本文選題：極值理論　切入點(diǎn)：參數(shù)估計(jì)　出處：《中國(guó)地質(zhì)大學(xué)（北京）》2014年碩士論文

【摘要】：個(gè)人信用風(fēng)險(xiǎn)評(píng)估是金融領(lǐng)域中的重要研究課題。本論文將極值理論應(yīng)用于構(gòu)建個(gè)人信用風(fēng)險(xiǎn)評(píng)估模型問(wèn)題的理論和應(yīng)用研究，對(duì)于預(yù)測(cè)個(gè)人信用風(fēng)險(xiǎn)發(fā)展趨勢(shì)具有重要的理論和現(xiàn)實(shí)意義。 本文以極值理論為指導(dǎo)，以某二線城市的影響個(gè)人信用風(fēng)險(xiǎn)因素?cái)?shù)據(jù)為依托，針對(duì)個(gè)人信用風(fēng)險(xiǎn)評(píng)估預(yù)測(cè)問(wèn)題，通過(guò)分析國(guó)內(nèi)外各金融機(jī)構(gòu)的個(gè)人信用評(píng)估體系中的影響因素，確定較為符合我國(guó)國(guó)情及發(fā)展現(xiàn)狀的個(gè)人信用評(píng)估體系，建立個(gè)人信用影響因素評(píng)分方法。將極值理論中廣義極值分布（GEV分布）、極值分布Ⅰ型（Gumbel）分布及廣義帕累托（GPD）分布引用到個(gè)人信用風(fēng)險(xiǎn)評(píng)估中，通過(guò)不同的參數(shù)估計(jì)方法、利用Matlab軟件、R語(yǔ)言得出具體的個(gè)人信用風(fēng)險(xiǎn)評(píng)估模型，利用最小二乘法擬合個(gè)人信用風(fēng)險(xiǎn)的發(fā)展趨勢(shì)。 文中建立了八種基于不同參數(shù)估計(jì)方法下不同極值分布的個(gè)人信用風(fēng)險(xiǎn)評(píng)估模型：基于極大似然估計(jì)、概率權(quán)矩估計(jì)、L矩估計(jì)的GEV分布模型，，基于矩估計(jì)、極大似然估計(jì)的Gumbel分布，基于概率權(quán)矩估計(jì)、極大似然估計(jì)、L矩法估計(jì)的GPD模型。其中，GEV、Gumbel分布模型采用區(qū)組極大值方法，GPD分布模型采用超閾值方法。通過(guò)Matlab軟件最小二乘法擬合檢驗(yàn)可知，個(gè)人信用風(fēng)險(xiǎn)評(píng)估基于矩估計(jì)的Gumbel分布模型、個(gè)人信用風(fēng)險(xiǎn)評(píng)估基于極大似然估計(jì)的Gumbel分布模型具有一定的實(shí)用價(jià)值，具體模型為： age11.6225education5.7046income11.2561 本文的創(chuàng)新之處在于：利用影響個(gè)人信用的因素?cái)?shù)據(jù)建立了基于不同參數(shù)估計(jì)方法下的極值分布預(yù)測(cè)模型。
[Abstract]:Personal credit risk assessment is an important research topic in the field of finance.In this paper, the extreme value theory is applied to the theoretical and applied research of personal credit risk assessment model, which has important theoretical and practical significance for predicting the development trend of personal credit risk.Under the guidance of extreme value theory, based on the data of personal credit risk factors in a second-tier city, this paper analyzes the influencing factors in the personal credit evaluation system of various financial institutions at home and abroad, aiming at personal credit risk assessment and forecasting problems.The evaluation system of personal credit is established, which is in line with the situation of our country and the present situation of development, and the scoring method of influencing factors of personal credit is established.In the extreme value theory, the generalized extreme value distribution (GEV distribution), the extreme value distribution type 鈪

本文編號(hào)：1706811