基于突变理论的信用风险评估及应用

发布时间：2018-06-11 10:04

本文选题：突变理论 + 信用风险　；参考：《电子科技大学》2013年硕士论文

【摘要】：随着经济全球化和金融一体化的加剧，信用风险这一金融市场中最常见也是最古老的风险形式所涉及的领域和带来的影响也随着信用活动的不断扩张而迅速的扩大。最直观的体现就是近年来层出不穷债务危机和金融危机，这些由信用风险直接或间接引发的世界范围内的金融波动给世界经济带来巨大的影响和损失，其危害可见一斑。因此，如何有效地对信用风险加以识别和评估也引起了各国政府以及金融业界的高度重视。对信用风险的度量自信用交易诞生之后就开始出现，而信用风险的评估方法也从最早的具有较强主观性的专家评分法发展到了以现代金融理论和计算机理论为基础的复杂的非线性度量方法，每种方法也都有着各自的优缺点。信用风险状况的改变往往是突然的，我们经常可以见到某个著名公司突然宣布破产或信用评级被下调。突变理论作为研究非连续性变化的数学理论，，对于研究信用风险这样具有非连续变化特征的事物具有一定的适用性。因此，本文基于突变理论对信用风险评估问题展开研究。本文首先对突变理论的基本思想和相关模型进行了介绍，并分析了信用风险的突变特性。紧接着分析介绍了基于突变理论的信用风险评估方法，并针对其评估结果过于聚集的问题提出了改进。在此基础上，本文基于改进的突变评估方法依次对个人、单个企业以及企业集团这三个递进的信用主体的信用风险状况进行了评估，分别根据研究对象的信用风险特点建立了对应的评估指标体系，并选取了多个样本进行应用以反映突变理论评估方法在信用风险评估中的实用性。研究结果表明，基于突变理论的评估方法在信用风险评估中对多个信用主体都具有适用性，且在信用风险状况排序和分级方面较其他模型有一定的优势，不失为现有信用风险评估方法的有效补充。
[Abstract]:With the aggravation of economic globalization and financial integration, credit risk, which is the most common and oldest form of risk in financial markets, has been rapidly expanded with the expansion of credit activities. The most intuitionistic embodiment is the endlessly emerging debt crisis and financial crisis in recent years. These financial fluctuations in the world caused by credit risk directly or indirectly bring huge impact and loss to the world economy, and the harm can be seen. Therefore, how to effectively identify and evaluate the credit risk has also attracted great attention of governments and the financial industry. Confidence in the measurement of credit risk began to appear after the birth of transactions. However, the credit risk assessment method has developed from the first expert scoring method with strong subjectivity to the complex nonlinear measurement method based on modern financial theory and computer theory. Each method also has its own advantages and disadvantages. Changes in credit risk conditions are often sudden, and we often see a famous company declare bankruptcy or downgrade its credit rating. As a mathematical theory of discontinuous change, catastrophe theory has certain applicability for the study of discontinuous changes such as credit risk. Therefore, this paper studies the credit risk assessment based on the catastrophe theory. Firstly, this paper introduces the basic ideas and related models of the catastrophe theory, and analyzes the catastrophe characteristics of the credit risk. Then, the credit risk assessment method based on catastrophe theory is introduced, and an improvement is put forward to solve the problem that the evaluation results are too aggregated. On this basis, based on the improved catastrophe evaluation method, this paper evaluates the credit risk status of individual, individual enterprise and enterprise group. According to the characteristics of credit risk, the corresponding evaluation index system is established, and several samples are selected for application to reflect the practicability of catastrophe theory in credit risk assessment. The assessment method based on catastrophe theory is applicable to many credit subjects in credit risk assessment, and has some advantages over other models in ranking and grading credit risk. It is an effective supplement to the existing credit risk assessment methods.
【学位授予单位】：电子科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.99

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