

34-1133/G3

Until the end of year 2014, the number of privately-owned business had reached more than 49 million, and individual private business had absorbed 250 million social workers in China. Due to distribution sparsity and imperfect financial information of Chinese small private businesses,the credit rating system for small private business badly demands improvement. In this study, the credit rating index system of microfinance loans for small private business is established combining correlation analysis and significance discriminant. And then, a credit rating model of microfinance loans for small private business based on PROMETHEE-II and cluster analysis arithmetic is established using the data of 2157 customers in a Chinese national commercial bank. The contribution of this study is three-folded. Firstly, by introducing the method of PROMETHEE-II into credit rating of microfinance loans for small private business,a credit rating model based on PROMETHEE-II is constructed. Using the proposed model the net flow credit score ф(a) for the small private business a is computed to reflect the impact of relative importance of the small private business a to the rest businesses and interaction among indicators on evaluation results. The trade-off of evaluation indicators which could seriously affect the reliability of results could be overcome. Secondly, by K-W non-parameter test of credit rating results, which are obtained from R cluster analysis, significant difference in the credit scoring values as well as credit characteristic difference of businesses in various levels could be guaranteed. The subjective determination of credit scoring interval and threshold of default probability could be eliminated. Thirdly, the empirical results show that the order of importance affecting the credit risk of microfinance loans for small private business is as follows : X3 capacity of repay-ment>X_1 basic information > X_6 microenvironment > X_5 capacity of operation > X_2 guarantee and joint guarantee > X4 capacity of profitability.

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