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遵照国际银行业大多数银行的做法,信用风险评估包括对债务人和债项两个方面.以模糊集理论为基础,通过试算与比较,构造隶属函数,对各指标进行无量纲化处理,建立距离判别函数,评估债务人信用风险.根据债项特征,考察风险四因素:违约概率,特定违约损失,违约敞口,期限,建立0-1整数规划模型,对债项进行风险评估,确定最佳贷款组合,以解决组合贷款的优化决策问题.
Following the practice of most banks in the international banking industry, the credit risk assessment includes two aspects of the debtor and the debtor: Based on the fuzzy set theory, the subordinate function is constructed through trial calculation and comparison, and the indicators are dimensionlessized to establish Distance discriminant function to assess the debtor’s credit risk.According to the characteristics of debt, investigating the four factors of risk: default probability, specific default loss, default exposure, deadline, establishing 0-1 integer programming model, risk assessment of debt, to determine the best Loan portfolio to solve the optimization decision-making problem of portfolio loans.