基于灰色系统理论的商业银行信用风险评估研究
发布时间：2018-09-06 09:38
【摘要】：随着社会经济的发展,适应经济发展需求,允许社会闲置资本进入商业银行领域,另外随着利率的市场化,商业银行的竞争也日趋激烈；同时,经济转型期,商业银行面对的市场环境更加复杂,面临的信用风险问题也更加突出。因此,准确评估信用风险对商业银行来说显得尤为重要,而如何准确评估信用风险,其关键就是加强对信用风险评估模型的构建。本文基于灰色聚类模型结合传统的财务指标,建立关于商业银行的信用风险评估模型；基于灰色预测模型,并利用样本商业银行的不良贷款额数据,对商业银行的信用风险水平进行整体预测,使商业银行能够明确信用风险的状况。研究方法上采用文献研究法,信用风险评估计量模型对比分析法,实证研究方法,并且结合定性和定量方法,构建了商业银行信用风险评级模型和利用不良贷款额数据的信用风险预测模型。创新点在于将灰色聚类模型和灰色预测模型同时应用在商业银行信用风险的评估中。引入了基于灰色理论的商业银行信用评估的技术和方法,为商业银行提高信用风险的计量水平提供了有益的思路；有利于商业银行通过利用该种信用风险计量方法掌握信用风险级别,合理贷款等相关业务,在激烈的市场竞争中赢得主动,因此本文对商业银行的信用风险评估不仅具有理论且有现实意义。
[Abstract]:With the development of social economy, adapting to the demand of economic development, social idle capital is allowed to enter the field of commercial bank. In addition, with the marketization of interest rate, the competition of commercial bank is becoming more and more intense; at the same time, the economic transition period, Commercial banks face more complex market environment and more prominent credit risk problems. Therefore, it is very important for commercial banks to evaluate credit risk accurately, and the key to evaluate credit risk accurately is to strengthen the construction of credit risk assessment model. In this paper, the credit risk assessment model of commercial banks is established based on the grey clustering model combined with the traditional financial indicators, and the non-performing loan amount data of the sample commercial banks are used based on the grey forecasting model. The credit risk level of the commercial bank is forecasted as a whole, so that the commercial bank can make clear the credit risk condition. The research methods are literature research method, credit risk assessment model comparative analysis method, empirical research method, and combination of qualitative and quantitative methods. The credit risk rating model of commercial banks and the credit risk forecasting model using non-performing loan amount data are constructed. The innovation lies in the application of grey clustering model and grey prediction model to the credit risk assessment of commercial banks. This paper introduces the techniques and methods of credit evaluation of commercial banks based on grey theory, which provides a useful way of thinking for commercial banks to improve the level of credit risk measurement. It is beneficial for commercial banks to grasp the credit risk grade, reasonable loan and other related business by using the credit risk measurement method to win the initiative in the fierce market competition. Therefore, this paper not only has theoretical and practical significance to the credit risk assessment of commercial banks.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：D922.28
本文编号：2225943
[Abstract]:With the development of social economy, adapting to the demand of economic development, social idle capital is allowed to enter the field of commercial bank. In addition, with the marketization of interest rate, the competition of commercial bank is becoming more and more intense; at the same time, the economic transition period, Commercial banks face more complex market environment and more prominent credit risk problems. Therefore, it is very important for commercial banks to evaluate credit risk accurately, and the key to evaluate credit risk accurately is to strengthen the construction of credit risk assessment model. In this paper, the credit risk assessment model of commercial banks is established based on the grey clustering model combined with the traditional financial indicators, and the non-performing loan amount data of the sample commercial banks are used based on the grey forecasting model. The credit risk level of the commercial bank is forecasted as a whole, so that the commercial bank can make clear the credit risk condition. The research methods are literature research method, credit risk assessment model comparative analysis method, empirical research method, and combination of qualitative and quantitative methods. The credit risk rating model of commercial banks and the credit risk forecasting model using non-performing loan amount data are constructed. The innovation lies in the application of grey clustering model and grey prediction model to the credit risk assessment of commercial banks. This paper introduces the techniques and methods of credit evaluation of commercial banks based on grey theory, which provides a useful way of thinking for commercial banks to improve the level of credit risk measurement. It is beneficial for commercial banks to grasp the credit risk grade, reasonable loan and other related business by using the credit risk measurement method to win the initiative in the fierce market competition. Therefore, this paper not only has theoretical and practical significance to the credit risk assessment of commercial banks.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：D922.28
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