基于信用差异度最大的信用等级划分优化方法

发布时间：2017-12-31 06:36

  本文关键词：基于信用差异度最大的信用等级划分优化方法　出处：《系统工程理论与实践》2017年10期 　论文类型：期刊论文

  更多相关文章： 信用评级 信用等级划分 最优划分 违约金字塔 信用差异度

【摘要】：信用评级对当代社会有极其重要的影响,若信用等级划分不合理,必将误导债权人和社会公众.信用评级结果的变动直接反映经济状态的变化,2011年标准普尔把美国的主权信用评级从AAA级降为AA+,引起全球金融市场的动荡.信用评级的本质是合理区分客户的信用状况,揭示不同等级客户的信用风险水平.国际上比较流行的标普、穆迪的信用评级针对中国客户的评级结果往往存在信用等级很高、违约损失率反而不低的不合理现象.本研究以信用差异度和违约金字塔为标准,构建非线性规划模型划分信用等级,并以中国小企业贷款数据为样本进行实证研究·本研究的创新与特色一是根据第k个信用等级中最后一个样本的信用评分P_(mk)~k与第k+1个信用等级中第一个样本的信用评分P_1~(k+1)确定相邻两个等级的信用评分差值,以所有信用等级的评分差值之和∑(P_(mk)~k-P_1~(k+1))最大为目标函数,确保最大程度的保证信用评分差异大的客户划分为不同信用等级.避免了把信用状况差异较大的客户划分成同一个信用等级的不合理现象.二是以信用等级由高到低的违约损失率严格递增为约束条件建立信用等级划分模型,保证信用等级划分结果满足信用等级越高、违约损失率越低的违约金字塔标准,避免出现信用等级很高、违约损失率反而不低的不合理现象.三是1814笔工业小企业贷款数据的实证研究表明,本研究的信用等级划分方法不仅满足信用等级越高、违约损失率越低的违约金字塔标准,还能保证信用状况差异大的客户划分为不同信用等级.
[Abstract]:Credit rating has an extremely important impact on contemporary society. If the credit rating is unreasonable, it will mislead creditors and the public. The change of credit rating results directly reflects the change of economic state. In 2011, Standard & Poor's downgraded the United States' sovereign credit rating from AAA to AA, which caused turmoil in the global financial market. The essence of the credit rating is to reasonably distinguish the credit status of customers. To reveal the credit risk level of customers of different grades. The credit rating of S & P and Moody's, which is popular in the world, often has a high credit rating for Chinese customers. Based on the standard of credit difference and default pyramid, the nonlinear programming model is constructed to classify credit grade. The innovation and characteristics of this study are based on the credit score of the last sample of the k credit grade. The credit score of the first sample of the first sample of the k1 credit rating, PHS 1 / k 1) determines the credit score difference between the two adjacent grades. Take as the objective function the maximum of the sum of the rating differences of all credit grades 鈭，

本文编号：1358622