| 商业银行的企业违约概率度量方法发展沿革及比较研究 |
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| 引用本文： | 陈德胜 姚伟峰 冯宗宪. 商业银行的企业违约概率度量方法发展沿革及比较研究[J]. 价值工程, 2004, 23(8): 116-121 |
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| 作者姓名： | 陈德胜 姚伟峰 冯宗宪 |
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| 作者单位： | [1]西安交通大学经济与金融学院，西安710061 [2]西安交通大学管理学院，西安710049 |
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| 基金项目： | 国家自然科学基金资助(项目代号:00BGY043)。 |
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| 摘 要： | 违约概率度量是指对可能引起信用风险的因素进行定性分析、定量计算,以测量借款人的违约概率,为贷款决策提供依据。国际上违约概率度量领域的研究和实际应用,有从主观判断分析、财务比率分析、统计分析转向人工智能、以资本市场理论和信息科学为支撑的方法等动态计量分析方法为主的发展趋势。本文对商业银行的企业违约概率度量方法发展沿革进行了比较研究,并对违约概率度量方法的国内研究作了综合评述。
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| 关 键 词： | 信用风险 违约概率度量 统计分析 人工智能 |
Comparative Study on Development Evolution of Probability of Default Measurement models of Enterprise for Commercial Banks |
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| Chen Desheng, Yao Weifeng, Feng Zongxian. Comparative Study on Development Evolution of Probability of Default Measurement models of Enterprise for Commercial Banks[J]. Value Engineering, 2004, 23(8): 116-121 |
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| Authors: | Chen Desheng Yao Weifeng Feng Zongxian |
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| Abstract: | Probability of default measurement quanlitatively analysises and quantitatively computes facters which probablycause credit risk so as to measure probability of default of customers and provide fundation for loan decision. Research and application of probability of default measurement is changing from subjective discriminant analysis,financial ratios analysis and statistcs analysis to artificial intelligence and methods based on theory and information techniques of capital market This paper comparatively studies on development evolution of probability of default measurement and comprehensively summarizes studies on probability of default measurement in China. |
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| Keywords: | credit risk probability of default measurement statistics analysis artificial intelligence |
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