商业银行信贷风险预警研究——基于AHP权重可变模糊模型

The Early Warning Research of Credit Risk for Commercial Banks——Based on AHP and Variable Fuzzy Set Model

随着金融的全球化趋势,商业银行的风险管理越来越被国际国内金融界关注。信贷风险预警是银行管理信贷风险的重要手段之一,及早识别并分析信贷风险的来源及危害,为管理层在投资决策阶段就获得一定程度的主动优势,从而降低或者直接杜绝不良贷款的发生,减少银行的信贷损失,而且建立运作良好的信贷风险预警理论和方法,可以从信贷风险发生的内外部环境中获取信息,实现对其进行适时相应的风险监控。本文首先由信贷风险的模糊性引出工程可变模糊集的理论介绍,继而在现有研究基础上,提出运用基于AHP的可变模糊模型进一步完善信贷风险预警及评价,最后通过实例分析,计算出预警指标体系各因素权重以及信贷风险等级和预警状态,为银行进行有效的信贷风险管理提供更为科学的决策支持。

With the globalization of finance, risk management of commercial banks is increasingly concerned by international and domestic financial field. Early warning of credit risk is an important means of Bank credit risk management. Early identification and analysis of the sources and hazards of credit risk, which can get the advantages to an extent for managers in the investment decision- making stage to reduce or eliminate directly the incidence of non-performing loans, reducing the bank＇s credit losses. And establishing well-functioning credit risk warning theory and methods can get information from internal and external environment that credit risk occur, so as to achieve its risk monitoring timely and appropriately. The paper firstly introduces engineering variable fuzzy set theory lead by the ambiguity of credit risk, and then proposes that using the model based on AHP and variable fuzzy sets to further improve credit risk early warning and evaluation on the basis of existing research. Finally, according to an example, the weight of each factor and the credit risk rating and state of early warning should be calculated to establish effective credit risk management so as to provide more scientific decision-making support for the banks.