= Getudoeu Mo hin ogatic trong xep hang ru retin dung Moin ton inh 6 (AMAGOS) A Uniortien Books Al Questions £ eo OA Sexe esha ‘MO HINH LOGISTIC TRONG XEP HANG RUIRO TIN DUNG. ‘M6 hinlh Losstc (Maddalo(1}, 1984) fimo hinh din tone trong bién ph tude 1a bién gia chi niin git 180 hoe 1. M6 hinh ny drge ting dung rong rai tong phan tieh kink é ndi chung va ni ro tin dag a6 rigng. Cu thé hon, mé hin n io y £6 thé gitip Ns hich hing sé c6 rio tin dung (bién phi thude) trén eo 56 si dung cae nhan 1t6.c6 an huréng dn khich hang (bién doe lap), u hing xie dinh kha nang ‘Trong mé hinh nay, ciu trie dit Ligu nr sau: Cit ry Pd ud: Maddaia (1983) Y dong vai to la bién pl thude va lt bign nhi phan, ehi e6 thé nh hat ‘tr 140 hod 1, cu thé la _ (0 néu kh6ng tra dure ng (c6 rai ro tin dung) Y= U1 néu tra dirgc ng (khong 6 ni ro tin dung) + Nila bign doc lép, the hign cae nhan t6 finh hnrémg dén khach hang, vi dy bur gigi tinh, thu thap. tinh trang nha... €di véi Khéch hing ca nhan, bode ROE, ROA, vin chi sé hit... bi v6i khéch hing doanh nghiép, + Yo li gia tri ude hrong cia Y, thu doe khi hoi quy Y theo cic bién doe lip. MGt did cin I gi tr cia cua cc th man didu ign do ‘ti de hronge ph thude vio eae bién doe lap. hi do, xic suit mgt Mich hing ui duge ug (te i xée suét Y= 1) duge tinh theo cng thie au, trong de li ing sé Euler (xp 32,718)‘Nhu viy, v6i ee nha t6 ¢6 an hung t6i Khiich hang durge xée din tse (qua tis ké Khai cia khich hing, bio cio ti chink...) ening ta ¢6 thé ‘xe dinh due sae suat khich hing 6 a duwge ng. Voi xée suat tra dtrge ng cing cao thi khich bing d6 cing it 6 ri ro tin dung va nguoe lai. Dura vio bang du bao sc suit cia Kich hing, déi chigu véi thu té tri ng, Nein hhing 06 thé xay dmg oe mite xép hang no tin dang phi hp. Mét vi dy don gin fur su: mt Np hing dyn trén bg 6 iu vi lich sittin dg cia Kh ing, 4 bi uy de mtn i 8 ene ‘kbd ning tr ng cia khiich hang cf nha nue sau Y=-WH19*X +14 -1ItX Trong 46 X1 1a thu nhdp trang binh 1 thing (dv: trigu dong) cita lich hing, X2 I bign gi de tm cho tri 6 ge vin Kc ig, git nay biing 1 néu khach hing c6 trinh 46 dai hoe tré lén, bing 0 néu khiich hing 6 tin 9 ci da hoe. X3 1s ngs phu ne tong gia din. Gi sit 6 1 khch hing ef nln ti vay vn, th np trang bh 1 thing 12 ‘trigu dong; trinh 46 Dai hoe va trong gia dinh c6 2 nguréi phu thude; khi dd cin cit vio mé hinh trén ching ta tink doe gid tri. Tir 5 ching ta tinh dirge se st ikich hing iy tr ge nb: oe 0,711 Pe ‘Nin vay xe suit Khach hang niy tr duge ng la 0.711; can ct vio ee anite xép hang na ngin hing da xay dimg dé xép khodn vay eta khvieh hang ‘vo mite phi hop. Vi du ngain hang xép nhimg khéch hang ¢6 mite xée sudt tra due ng trén 0,8 li hong AAA, tn 0,7 dn dn6i 0.8 fi AA, nur vay hich hing trén duge xép vio hang AA Phuong phap wae long ‘Nlurda 48 cp d mye tuéa, plang ti i xe sult Kai hing durge ng: $+ BX + BX, +t BX)dee? HEPA FAX + AN + BX, +t BM) Trong 6, ky higu him ; Nine vay 8 tinh xe sud a due net ‘khéch hang, ching ta tinh céc gid tri uée hrong ota Y la. dé lam duge diew :nay ching ta can tinh todn céc gia tri . Trong muc nay tae gi dé cap dén pliroug php use hog céché sSbeta cu thé nh sau am xée sit trén dung gol him phn b8 logis. Trong him logistic nay khi nhan cae gia tri tire dén +0 thi pi nhdn gid tr tir dén 1.Do lip tiyén db wi X va ce tham 56 vi vy cling ta khong thé dp dung trye tip phuong phap binh phirong nho ahat (OLS) dé ude heme, nant ta ding use hong hop ti da (marin likelihood) a we hong ‘Do Y chi nhén mét trong hai gid tri 0 ~ 1, do vay ¥ ¢6 phan bé nj thire nén hm hop i [2] vi mi kich hide 08 dang sa: sefiewent* nf HA) bs) Hn) Aiccatra eA) “Fiasencay Ching ta can wde hrong hop 1 toi da [3] cla B. Dé lam dirge dieu nay chiing