Author(s)

Siyuan Chen ¹

Affiliation(s)

¹ School of Mathematics and Science, Beijing University of Chemical Technology, Beijing, China

Corresponding Author

Siyuan Chen

ABSTRACT

This thesis is based on logistic model and multivariate linear programming, using MATLAB to study the lending strategies of banks to MSMEs. We first analyzed the factors that can affect the credit risk of enterprises, and studied the influence of four factors on the credit risk of enterprises, namely, profit, development potential, supply and demand, and credit rating, and then used the data to measure the above four factors, and predicted the default risk index of each enterprise through logistic model, and to make the results more intuitive, we introduced the credit score A=100 × (1 - default risk index), thus providing a quantitative analysis of the credit risk of the enterprise. Then, we determined the interest rates of bank loans to enterprises with different credit ratings, and finally, we determined the credit strategy by considering the credit score. At the same time, we considered the case where there is no credit rating of enterprises, and to develop credit strategies for different enterprises, we first need to derive the credit score of each enterprise using the logistic model above, and then adjust the credit strategy by dividing the rating of each enterprise according to the ratio of each credit rating and the credit score above. The loans given to the enterprises of grades A, B, and C are taken as unknowns, and the total number of 100 million and each enterprise can only lend 100~1 million yuan are taken as restrictions, and the maximum value of the profit is solved by using multivariate linear programming to derive the loan amount for each grade of enterprises. Finally, the credit strategy is determined by ranking the enterprises in terms of their development potential and credit score, and lending the loans to each enterprise in turn.

KEYWORDS

Logistic; quantitative analysis; credit strategy; multivariate linear programming

CITE THIS PAPER

Siyuan Chen, A study of bank credit strategy based on logistic model. Financial Engineering and Risk Management (2023) Vol. 6: 104-111. DOI: http://dx.doi.org/10.23977/ferm.2023.060213.

REFERENCES

[1] She Chaobing. Study on the application of logistic regression on bank personal credit risk assessment [J]. Technology and Innovation, 2018(19):113-114,118-119.
[2] Liang Han. Research on credit risk identification and prevention strategies for small and micro enterprises of ICBC in M city [D]. Sichuan: Southwest University of Science and Technology, 2019.
[3] Du Qian. Exploring the problems and strategies of credit risk management of small and micro enterprises in local commercial banks [J]. Enterprise Reform and Management, 2023(2):100-102. 
[4] Xia Menglin. Research on the construction of credit decision model of commercial banks for small and micro enterprises under big data [D]. Chongqing University of Technology and Industry, 2022.

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