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论文类型： 会议论文

发表时间： 2013-11-23

收录刊物： EI、CPCI-S、Scopus

卷号： 1

页面范围： 328-331

关键字： credit risk; rating model; differential weighting; optimum partition

摘要： The purpose of the bank's credit risk rating is to reveal the credit risk level of the different banks. Based on rating index system of bank credit risk, the paper firstly uses the differential weighting method of the variation coefficient in order to determine objective weight effect sizes, then establishes calculation model of bank credit risk comprehensive scores, lastly uses optimum partition method to establish rating model of bank credit risk. The empirical results of rating model show that composite score of credit risk can be divided into five credit ratings and can not be divided into nine credit ratings. The contributions of this paper are to establish rating model of bank credit risk based on differential weighting method and optimum partition method and to solve the rating problem of credit risk of commercial banks.