針對現有評價方法存在的貸款客戶在某些評價指標下的低分可以完全由其他評價指標下高分來補償的問題,本文對基于ELECTRE Ⅲ的小企業信用風險評價模型進行了研究。首先,借鑒ELECTRE Ⅲ的評價原理,根據新增貸款客戶優于所有歷史貸款客戶的凈可信程度,計算新增貸款客戶的信用風險評價得分。不僅解決了新增貸款客戶信用風險評價的問題,而且保證評價模型具有從歷史數據學習的能力。其次,借鑒泰爾指數不僅可以反映收入總體差異、而且可以將總體差異分解為組內差異和組間差異的特征,對小企業信用風險的各評價指標進行了賦權。體現了"越能區分客戶違約狀況、指標權重越大"的賦權思想。最后,以違約、非違約樣本加權后的組內差異程度為基礎,確定ELECTRE Ⅲ的偏好閾值;以非違約本組內差異程度為基礎,確定ELECTRE Ⅲ的無差別閾值;以違約樣本組內差異程度為基礎,確定ELECTRE Ⅲ的否決閾值;不僅反映了不同評價指標數據差異大小對評價結果的影響,而且避免了現有閾值人為主觀確定的不足。中國某地方性大型商業銀行的研究結果發現:企業近三年授信情況、法人代表貸款違約記錄、企業通過本行回籠貨款總額占比等評價指標的權重較大,能有效地區分違約客戶和非違約客戶。而從不同指標的總體差異程度來講,現金比率、凈資產與年末貸款余額比率、企業成立年限等評價指標的差異程度較大。

One of the key tasks of credit risk evaluation is to determine the reasonable evaluation model.However,many existing credit risk evaluation models are complete compensatory methods.Those complete compensatory methods have a problem that high scores under certain evaluation indicators can fully compensate low scores under other evaluation indicators.Furthermore,in the credit loans,commercial bank will not grant loans to customer who’s the specific indicator is too low and other indicators perform well.To fill in the above gap,a credit risk evaluation model for small enterprises is constructed based on ELECTRE Ⅲ.This model can avoid the complete compensatory problem.First of all,using the net credit score flow of the new loan customer to decide whether this new loan customer loans or not.This method can evaluate the credit risk of the new loan customer and make ELECTRE Ⅲ has the ability of learning from history loan customers.Secondly,the Theil index can not only reflect income differences,but also break the differences into difference within groups and difference between groups.Then,by using the Theil index,the index weights are determined based on the idea that "the greater the influence on default is,the bigger the weight will be".Finally,the preference thresholds of ELECTRE Ⅲ are determined based on Theil index within groups.And the indifference thresholds of ELECTRE Ⅲ are determined based on Theil index of non-default samples;the veto thresholds of ELECTRE Ⅲ are determined based on Theil index of default samples.The influences of different evaluation index on evaluation result can reflect through those thresholds.Also the subjective determination of three thresholds could be eliminated.The constructed model has been verified using the samples of a Chinese national commercial bank.The empirical results show that the key inductors of affecting the credit risk of small enterprises are enterprise’s credit extension of the past three years,loan default record of legal representative,the total amount of payment through our bank,and so on.Also,the indicators which have big differences between default and non default customers are found,such as cash ratio,the ratio of net assets to loans in the end of year,the age of the enterprise,and so on.In conclusion,this research aims at establishing a credit risk evaluation model for small enterprises based on ELECTRE Ⅲ and extending a new vision on small enterprises credit risk evaluation theory and models.