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| Probability of Default Measurement Study for Individual Client of MarginTrading and Securities Lending Business |
| CHENG Tianxiao, WEN Yuechun
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GuoTai JunAn Securities Co., LTD;
School of Economics & Management,Tongji University |
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Abstract With the aggravation of the stock market volatility, the margin trading and securities lending business of security firm is facing a stringent challenge and the demand of credit risk measurement. As the fundamental of credit risk measurement, the measurement of probability of default is meaningful for the customer access management, risk pricing and credit portfolio management. The paper studies measurement of default of probability for individual client in margin trading and securities lending business firstly by Probit, Logistic and Extreme Value model. The history of margin trading and securities lending business is short, data accumulation and management is not perfect yet. In this situation, the paper included the information of asset-debt structure of credit account, and tested the accuracy by ROC curve and Brier score, which proved that the high precision of all three models, but Extreme Value model has higher adaptability for measuring of margin trading and security lending business than other models.
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Received: 20 October 2015
Published: 01 January 1900
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