信用平稳下商业银行信用风险测度模型及应用——基于模糊综合评判法

科学高效的商业银行信用风险测度模型,是实现商业银行信用风险监测目标的重要保障。商业银行信用风险主要来源于贷款企业层面,贷款企业信用质量状况将对应着商业银行信用风险水平。对此,从贷款企业的财务与非财务两个层面设计信用风险的测度指标体系,运用模糊综合评判法构建信用平稳下商业银行信用风险测度模型,并给出信用风险测度模型的应用实例。研究发现,在信用平稳下,依赖于专家评判及打分方式,使得模糊综合评判法对于解决商业银行信用风险测度问题具有很好的操作便利性;也可为我国商业银行体系构建科学高效的信用风险监测机制提供重要的理论指导与决策参考。

Study on Application and Commercial Bank Credit Risk Measurement Model under Credit Stability Based on Fuzzy Comprehensive Evaluation Method

A scientific credit risk measurement is an important safeguard for commercial banks to fulfill the credit risk monitoring goal. The credit risk mainly comes from loaned enterprises, and the credit quality of loaned enterprises corresponds to banks'' credit risk level. This paper formulates a credit risk measurement index from financial and nonfinancial two levels of loaned erterprises, applying fuzzy comprehensive evaluation method, constructing commercial bank credit risk measurement model under credit stability, and giving a practical example of model application. It shows that under credit stability, weight assignment relying on expert evaluation style offers fuzzy comprehensive evaluation method good operation convenience to solve the problem of commercial bank credit risk measurement. The research result will provide important theoretical guidance and decision-making reference for China commercial bank system to construct the scientific and efficient credit risk monitoring mechanism.