基于小樣本的商業(yè)銀行信用評級模型研究
發(fā)布時間：2019-01-11 18:46
【摘要】：商業(yè)銀行信用評級(Bank's Credit Rating)是對一家銀行當前償付其金融債務的總體金融能力的評價。對商業(yè)銀行進行信用評級意義重大：第一,商業(yè)銀行信用的評級結果是各國金融監(jiān)管當局進行監(jiān)測和控制銀行業(yè)風險維護金融體系安全的根據(jù)。第二,商業(yè)銀行信用評級也是銀行進行自身風險管理的基礎。第三,金融機構間的業(yè)務往來、合作關系的建立需要以商業(yè)銀行信用評級狀況作為基礎。第四,工商企業(yè)和社會公眾可以根據(jù)各商業(yè)銀行的信用評級狀況選擇與其業(yè)務往來的商業(yè)銀行。 本論文共分五章。第一章分析了論文的選題依據(jù)、相關研究進展、研究方法、研究的技術路線和研究內容。第二章基于非線性映射的商業(yè)銀行信用評價指標體系的構建。第三章關于最優(yōu)賦權方法的商業(yè)銀行信用評價模型研究。第四章關于小樣本問題的信用評級研究。第五章為結論與展望。論文的主要工作如下： (1)引入非線性映射原理,構建了商業(yè)銀行信用評級指標體系 根據(jù)有、無特定指標兩種狀態(tài)的非線性映射結果的歐氏距離,反映特定指標對評價結果的影響程度,解決了特定指標對評價結果影響程度的可量化問題,為非線性映射刪除指標奠定基礎。對全部指標做非線性映射,刪掉特定指標再做非線性映射。求兩個非線性映射結果的歐氏距離,歐氏距離無變化或變化很小表示該指標對評價結果影響小。通過設定復相關系數(shù)和相關系數(shù)同時超過閾值刪除指標,避免了單一標準導致指標的誤刪,保證了刪除指標后信息含量損失少。建立了6個準則層19個指標的商業(yè)銀行信用風險評價指標體系,用17%的指標反映了91%的原始信息。實證研究表明,本研究的評價結果與穆迪、大公國際的評級結果序關系一致。保持與穆迪、大公國際的評級結果序關系一致有兩個原因：一是穆迪、大公國際等權威機構的核心評級指標、評價方法以及賦權方法是不對外披露的。因此人們無法通過其方法對權威機構沒有評級的商業(yè)銀行進行評級。二是保證評價結果與權威機構序關系一致,既保證了評價結果的合理性又解決了可以對所有商業(yè)銀行進行評級的問題。 (2)利用改進Spearman檢驗,建立了最優(yōu)賦權方法的商業(yè)銀行信用評價模型 根據(jù)權威評級機構公布的商業(yè)銀行信用評級結果,利用改進的Spearman秩相關檢驗對不同賦權方法得到的評價結果進行檢驗,選擇與權威機構評級結果最接近的賦權方法作為最優(yōu)賦權方法,解決了現(xiàn)有研究無法解決的最優(yōu)賦權方法確定的問題。采用了主觀賦權的AHP、G1法和客觀賦權的離差最大化法、變異系數(shù)法、熵值法等五種賦權方法。與權威評級機構穆迪和大公國際的評級結果進行對比檢驗,解決了現(xiàn)有研究無法解決的最優(yōu)賦權方法確定的問題。實證研究表明,對于商業(yè)銀行的信用評價問題,使用熵值法賦權最合適。 (3)建立了基于小樣本檢驗——模擬的商業(yè)銀行評級模型 通過對評價得分的分布進行檢驗,找到評價得分的分布規(guī)律,為評價得分的數(shù)據(jù)擴充提供依據(jù),這正是本研究區(qū)別于現(xiàn)有研究的不同之處。根據(jù)通過分布檢驗的分布參數(shù)模擬生成與評價得分同分布的隨機數(shù)據(jù),擴充樣本數(shù)量,使得擴充后的樣本數(shù)據(jù)與原始數(shù)據(jù)具有相同的分布特征,解決小樣本無法劃分等級的問題。實證研究表明,中國的商業(yè)銀行的評價得分既不是正態(tài)分布,也不是指數(shù)正態(tài)分布和對數(shù)正態(tài)分布,而是服從一種特殊分布,評價得分自然對數(shù)的平方服從正態(tài)分布的。通過這一分布規(guī)律,可以對商業(yè)銀行的評價得分數(shù)據(jù)進行模擬擴充達到大樣本要求,避免了小樣本劃分評價等級不準確的問題。
[Abstract]:Bank's Credit Rating is an evaluation of the overall financial capacity of a bank to pay its financial debt. The credit rating of commercial banks is of great significance: first, the credit rating of commercial banks is the basis for the supervision and control of the banking risk and the safety of the financial system. Secondly, the credit rating of commercial banks is the foundation of the bank's own risk management. Third, the establishment of the relationship between the financial institutions and the establishment of the cooperative relationship needs to be based on the credit rating of commercial banks. The fourth, the business enterprise and the public can choose the commercial bank of the commercial bank according to the credit rating situation of each commercial bank. This paper is a total of five The first chapter analyses the basis of the selection of the thesis, the research progress, the research methods, the technical route and the research of the research. The second chapter is based on the structure of the index system of the credit evaluation of the commercial bank based on the non-linear mapping The Research on the Credit Evaluation Model of Commercial Banks in Chapter 3 on the Method of Optimal Empowerment Research. Chapter IV Research on the Credit Rating of the Small-sample Problem The fifth chapter is the conclusion and exhibition. The main work of the paper is as follows: (1) The principle of non-linear mapping is introduced, and the credit rating of commercial banks is constructed. The index system is based on the Euclidean distance of the non-linear mapping results of the two states with no specific indexes, and reflects the result of the specific index to the evaluation. The influence degree of the specific index on the evaluation result is solved, and the non-linear mapping deletion finger lay the foundation of the bid. Make a non-linear mapping to all the indexes, and delete