基于混合整数规划法的企业信用风险评估研究

中国管理科学 ›› 2006, Vol. ›› Issue (2): 39-44.

基于混合整数规划法的企业信用风险评估研究

薛锋¹, 柯孔林²

1. 西安交通大学管理学院, 西安, 710049;
2. 浙江工商大学金融学院, 杭州, 310035

收稿日期:2005-05-08 修回日期:2005-12-11 出版日期:2006-04-28 发布日期:2012-03-07
基金资助:
国家自然科学基金资助项目(70171005)

Evaluation of Enterprise's Credit Risk Based on Mixed Integer Programming Approach

XUE Feng¹, KE Kong-lin²

1. Management school, Xi'an Jiaotong University, Xi'an 710049, China 2.Finance School, Zhejiang Gongshang University, Hangzhou 310035, China

Received:2005-05-08 Revised:2005-12-11 Online:2006-04-28 Published:2012-03-07

摘要/Abstract

摘要： 运用混合整数规划法构建企业信用风险评估模型,并将其应用于我国商业银行信用风险评估中。该模型具有非参数检验特性,不需要样本数据服从正态分布和等协方差,并通过两阶段的分类过程对企业信用状况进行判别。研究结果表明,混合整数规划法有较强的预测贷款企业信用风险的能力。

关键词: 混合整数规划法, 信用风险评估, Logit模型

Abstract: Mixed integer programming approach is used to construct the evaluation model of enterprise's credit risk in this paper,and is applied to credit risk evaluation in commercial banks.The model is characterized by the non-parametric test,and don't require normal distribution and equality of matrix of covariance.With the method of two-staged classification process,the paper discriminated the credit conditions of enterprises.Empirical study shows that mixed integer programming approach has a higher predicting ability.

Key words: mixed integer programming approach, evaluation of credit risk, logit model

中图分类号:

F830

薛锋, 柯孔林. 基于混合整数规划法的企业信用风险评估研究[J]. 中国管理科学, 2006, (2): 39-44.

XUE Feng, KE Kong-lin. Evaluation of Enterprise's Credit Risk Based on Mixed Integer Programming Approach[J]. Chinese Journal of Management Science, 2006, (2): 39-44.

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