APPARATUS AND METHOD FOR PREDICTING DEGREE OF INDUSTRIAL CREDIT RISK USING MACRO-ECONOMIC INDICATOR

摘要

The present invention relates to an apparatus and a method for predicting a degree of industrial credit risk using a macro-economic indicator. According to an embodiment of the present invention, the method for predicting a degree of industrial credit risk using a macro-economic indicator comprises the steps of: collecting a macro-economic indicator defined for each industry and configuring a candidate indicator pool for each industry; defining a target stock and classifying the defined target stock into a plurality of segments according to industrial classification; selecting, for each segment, one or more final indicators through analysis of a correlation between the candidate indicators of the corresponding industry and fitting a regression model in which the selected one or more final indicators are used as an independent variable and an observed default rate is used as a dependent variable; and calculating, for each segment, a prediction default rate based on the corresponding regression model and calculating an industrial risk index based on the calculated prediction default rate. According to an embodiment of the present invention, since the industrial credit risk is predicted by using the macro-economic indicator based on a supply chain theory, it is possible to more accurately predict the risk and more effectively cope with the risk.;COPYRIGHT KIPO 2016