信用风险测量指标体系研究

在现代商业银行经营中,信用风险是影响其安全高效运营的主要原因。信用风险管理中最重要的就是信用风险测量。自从20世纪80年代末期以来,人工智能技术如神经网络、专家系统也被应用于商业银行信用风险测量中。但预测指标的研究则相对滞后,成为研究的一个难点。

The Study on Index System in Credit Risk Measurement

Credit Risk is a major factor concering the operation effcienly of a bank, in which credit risk measurement is the most important process. There are two focuses in this field. One is to choose model, the other is to choose indexes. The former proves well developed with many models established, e. g. discriminant analysis, logit, NN, expert system, etc. But how to choose indexes is difficult. So the paper builds up a set of index system in a bank, based on the theory of finance analysis and practicality, following the new Basel Capital Accord. The operation of index system by GA has proved very well.