Abstract: Mixed integer programming approach is used to construct the evaluation model of enterprise's credit risk in this paper,and is applied to credit risk evaluation in commercial banks.The model is characterized by the non-parametric test,and don't require normal distribution and equality of matrix of covariance.With the method of two-staged classification process,the paper discriminated the credit conditions of enterprises.Empirical study shows that mixed integer programming approach has a higher predicting ability.

Key words: mixed integer programming approach, evaluation of credit risk, logit model