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Comprehensive and efficient credit rating index weighting method

An index and credit technology, applied in the field of comprehensive and efficient credit rating index empowerment, can solve the problems of insufficiently accurate empowerment, insufficiently accurate credit rating, and ignoring the impact of default status.

Pending Publication Date: 2020-12-15
天元大数据信用管理有限公司
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Problems solved by technology

[0002] The weighting of credit rating indicators is a commonly used credit risk evaluation method. Existing research does not consider the degree of influence on the default state when assigning weights to credit rating indicators, or only considers the degree of influence on the default state. leading to inaccurate credit ratings

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  • Comprehensive and efficient credit rating index weighting method
  • Comprehensive and efficient credit rating index weighting method
  • Comprehensive and efficient credit rating index weighting method

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Embodiment Construction

[0050] The present invention will be further described below in conjunction with the accompanying drawings and specific embodiments.

[0051] At present, the commonly used credit risk evaluation methods are mostly to assign weights to credit rating indicators. For example, some people in the field use the variation coefficient method to assign values ​​to the credit risk evaluation index system of listed companies; corporate credit ratings determined by the comprehensive GI method and mean variance Index weight, determine the final weight of credit rating indicators, and conduct credit ratings on Chinese commercial banks according to the expanded credit comprehensive score; use the multiplication integration normalization method to evaluate the credit rating indicators determined by the analytic hierarchy process and factor analysis method respectively Based on the idea that the weight of credit rating indicators should reflect the degree of separation between default samples a...

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Abstract

The invention discloses a comprehensive and efficient credit rating index weighting method, and relates to the technical field of multivariate statistical analysis; the method is used for weighting acredit rating index based on a maximum information coefficient and information sensitivity. the ratio of the maximum information coefficient of one credit rating index to the sum of the maximum information coefficients of all the credit rating indexes is calculated as a first-layer weight; the information sensitivity of each index is calculated, wherein the ratio of the information sensitivity ofeach index to the sum of the information sensitivities of all the indexes is used as a second-layer weight; the weights of the two layers are multiplied, and normalization processing is carried out toserve as the weighting of the credit index. The final weight of the credit rating index weighting method can reflect the recognition capability of the index for violation or not, can reflect the comprehensive risk capability of the index credit violation, and overcomes the defects of the existing research weighting.

Description

technical field [0001] The invention relates to the technical field of multivariate statistical analysis, in particular to a comprehensive and efficient credit rating index weighting method. Background technique [0002] The weighting of credit rating indicators is a commonly used credit risk evaluation method. Existing research does not consider the degree of influence on the default state when assigning weights to credit rating indicators, or only considers the degree of influence on the default state. leading to inaccurate credit ratings. Contents of the invention [0003] The technical task of the present invention is to provide a comprehensive and efficient credit rating index weighting method for the above deficiencies. The final weight can not only reflect the ability of the index to identify default or not, but also reflect the comprehensive risk ability of the index credit default. Shortfalls in existing research empowerment. [0004] The technical solution adop...

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q10/06
CPCG06Q10/06393G06Q10/0635
Inventor 杨雨萌崔乐乐边松华
Owner 天元大数据信用管理有限公司
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