机构地区: 中国建设银行
出 处: 《金融研究》 2004年第9期92-100,共9页
摘 要: 搜寻先进的信用风险评估技术一直是信用风险管理研究的重要内容之一。本文对一种新型评估方法--多标准等级判别模型(M.H.DIS)进行了分析,并将这种非参数方法用于银行信用风险的评估,通过银行五级分类样本的实证研究,并与传统的经济计量方法进行比较讨论,证实了多标准等级判别方法是一种有效的信用风险评估工具,有助于银行及其他投资机构丰富信用风险评价方法,提高信用风险管理水平。 Looking for an advanced evaluation method of credit risk is always an important subject of credit risk management. This paper analyses the no - parameter M.H.DIS discrimination method and uses it to evaluate banking credit risk. Based on the empirical study of the samples of five - category bank loans and comparing with the prediction capability of other econometric method, the M.H.DIS method is proved as an efficient tool to evaluate credit risk, which will enrich the risk evaluation methods of bank & other financial institutions, and to improve the credit risk management.
领 域: [经济管理]