the specific indexes to do the same. Non-linear mapping. The Euclidean distance of two non-linear mapping results is obtained. There is no change or change in the Euclidean distance, which indicates the evaluation of the index. The result is small. By setting the complex correlation coefficient and the correlation coefficient at the same time to exceed the threshold value deletion index, the error deletion of the index caused by the single standard is avoided, and the information after the deletion indicator is guaranteed. The content loss is little. The index system of the credit risk evaluation of the commercial banks with the 19 indexes of the six criteria is established, and the index of 17% reflects 91%. The empirical study shows that the results of this study are similar to that of Moody's and the Great Public. The order relationship is consistent. There are two reasons for keeping the order relationship with Moody's and Big Public International: one is the core rating index of the authorities such as Moody's and Big Public International, and the evaluation method and the weighting method are not A commercial silver that cannot be rated by an authority by way of its method. the second is to ensure that the evaluation result is consistent with the authority order relationship, so that the rationality of the evaluation result is ensured, and all commercial banks can be solved The problem of rating. (2) With the improved Spearman test, the business of the optimal weighting method is established. The bank credit evaluation model is based on the results of the commercial bank credit rating published by the authority rating agency, and the improved Spearman rank correlation test is used to obtain the different weighting methods. The result of the evaluation is tested, and the method of weighting which is closest to the rating result of the authority is selected as the optimal weighting method, and the problem that the existing research can not be solved is solved. The problem of the determination of the method of weight is the method for maximizing the difference of the AHP, the G1 method and the objective weight, the coefficient of variation, the entropy, the entropy of the objective weight, the coefficient of variation, the entropy, The five weighting methods, such as the value method, are compared with the rating results of the authoritative rating agency Moody's and the Big Public International to solve the problem that the existing research can not be solved. The empirical study shows that the problem of credit evaluation for commercial banks The method of entropy value is used to empower the most suitable. (3) a small sample test is established. The model of the credit rating of the commercial bank is to test the distribution of the evaluation score, find the distribution law of the evaluation score, and provide the basis for the data expansion of the evaluation score, which is the present research. according to the distribution parameter of the distribution test, the random data which is in the same distribution as the evaluation score is simulated, the number of the samples is expanded, so that the expanded sample data and the original data have the same distribution characteristic, the solution The empirical study shows that the evaluation score of commercial banks in China is neither a normal distribution nor an exponential normal distribution nor a log-normal distribution, but is a special distribution and the evaluation score is self-determined. By this distribution rule, the evaluation score data of commercial banks can be simulated and expanded to meet the requirement of large samples, and the small samples are avoided.
