| 对商业银行信用风险监测评价的新思考 |
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| 引用本文： | 方先明,熊鹏.对商业银行信用风险监测评价的新思考[J].中央财政金融学院学报,2005(7):13-18. |
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| 作者姓名： | 方先明 熊鹏 |
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| 作者单位： | 南京大学商学院，南京大学商学院 南京 210093，南京 210093 |
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| 基金项目： | 国家社会科学基金，江苏省博士后科学基金 |
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| 摘 要： | 为监测评价商业银行信用风险,在对其成因进行深入阐述后,借助聚类分析选取32个单项指标构成评价指标体系.由此建立基于BP算法的三层前向神经网络,通过网络训练,利用网络的自适应、自学习能力,自动获取合适的网络权值与阚值,并采用附加动量法加快网络的收敛速度,基于此对商业银行所面临的信用风险进行评价.仿真试验及实证研究表明了该方法的适用性与可行性.
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| 关 键 词： | 信用风险 指标体系 人工神经网络 风险评价 |
| 文章编号： | 1000-1549(2005)07-0013-06 |
| 修稿时间： | 2005年4月16日 |
The Consideration on the Supervision and Evaluation of Credit Risk of Commercial Bank |
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| FANG Xian-ming,XIONG Peng.The Consideration on the Supervision and Evaluation of Credit Risk of Commercial Bank[J].Journal of Central University of Finance & Economics,2005(7):13-18. |
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| Authors: | FANG Xian-ming XIONG Peng |
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| Institution: | FANG Xian-ming XIONG Peng |
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| Abstract: | In order to supervising the credit risk of commercial bank, the index system comprising by 32 indexes has been established by clustering based on the analysis of the credit risk's cause. Then, the three layers forward Artificial Neural Network has been found. The weights and the threshold can be gained by the adaptive and study capability through training. At the same time, the momentum has been used in order to advancing the astringency. The credit risk degree can be obtained by the network simulation. The applicability and feasibility of the way have been indicated by the simulation and the empirical study. |
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| Keywords: | Credit risk Index system Artificial Neural Network Risk evaluation |
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