商业银行信用风险度量及评估方法研究  

Research on Measurement and Evaluation Methods of Credit Risk in Commercial Banks

作　　者：侯景花 HOU Jing-hua(Finance Office,Jinzhong University,Jinzhong Shanxi,030619,China)

机构地区：[1]晋中学院计划财务部,山西晋中030619

出　　处：《晋中学院学报》2022年第6期57-63,共7页Journal of Jinzhong University

摘　　要：根据风险指标体系构建原则,建立商业银行信用风险度量与评估指标体系;分别运用层次分析法和信息熵方法赋权于信用风险度量及评估体系,得到主、客观权重,并将二者融合得出综合指标权重;通过自适应调整学习速率的方法优化BPNN网络,将得到综合赋权的信用风险度量及评估指标输入优化后的BPNN网络模型中进行实验,实现对银行信用风险的度量及评估。实验证明:该方法选取的银行信用风险度量及评估指标熵值与实际熵值接近,具有较好的评估效果,能从主、客观两方面反映信用风险状况,精准度量信用风险分值、评估风险等级使商业银行能有效地监管与防范信贷问题带来的风险,具有较强的应用性。Put forward the credit risk measurement and evaluation methods of commercial banks,effectively analyze the credit risk of commercial banks,and avoid the risk of credit business.According to the principles of index system construction,establish the index system of credit risk measurement and evaluation of commercial banks;the analytic hierarchy process and information entropy method are used to weight each index in the credit risk measurement and evaluation system to obtain the subjective and objective weights,and the two are fused to obtain the comprehensive index weights;the BPNN network is optimized by self-adaptive adjustment of learning rate,and the credit risk measurement and evaluation indicators with comprehensive weights are input into the optimized BPNN network model for training,so as to realize the measurement and evaluation of bank credit risk.Experiments show that the bank credit risk measurement and evaluation indicators selected by this method have good coverage,can reflect the credit risk status from both subjective and objective aspects,accurately measure the credit risk score and evaluate the risk level,so that commercial banks can effectively supervise and prevent the risks caused by credit problems,and have strong applicability.

关 键 词：商业银行 信用风险 指标体系 指标权重 BPNN网络 评估模型 

分 类 号：F830.[经济管理—金融学]