Checking system, method and storage medium of risk indicator estimation model
A technology of risk indicators and estimation models, applied in the computer field, can solve problems such as unfavorable supervision by regulatory authorities, inability to grasp whether the artificial intelligence model is reasonable, etc., and achieve the effect of reducing supervision costs.
Active Publication Date: 2022-03-22
CHINA CONSTRUCTION BANK
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However, when financial institutions estimate these risk indicators, they often use self-developed and highly complex artificial intelligence models, which makes it difficult for regulators to grasp whether the artificial intelligence models used by banks are reasonable, which is not conducive to the supervision of regulators.
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[0062] In order to facilitate the understanding of various aspects, features and advantages of the technical solutions of the present invention, the present invention will be specifically described below in conjunction with the accompanying drawings. It should be understood that the various implementations described below are only for illustration, rather than limiting the protection scope of the present invention.
[0063] In a first aspect, the embodiment of the present invention provides a system for checking a risk estimation model.
[0064] figure 1 An inspection system of a risk indicator estimation model according to one embodiment of the present invention is shown. Such as figure 1 As shown, the inspection system 10 includes a sensitive factor library construction module 11 , a sampling module 12 , an indicator estimation module 13 , an interpretation module 14 and a detection module 15 .
[0065] Wherein, the sensitive factor library construction module 11 is used ...
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The present invention provides an inspection system, method and storage medium of a risk index estimation model, and relates to the field of computer technology. The inspection method includes: constructing a sensitive factor library; obtaining inspection samples, and obtaining multiple sampling samples according to the inspection samples; Obtain the model to be inspected, input the sampling sample into the model to be inspected, and obtain the estimated value of the risk index corresponding to the sampled sample; explain the model to be inspected using a linear model according to the inspection sample, sampling sample, and estimated value of the risk index Obtain each feature factor of the model to be checked and the feature weight corresponding to each feature factor; determine whether the model to be checked contains a sensitive factor according to the feature factor, feature weight, and sensitive factor library. Through the inspection system and inspection method provided by the present invention, the supervisory department can simply and conveniently inspect whether the risk index estimation model constructed by the bank when estimating the risk index uses sensitive factors that are not allowed to be used.
Description
technical field [0001] The present invention relates to the field of computer technology, in particular to a system, method and storage medium for checking risk indicator estimation models. Background technique [0002] According to the risk-weighted asset calculation rules stipulated in "Basel III", banks need to use the probability of default (PD), default Loss rate (LGD) and exposure at default (EAD) and other risk indicators, these risk indicators need to be estimated by the bank to develop a corresponding model. However, when financial institutions estimate these risk indicators, they often use self-developed highly complex artificial intelligence models, which makes it difficult for regulators to grasp whether the artificial intelligence models used by banks are reasonable, which is not conducive to the supervision of regulators. [0003] Therefore, there is an urgent need for a technology that can monitor the risk of the above-mentioned artificial intelligence model....
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IPC IPC(8): G06Q10/06G06Q40/00
CPCG06Q10/0635G06Q40/00
Inventor 尹龙边鹏闫晗林胜
Owner CHINA CONSTRUCTION BANK