基于有吸收态的马尔可夫链的贷款迁移分析

On Migration of Loans Based On Markov Chain with Absorbing State

运用马尔可夫模型对贷款风险进行了实证分析,指出了马尔可夫链在贷款风险分析方面具有操作性和有效性,可用于银行信贷资产的预测分析与风险管理;年度的贷款迁移矩阵可有效分析贷款风险变化特性及贷款损失、回收的内在规律,可度量不良贷款剥离对贷款风险转变的多方位作用,能为银行提前采取风险防范举措、改善贷款质量提供依据。

With an empirical research of loan risk based on markov model, we concluded that, the markov chain could be used in credit risk analysis with more effectiveness and feasibility; this method could be used in the management and forecast of credit risk for bank credit assets; the annual migration matrix can be used to analysis the movement characteristic of credit loan, the internal law of bank loan losing and reclaiming, and to measure the different effect of stripping off bad loans, and to provide basis for controlling the loan risk and improving the quality of loans.