【摘要】：信用評價的研究在市場經(jīng)濟(jì)快速發(fā)展的今天越來越重要,部分不良的貸款導(dǎo)致了美國的次貸危機(jī),進(jìn)而形成席卷世界主要金融市場的金融危機(jī),這是信用風(fēng)險傳遞最有力的佐證。本文以國家自然科學(xué)基金項目《信息化環(huán)境下企業(yè)項目鏈風(fēng)險元傳遞理論模型研究》(71071054)為依托,旨在研究基于風(fēng)險元傳遞理論的信用評價方法以擴(kuò)展現(xiàn)行信用評價方法體系、彌補(bǔ)現(xiàn)行信用評價體系的不足、拓寬風(fēng)險元傳遞理論的應(yīng)用領(lǐng)域、豐富風(fēng)險元傳遞理論的研究內(nèi)容。在全面闡述風(fēng)險元定義與風(fēng)險元傳遞的相關(guān)理論的基礎(chǔ)之上,進(jìn)行了商業(yè)銀行客戶信用風(fēng)險元的辨識�？紤]到金融市場中信用風(fēng)險的動態(tài)傳遞性,從風(fēng)險元傳遞的角度出發(fā),定義了信用風(fēng)險元及其基本分類、度量方法,在大量參考文獻(xiàn)與實證分析的前期工作后,歸類整理出了兩大類6個方面的20個信用風(fēng)險元,為之后的評價工作奠定了基礎(chǔ)。本文將層次型風(fēng)險元傳遞理論與可拓學(xué)相結(jié)合,參考可拓工程中優(yōu)度評價的思想,通過研究物元理論、關(guān)聯(lián)函數(shù)和傳導(dǎo)變換,建立了基于可拓學(xué)傳遞路徑的信用評價模型。為了比較詳細(xì)地介紹該方法的具體評價過程,本文引入了實證分析,結(jié)合企業(yè)財務(wù)報告進(jìn)行了三家企業(yè)的數(shù)據(jù)模擬,在分別利用熵權(quán)法和層次分析法確定信用風(fēng)險元權(quán)重的基礎(chǔ)上,進(jìn)行了兩個層次上的傳遞關(guān)聯(lián)度的計算,確定了相對應(yīng)因素的信用風(fēng)險等級,驗證了評價方法的有效性,為商業(yè)銀行客戶信用評價提供了風(fēng)險元傳遞角度的方法啟示與借鑒。
[Abstract]:The research of credit evaluation is becoming more and more important with the rapid development of market economy. Some bad loans led to the subprime mortgage crisis in the United States, and then formed the financial crisis that swept through the major financial markets in the world. This is the most powerful evidence of credit risk transmission. This paper is based on the National Natural Science Foundation Project "Research on the risk element Transmission Model of Enterprise Project chain under the Informatization Environment" (71071054). The purpose of this paper is to study the credit evaluation method based on risk element transmission theory in order to expand the current credit evaluation method system, to make up for the deficiency of the current credit evaluation system, and to broaden the application field of risk element transmission theory. Enrich the research content of risk element transmission theory. Based on the theory of risk element definition and risk element transmission, the identification of customer credit risk element of commercial bank is carried out. Considering the dynamic transmission of credit risk in the financial market, this paper defines the credit risk element and its basic classification and measurement method from the point of view of risk element transmission. After a large number of references and empirical analysis of the preliminary work, the paper defines the credit risk element and its basic classification and measurement method. In this paper, 20 credit risk elements in two categories and six aspects are classified and sorted out, which lays a foundation for further evaluation. In this paper, the hierarchical risk element transfer theory is combined with extension theory, and the credit evaluation model based on extension transfer path is established by studying matter element theory, correlation function and conduction transformation, referring to the idea of optimization evaluation in extension engineering. In order to introduce the concrete evaluation process of this method in detail, this paper introduces the empirical analysis, and carries on the data simulation of three enterprises combined with the enterprise financial report. On the basis of determining the weight of credit risk element by entropy method and analytic hierarchy process (AHP), the paper calculates the transfer correlation degree at two levels, determines the credit risk grade of the corresponding factors, and verifies the effectiveness of the evaluation method. It provides the enlightenment and reference for commercial bank customer credit evaluation from the perspective of risk element transmission.
【學(xué)位授予單位】：華北電力大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F831.2;F224

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本文編號：2472027