Method for analyzing commercial bank credit risk based on cluster analysis

A technology of cluster analysis and risk analysis, applied in the field of risk analysis, can solve the problems of long data processing time and high personal subjectivity, and achieve the effect of short processing time, convenient overall management, and convenient and objective effect.

Inactive Publication Date: 2009-01-21
盛秀英
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Problems solved by technology

[0003] In order to overcome the problems of high personal subjectivity and long data processing time in the process of commercial bank credit risk analysis by the current cluster analysis method

Method used

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Embodiment Construction

[0012] The present invention will be described in further detail below in conjunction with specific embodiments, but not limited to specific examples.

[0013] According to the following method, commercial bank customer data cluster analysis, the specific implementation process is as follows:

[0014] 1. Sort the value of customer data on each attribute from small to large. i.e. have an ordered chain on each attribute: x a b c l .

[0015] 2. Using the membership degree formula in axiomatic fuzzy set theory:

[0016] mu η (x) = sup i∈I {|A i (x)| / |X|}

[0017] Obtain the membership degree of each customer x belonging to attribute η. Among them, A(x)={y|y∈X, y≥x}. X is the set of customers. A(x) is the set of customers y satisfying y≥x on attribute A.

[0018] 3. Extract the attribute description ζ of each customer. Take out all the attributes of a customer whose membership degree value is greater than 0.8, and combine these attributes into the attribute description ...

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Abstract

The invention provides a commercial bank credit analysis method based on cluster analysis, which is characterized in that the credit analysis method utilizes a novel cluster analysis method and just utilizes an order relation of customer data during a treatment process, credit customers in different grades are divided through a similar degree on attributes, thereby being convenient for the whole management of commercial banks. A clustering process is achieved through using a mathematic software, the commercial bank credit analysis method has the characteristics of short treatment time, objective method and accurate analysis results, and is particularly suitable for a credit analysis process of complex bank data.

Description

1. Technical field: [0001] The invention relates to a risk analysis method, in particular to a commercial bank credit risk analysis method based on cluster analysis. 2. Background technology: [0002] The main risks faced by commercial banks are credit risk, market risk and interest rate risk. Since the 1960s, researchers in the United States and many European countries have begun to conduct credit risk analysis research. At present, the non-parametric statistical methods commonly used to deal with such problems mainly include: k-nearest neighbor discrimination, kernel density estimation and cluster analysis. These three methods rely on the method of defining membership function and Euclidean distance function to cluster customer data, which leads to great personal subjectivity in credit analysis results. And the processing time of the above-mentioned three methods is relatively long, which is not suitable for complex and large amount of customer data of commercial banks. ...

Claims

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Application Information

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IPC IPC(8): G06Q40/00G06F17/30G06Q40/02
Inventor 盛秀英
Owner 盛秀英
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