| 基于BP-KMV模型的商业银行信用风险评价研究 |
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| 引用本文： | 张婧婧. 基于BP-KMV模型的商业银行信用风险评价研究[J]. 河海大学学报(哲学社会科学版), 2009, 11(3): 66-69 |
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| 作者姓名： | 张婧婧 |
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| 作者单位： | 河海大学,商学院,江苏,南京,210098 |
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| 摘 要： | 建立BP神经网络和KMV模型相结合的BP-KMV信用风险评价模型,并选择上市的49家样本公司的财务数据和股价水平对BP-KMV模型进行实证分析,将结果与商业银行现行的评价结果相比较,表明BP-KMV模型更符合实际情况。进一步发现评价结果的差异体现在信用度相对较高、风险相对较大的区域。
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| 关 键 词： | 信用风险 BP神经网络 KMV模型 BP-KMV模型 |
| 修稿时间： | 2009-10-29 |
A Study of Commercial Bank's Credit Risk Based on BP-KMV Model |
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| Zhang Jingjing. A Study of Commercial Bank's Credit Risk Based on BP-KMV Model[J]. Journal of Hohai University(Philosophy and Social Sciences), 2009, 11(3): 66-69 |
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| Authors: | Zhang Jingjing |
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| Affiliation: | Business School;Hohai University;Nanjing 210098;China |
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| Abstract: | The paper establishes a credit risk assessment model,namely BP-KMV,which is based on BP neural network and KMV model. It selects 49 listing companies'financial data and stock levels to testify BP-KMV model and compares the relevant resutls with commercial banks' current evaluation results. It is shown that the BP-KMV model is more practical according to real situation. Moreover,it is found out that the differences focus on the areas with relatively high degree of credit risk. |
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| Keywords: | credit risk BP neural network KMV model BP-KMV model |
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