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。
Mixed integer programming approach is used risk in this paper, and is applied to credit risk evaluation to construct the evaluation model of enterprise＇s credit 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.
出处
《中国管理科学》
CSSCI
2006年第2期39-44,共6页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(70171005)
