摘要
企业信用评级、贷款评级和信用转移矩阵是目前我国企业信用风险度量的主要方法,本文在对这些方法分析的基础上,依据借款人信用等级变动和履约能力变化会导致其债务市场价值变动,从而可能会造成损失这一结论,提出了基于神经网络的信用风险度量模型,并依据该模型给出了信用风险预警决策支持系统设计的一种新方法。
At present, enterprise credit rating, loan rating and credit transfer matrix are the main measurement methods for the enterprise credit risk in China. Based on the analysis of the former methods, and, according to the conclusion that changing of the credit rate and the ability of keeping the appointment of the lender wil lead to the corresponding changing of the value on the debt market, the credit risk measurement model based on the Neural Networks is founded. Additionally, a new method for designing the early warning decision support system is proposed too.
出处
《金融研究》
CSSCI
北大核心
2006年第3期111-117,共7页
Journal of Financial Research
关键词
信用评级
转移矩阵
风险预警
决策支持模型
credit rating, transfer matrix, risk early warning, decision support system
