基于马尔可夫链的资产质量预测建模研究

Study on Forecasting Model of Assets Quality Based on Markov Chain

银行管理信贷资产管理问题,为了防止风险,结合银行普遍采取的资产质量五级分类管理办法,构建的银行资产质量迁移矩阵,可以清楚地反映银行资产在不同时期的状态分布,便于定期审查和追踪银行资产质量的变化规律。根据银行资产质量的变化规律的特征,采用马尔可夫链建立了银行资产质量预测模型,测算将来时点银行资产五级分类的概率分布和总量。迁移矩阵和基于马尔可夫链的资产质量预测模型的引入,既能有效揭示资产分类中的技术偏差和道德风险,又能为有效防范因资产质量恶化形成的风险。

With the five-category loan quality classification method,transition matrix can reflect the distribution and the transformation of bank assets.The transition matrix of bank assets quality can regularly review and make tracks for the evolution of bank assets quality.Because of the continuity and stability of the bank assets quality,forecasting model of the assets quality based on Markov chain can measure and calculate the probability distribution of bank assets quality in the future.Using the transition matrix and the forecasting model of the assets quality based on Markov will expose the deviation and the moral risk during classifying loans and classify them into five categories,and also benefit to guard against the risk of bank assets quality＇s worsening.