金融研究
金融研究
금융연구
Journal of Financial Research
2006年
3期
111~117
,共null页
信用评级 转移矩阵 风险预警 决策支持模型
信用評級 轉移矩陣 風險預警 決策支持模型
신용평급 전이구진 풍험예경 결책지지모형
credit rating, transfer matrix, risk early warning, decision support system
企业信用评级、贷款评级和信用转移矩阵是目前我国企业信用风险度量的主要方法，本文在对这些方法分析的基础上，依据借款人信用等级变动和履约能力变化会导致其债务市场价值变动，从而可能会造成损失这一结论，提出了基于神经网络的信用风险度量模型，并依据该模型给出了信用风险预警决策支持系统设计的一种新方法。
企業信用評級、貸款評級和信用轉移矩陣是目前我國企業信用風險度量的主要方法，本文在對這些方法分析的基礎上，依據藉款人信用等級變動和履約能力變化會導緻其債務市場價值變動，從而可能會造成損失這一結論，提齣瞭基于神經網絡的信用風險度量模型，併依據該模型給齣瞭信用風險預警決策支持繫統設計的一種新方法。
기업신용평급、대관평급화신용전이구진시목전아국기업신용풍험도량적주요방법，본문재대저사방법분석적기출상，의거차관인신용등급변동화리약능력변화회도치기채무시장개치변동，종이가능회조성손실저일결론，제출료기우신경망락적신용풍험도량모형，병의거해모형급출료신용풍험예경결책지지계통설계적일충신방법。
At present, enterprise credit rating, loan rating and credit transfer matrix are the main measurement methods for the enterprise credit risk in China. Based on the analysis of the former methods, and, according to the conclusion that changing of the credit rate and the ability of keeping the appointment of the lender wil lead to the corresponding changing of the value on the debt market, the credit risk measurement model based on the Neural Networks is founded. Additionally, a new method for designing the early warning decision support system is proposed too.
