宏微观分析相结合的信贷风险预测模型研究

我国现有的信贷风险评估方法存在宏微观分析结合不紧密以及风险评估不全面的问题.本文在基于财务分析的企业风险评估模型基础上,构建了宏微观分析相结合的信贷风险预测模型.建模的主要工作包括:选择反映行业信贷风险的指标与反映宏观经济变化的指标;确定反映宏观经济变化的指标与反映行业信贷风险指标之间的函数关系;依据以上的关联函数和宏观经济指标预测值,计算行业信贷风险调整系数;据此对属于该行业的企业即期信贷风险指标进行调整,对企业的信贷风险进行前瞻性预测.作者还利用证券市场数据检验了上述模型的准确性,结果表明模型可以有效预测企业未来的信贷风险.

A Study of a Credit Risk Forecast Model Based on Micro-and-Macro Analyses

The current risk appraisal meth od in China is problematic in that micro and macro analyses are loosely combined and r isk ap-praisal incomplete.In the present paper,a credit risk forecast model wit h micro and macro analyses closely combined is created on the basis of an enterp rise risk appraisal model used for financial analysis.Major tasks to be accompli shed in the model are:select index reflecting credit risks in a sector and index reflecting macro-economic changes;define the function relationship between the two indices;calculate ad-justed coefficient for credit risks in the sector in l ine of the above correlated function and macroeconomic projection;then adjust th e current credit risk index of an enterprise in the said sector and predict comi ng credit risks it might run into.The model is tested for accuracy with data fro m stock market.The result indicates that the model can effectively forecast the credit risks of an enterprise.