本文選題：突變理論 + 信用風險　； 參考：《電子科技大學》2013年碩士論文

【摘要】：隨著經(jīng)濟全球化和金融一體化的加劇，信用風險這一金融市場中最常見也是最古老的風險形式所涉及的領域和帶來的影響也隨著信用活動的不斷擴張而迅速的擴大。最直觀的體現(xiàn)就是近年來層出不窮債務危機和金融危機，這些由信用風險直接或間接引發(fā)的世界范圍內(nèi)的金融波動給世界經(jīng)濟帶來巨大的影響和損失，其危害可見一斑。因此，如何有效地對信用風險加以識別和評估也引起了各國政府以及金融業(yè)界的高度重視。 對信用風險的度量自信用交易誕生之后就開始出現(xiàn)，而信用風險的評估方法也從最早的具有較強主觀性的專家評分法發(fā)展到了以現(xiàn)代金融理論和計算機理論為基礎的復雜的非線性度量方法，每種方法也都有著各自的優(yōu)缺點。信用風險狀況的改變往往是突然的，我們經(jīng)常可以見到某個著名公司突然宣布破產(chǎn)或信用評級被下調。突變理論作為研究非連續(xù)性變化的數(shù)學理論，，對于研究信用風險這樣具有非連續(xù)變化特征的事物具有一定的適用性。因此，本文基于突變理論對信用風險評估問題展開研究。 本文首先對突變理論的基本思想和相關模型進行了介紹，并分析了信用風險的突變特性。緊接著分析介紹了基于突變理論的信用風險評估方法，并針對其評估結果過于聚集的問題提出了改進。在此基礎上，本文基于改進的突變評估方法依次對個人、單個企業(yè)以及企業(yè)集團這三個遞進的信用主體的信用風險狀況進行了評估，分別根據(jù)研究對象的信用風險特點建立了對應的評估指標體系，并選取了多個樣本進行應用以反映突變理論評估方法在信用風險評估中的實用性。 研究結果表明，基于突變理論的評估方法在信用風險評估中對多個信用主體都具有適用性，且在信用風險狀況排序和分級方面較其他模型有一定的優(yōu)勢，不失為現(xiàn)有信用風險評估方法的有效補充。
[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.
【學位授予單位】：電子科技大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F830.99

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