| KMV和Apriori算法在上市公司信用风险传染中的应用 |
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| 引用本文： | 冷梅. KMV和Apriori算法在上市公司信用风险传染中的应用[J]. 湖南大学学报(社会科学版), 2010, 24(3): 58-61 |
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| 作者姓名： | 冷梅 |
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| 作者单位： | 湖南大学,工商管理学院,湖南,长沙,410082;长沙卷烟厂,湖南,长沙,410007 |
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| 基金项目： | 国家社会科学基金重点项目,湖南省社会科学基金项目,湖南省社科成果评审委员会科研项目 |
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| 摘 要： | 运用KMV模型计算违约距离,作为度量我国上市公司信用风险的指标,并利用Apriori算法挖掘上市公司之间的信用风险传染.结果表明关联规则挖掘能直观有效地描述上市公司之间的信用风险传染,产生强关硖规则的上市公司之间信用风险传染较为明显.
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| 关 键 词： | 上市公司 KMV模型 关联规则 Apriori算法 信用风险传染 |
The Application of KMV and Apriori Algorithm on the Transmission of Credit Risk between Listed Companies |
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| LENG Mei. The Application of KMV and Apriori Algorithm on the Transmission of Credit Risk between Listed Companies[J]. Journal of Hunan University(Social Sciences), 2010, 24(3): 58-61 |
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| Authors: | LENG Mei |
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| Affiliation: | Faculty of International education, Hunan Business College, Changsha410205, China) |
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| Abstract: | The research on the transmission of credit risk is very important for administration of credit risk between listed companies. In this paper, the credit risk indicators of listed companies are measured by the distance to default calculated through KMV computational method. Besides, Apriori algorithm is used to dig the transmission of credit risk between the listed companies. The results indicate that the digging of association rules can directly and effectively represent the transmission of credit risk between the listed companies, and the transmission is more obvious among the associated companies generating strong association rules. |
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| Keywords: | listed companies KMV model association rules apriori algorithm transmission of credit risk |
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