ta lay logarit co s6 ty nhién ham hop IY, sau d6 cho cae dao ham riéng ing v6icée i bing 0, thu dre 1bé pong tri. Sau d6 ching ta sit done pliroug pip Newtar-Raphson dé gi he phoug tri én vith dg 1 cng thie cia P. Cudi cing ching ta it dng qua tinh bp 4 use hromg so. [4] ‘Naay nay, phiong phap ude hrong cic hé s6 da duge tyr dong hia diva ‘wea mst s6 phin mm kin téIngng nbur Eviews, R, Stata, SPSS, ... Tong ughién ctu thyre nghi 100 gi thich cho bign Y khong it lon (hés6 khng oY nghia thing ke), 1, ngurdi ta ¢6 thé tim eich bo di mot s6 bién ma vai ninth hign tong ee bign de lip c6 tong. quan lin naw lim sai ech ‘két qua cia mé hin,‘Kiém djnh mé hink Khi ching ta da wee hrong durge cde he 86 fhe nay tre Khi tin hhinh dtr bi xe su i ning tng in Kich ng, di cb tig ching tatién hanh mét s6 kiém dinh dé xem xét mé hinh hoi quy 46 4a hop by cha, ligu tn tai kta tt no cia mo hin Kang. Be gi que vind ny chsing ta tién hanh mét s6 kidm din bur saw © Kiém djnh tinh ngiu nhién eta phan dur (Cie sai s6 thu duce tr mn hin ue roms So v6 id tri tte tla Y pi ka sai sO ngiu nhién, D8 kigm dink tind nga 6 thé sir ding kiém din Dickey-Fuller hod kiém din Philip-Perron, jn cia cic sai 9 ny, ng a © Kiém djnh tinh djnh dang ding eda mé hin ‘M6 hinh hop ly 1a m6 hinh duge dinh dang ding, viée dink dang sai mé hinh thé din én cdc ht qu sai lech vt kt qua chr bob méo mé. BE ‘i din xem mi hin ge dia dang ding ay cua, agui ta it dang thing ké Hosmer-Lemeshow. [Néu ms inh o® ce phi di sai sng nhién va de dink dang ding thi amd hinh durge coi lé phit hop. co thé sit dung dé dur bio. Newge lai, néu idng tha min 2 did ka tr ching ta cn i quy lim hin vice = MO hinh Logistie niy e6 ky thudt do Ing ri ro tin dung kha dom gin, 68 tye hign bing phn mém chuyén dung (abu Eviews). Diy li Igi thé néu so ‘v6i m6 hin KMV e6 ky thuat do long va ede bur tinh toan kha pte tap. - Mé hinh Logistic 6 thé 1a co s6 dé nein hang phan logi khich hing va shan rgn no, Théng qua két qu ttm hin, cing ta thé ude nom urge xc suat khong tra durge ng cia khach hang, tir 46 Ngan hing c6 thé xde dinh urge doank nghip nio dang oan nghigp no nim trong ving cénh béo va gitipngdin hang chit dng trong nig bign php han ché nico. mn trong ving an tf ge dira ra - Mit din ni bit iam hin Loss so vim inh ap an in ny m6 hinh KMY, 46 lim inh Logistic e6 thé do Ing vai tr ince yu tc ‘Ngoai ra, trong khi m6 hinh diém so Z lai cimg nhac trong vige xem xét ce -yéu t6 tae déng tdi bién phy thude va cae hé s6 cia chiing (do Altman ira dung truyén thén én hang tin dung cia khdeh hing,"ay, Won ku VoL mo miu LogIsue CHUM (a CO UIE Ge cam MIU ELM HOB m bt cc bién him xc inh cu thé te dng cia ca yeu tt i ro tin dung 1 nur thé ni, ‘Nhuge diém ~ MO hinh Logistie vin ton tai nluzge diém, 4 la mé hin phy thuge vao mite 49 chinh xe cia nguén thong tin thu nhdp va kha ning di bdo eting nr ‘tinh 46 phan tich cia edn b6 tin dung. Neoai ra, m6 hinh Logistie ban chat la snd hin kink t8 lung, vi vay khi h@ s6 xe dnb 6 mite nh6 thi m6 hin e6 ‘thé dir bo kém chink xée (thé hign qua ede gid ti phan dn. CCongrthucrKTL Mainhtoin Tle Nght Grup b= (aocel ned NoRoNett~ Document. Dinar Hosedingkinh. Catactian weve eon Weoon “ [1] Maddala, GS (1983), “Limited dependent and qualitative variables in econometis”, Cambridge Univesity Pres, [2] Him hop cia 4 6 tai gi tr cu thd LHX ee) F (5 OVS (8.0) S (8) ‘rong dé fs teta) la him mt d6; Him L la him hop ly, chin 1 mat d6 xe suit tai digm (1,92,..xn) [5] Gid tricia thong ké duge goi la ue long hop Iy ti da cia teta néu img ‘vi gi tri ny cia teta him hop Iy dat ewe dai [4] Chi tiét cach ching minh s€ duge tie gid cung cap néu e6 yéu ci.Qstudocu ‘company contact & Hap a oe coe es e©eo0000 @ Ergin (US)—_@ Vietnam