| 基于扩展数据包络判别法的商业银行信用风险评估 |
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| 引用本文： | 柯孔林,薛锋.基于扩展数据包络判别法的商业银行信用风险评估[J].系统工程理论与实践,2004,24(4):117-121. |
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| 作者姓名： | 柯孔林 薛锋 |
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| 作者单位： | (1)杭州商学院金融学院;(2)西安交通大学管理学院 |
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| 基金项目： | 国家自然科学基金(70171005) |
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| 摘 要： | 考虑到我国商业银行样本数据分布的非正态性和多维性特点,文章将扩展的数据包络判别模型引入商业银行信用风险评估中.该模型具有非参数检验特性,通过两阶段分类过程对企业信用状况进行判别.实证结果表明,与传统的Logistic分析模型相比,扩展数据包络判别模型的预测精度更好.
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| 关 键 词： | 扩展数据包络判别 信用风险评估 Logistic模型 |
| 文章编号： | 1000-6788(2004)04-0117-06 |
| 修稿时间： | 2003年4月26日 |
Evaluation of Business Bank's Credit Risk Based on Extended Data Envelopment Analysis-discriminant Analysis |
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| KE Kong-lin,XUE Feng.Evaluation of Business Bank''''s Credit Risk Based on Extended Data Envelopment Analysis-discriminant Analysis[J].Systems Engineering —Theory & Practice,2004,24(4):117-121. |
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| Authors: | KE Kong-lin XUE Feng |
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| Affiliation: | (1)Finance Institute,Hangzhou Commerce College;(2) Management School,Xi'an Jiaotong University |
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| Abstract: | Considering the non-normal distribution and high dimensionality of sample data from Chinese commercial banks, the paper introduces extended data envelopment analysis-discriminant analysis to credit risk evaluation in commercial banks. The model is characterized by the non-parametric test. With the method of two-staged classification process, the paper discriminated the credit conditions of enterprises . Empirical study shows that, comparing with Logistic model, extended data envelopment analysis-discriminant analysis has a higher predicting ability. |
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| Keywords: | extended data envelopment analysis-discriminant analysis evaluation of credit risk logistic model |
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