摘要
次贷危机所引发了冰岛、希腊等国主权债务危机使我们更加关注传统主权信用评级系统的滞后性问题.提出基于时间序列的多目标决策模型,通过对1990—2006年间,32个国家相关经济数据的分析,得到各国主权信用风险效用值的排序.通过聚类分析得到高风险国家簇,该结果与2007年美国次贷危机爆发后发生主权信用违约事件的国家一致,表明该模型具有良好的预测性能,文章最后对模型进行了敏感性分析.
Subprime mortgage crisis has led to sovereign debt crisis in Iceland,Greece and some other countries.However,the existing sovereign credit ratings system can not response to crisis promptly.In this paper,a new time series based multi-objective decision-making method is proposed.The economic data of 32 countries between1990 and 2006 is analyzed and the sovereign credit risk is ranked by the utility value.The identified high-risk countries cluster is the same as the countries sovereign debt crisis after 2007 the subprime mortgage crisis.The result shows the proposed model has good predictive performance.
出处
《管理科学学报》
CSSCI
北大核心
2012年第4期81-87,共7页
Journal of Management Sciences in China
基金
国家自然科学基金资助项目(70901011
71173028)
教育部人文社科资助项目(09XJC630002)
