| 连续融资下信用风险的多因素预警监控方法 |
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| 引用本文： | 王满玲,杨德礼,迟国泰.连续融资下信用风险的多因素预警监控方法[J].系统工程,2005,23(11):95-101. |
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| 作者姓名： | 王满玲 杨德礼 迟国泰 |
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| 作者单位： | 大连理工大学,系统工程研究所,辽宁,大连,116024 |
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| 基金项目： | 国家自然科学基金资助项目（70471055）;高等学校博士学科点专项科研基金资助项目（20040141026）. |
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| 摘 要： | 借助KMV模型求解预期违约距离的框架，并通过构造混合期限结构下增长因子的连续期望收益函数，系统建立了连续融资下多风险驱动因素与信用风险之间的结构性的规范关系。通过模型数值模拟和提出的二次非线性的预警监控区域划分方法，得到对12个风险驱动因素进行违约监控的预警区间和监控规律，分析结论还揭示了授信评价中的多重风险偏好特征。
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| 关 键 词： | 风险驱动因素 连续融资 信用风险弹性 预警监控 |
| 文章编号： | 1001-4098（2005）11-0095-07 |
| 收稿时间： | 2005-05-25 |
| 修稿时间： | 2005-05-252005-08-18 |
Credit Risk Supervising and Early Warning Method under Multi-driving-factor's Fluctuation and Continually Financing |
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| WANG Man-ling,YANG De-li,CHI Guo-tai.Credit Risk Supervising and Early Warning Method under Multi-driving-factor''''s Fluctuation and Continually Financing[J].Systems Engineering,2005,23(11):95-101. |
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| Authors: | WANG Man-ling YANG De-li CHI Guo-tai |
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| Institution: | Institution of Systems Engineering, Dalian University of Technology, Dalian 116024,China |
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| Abstract: | By means of a continual profit function under expected return rate and mixed time structure,the normative(relationships) between multi driving factors and default risk are systematically built with considering continually financing(in the) framework of KMV model's solving expected default distance.With a proposed square non-linear monitor region(dividing) method,default risk early warning region and monitoring rules of twelve system and non-system risk driving(factors) are deduced from the results of numerical simulation.Multi-ply risk partialness of credit risk evaluation is also(brought) to light. |
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| Keywords: | Risk Driving Factors Continually Financing Credit Risk Elasticity Early Warning Monitor |
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