【學位授予單位】：大連理工大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F831.2
本文編號：2407345
[Abstract]:Bank's Credit Rating is an evaluation of the overall financial capacity of a bank to pay its financial debt. The credit rating of commercial banks is of great significance: first, the credit rating of commercial banks is the basis for the supervision and control of the banking risk and the safety of the financial system. Secondly, the credit rating of commercial banks is the foundation of the bank's own risk management. Third, the establishment of the relationship between the financial institutions and the establishment of the cooperative relationship needs to be based on the credit rating of commercial banks. The fourth, the business enterprise and the public can choose the commercial bank of the commercial bank according to the credit rating situation of each commercial bank. This paper is a total of five The first chapter analyses the basis of the selection of the thesis, the research progress, the research methods, the technical route and the research of the research. The second chapter is based on the structure of the index system of the credit evaluation of the commercial bank based on the non-linear mapping The Research on the Credit Evaluation Model of Commercial Banks in Chapter 3 on the Method of Optimal Empowerment Research. Chapter IV Research on the Credit Rating of the Small-sample Problem The fifth chapter is the conclusion and exhibition. The main work of the paper is as follows: (1) The principle of non-linear mapping is introduced, and the credit rating of commercial banks is constructed. The index system is based on the Euclidean distance of the non-linear mapping results of the two states with no specific indexes, and reflects the result of the specific index to the evaluation. The influence degree of the specific index on the evaluation result is solved, and the non-linear mapping deletion finger lay the foundation of the bid. Make a non-linear mapping to all the indexes, and delete the specific indexes to do the same. Non-linear mapping. The Euclidean distance of two non-linear mapping results is obtained. There is no change or change in the Euclidean distance, which indicates the evaluation of the index. The result is small. By setting the complex correlation coefficient and the correlation coefficient at the same time to exceed the threshold value deletion index, the error deletion of the index caused by the single standard is avoided, and the information after the deletion indicator is guaranteed. The content loss is little. The index system of the credit risk evaluation of the commercial banks with the 19 indexes of the six criteria is established, and the index of 17% reflects 91%. The empirical study shows that the results of this study are similar to that of Moody's and the Great Public. The order relationship is consistent. There are two reasons for keeping the order relationship with Moody's and Big Public International: one is the core rating index of the authorities such as Moody's and Big Public International, and the evaluation method and the weighting method are not A commercial silver that cannot be rated by an authority by way of its method. the second is to ensure that the evaluation result is consistent with the authority order relationship, so that the rationality of the evaluation result is ensured, and all commercial banks can be solved The problem of rating. (2) With the improved Spearman test, the business of the optimal weighting method is established. The bank credit evaluation model is based on the results of the commercial bank credit rating published by the authority rating agency, and the improved Spearman rank correlation test is used to obtain the different weighting methods. The result of the evaluation is tested, and the method of weighting which is closest to the rating result of the authority is selected as the optimal weighting method, and the problem that the existing research can not be solved is solved. The problem of the determination of the method of weight is the method for maximizing the difference of the AHP, the G1 method and the objective weight, the coefficient of variation, the entropy, the entropy of the objective weight, the coefficient of variation, the entropy, The five weighting methods, such as the value method, are compared with the rating results of the authoritative rating agency Moody's and the Big Public International to solve the problem that the existing research can not be solved. The empirical study shows that the problem of credit evaluation for commercial banks The method of entropy value is used to empower the most suitable. (3) a small sample test is established. The model of the credit rating of the commercial bank is to test the distribution of the evaluation score, find the distribution law of the evaluation score, and provide the basis for the data expansion of the evaluation score, which is the present research. according to the distribution parameter of the distribution test, the random data which is in the same distribution as the evaluation score is simulated, the number of the samples is expanded, so that the expanded sample data and the original data have the same distribution characteristic, the solution The empirical study shows that the evaluation score of commercial banks in China is neither a normal distribution nor an exponential normal distribution nor a log-normal distribution, but is a special distribution and the evaluation score is self-determined. By this distribution rule, the evaluation score data of commercial banks can be simulated and expanded to meet the requirement of large samples, and the small samples are avoided.
【學位授予單位】：大連理工大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F831.2
【引證文獻】
相關碩士學位論文 前1條
1 李翹;平臺型電子商務誠信評估體系研究[D];廈門大學;2014年
，本文編號：2407345
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