Credit risk assessment method and device, electronic equipment and storage medium

A risk assessment and credit assessment technology, applied in the field of financial technology, which can solve the problems of unlisted companies’ forecast limitations, company default rate analysis limitations, and actual market discrepancies, so as to achieve more objective and reliable credit assessment results and reduce non-performing loans.

Pending Publication Date: 2022-07-22
INDUSTRIAL AND COMMERCIAL BANK OF CHINA
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  • Summary
  • Abstract
  • Description
  • Claims
  • Application Information

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Problems solved by technology

Use its stock price and liability information to make a predictive asset value measurement of the company's assets, but this model is only applicable to listed companies, and there are limitations to the prediction of non-listed companies, and there are restrictions on the later function upgrade of the model. Stock market information may limit the analysis of corporate default rates
The credit measurement model calculates the VaR value (value at risk) of credit risk by calculating the credit default rate, loss rate, credit rating and credit rating transition of the enterprise within a period of time, which can be used to calculate loans under different credit backgrounds or the loss value of the loan portfolio; but this model also has a significant shortcoming, the assumptions of the rating migration matrix and the default rate are too ideal and inconsistent with the actual market, so there will be prediction errors
[0005] For the above problems, no effective solution has been proposed

Method used

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  • Credit risk assessment method and device, electronic equipment and storage medium
  • Credit risk assessment method and device, electronic equipment and storage medium
  • Credit risk assessment method and device, electronic equipment and storage medium

Examples

Experimental program
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Embodiment 1

[0041] According to an embodiment of the present invention, an embodiment of a credit risk assessment method is provided. It should be noted that the steps shown in the flowchart of the accompanying drawings may be executed in a computer system such as a set of computer-executable instructions, and although A logical order is shown in the flowcharts, but in some cases steps shown or described may be performed in an order different from that herein.

[0042] figure 1 is a flowchart of an optional credit risk assessment method according to an embodiment of the present invention, such as figure 1 As shown, the method includes the following steps:

[0043] Step S101, select a plurality of financial indicators for credit evaluation of the subject to be evaluated, and obtain an indicator system;

[0044] Step S102, using the random forest algorithm to sort the index system to obtain the index sorting result;

[0045] Step S103, adopting a principal component analysis strategy to ...

Embodiment 2

[0117] This embodiment provides a credit risk assessment device, and the multiple implementation units involved in the assessment device correspond to each implementation step in the above-mentioned first embodiment.

[0118] figure 2 is a schematic diagram of an optional credit risk assessment device according to an embodiment of the present invention, such as figure 2 As shown, the evaluation device may include: a selection unit 21, a sorting unit 22, a conversion unit 23, and a measurement unit 24, wherein,

[0119] The selection unit 21 is used for selecting a plurality of financial indicators for credit evaluation of the subject to be evaluated, and obtaining an indicator system;

[0120] The sorting unit 22 is configured to use the random forest algorithm to sort the index system to obtain the index sorting result;

[0121] The transformation unit 23 is used for adopting the principal component analysis strategy to convert the multiple screening indices sorted before...

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Abstract

The invention discloses a credit risk assessment method and device, electronic equipment and a storage medium. The method comprises the following steps: selecting a plurality of financial indexes for performing credit assessment on a subject to be assessed to obtain an index system; sorting the index system by adopting a random forest algorithm to obtain an index sorting result; adopting a principal component analysis strategy to convert a plurality of screening indexes ranked before a preset numerical threshold in the index ranking result into a plurality of new comprehensive indexes; and on the basis of the plurality of new comprehensive indexes, a pre-constructed logistic regression model is adopted to measure a credit risk index of the to-be-evaluated subject, and the credit risk index is used for determining whether the to-be-evaluated subject is a credit risk subject. According to the invention, the technical problem of large evaluation result error of a credit evaluation strategy adopted by a financial institution in the prior art is solved.

Description

technical field [0001] The present invention relates to the technical field of financial technology, and in particular, to a credit risk assessment method and device, electronic equipment, and storage medium. Background technique [0002] The stable operation of financial institutions is of great significance to the financial market. Among the various risks in the operation of financial institutions, credit risk is one of the most important risks. Failure to effectively control credit risk will directly lead to an increase in non-performing loans of financial institutions. It even causes financial institutions to go bankrupt, causing panic in the financial market. [0003] In terms of the current corporate credit risk measurement methods, the construction of the credit system is not perfect, there are limitations in subjective evaluation of customer level, and the cost of personnel is too high. [0004] In related technologies, when evaluating the credit risk of each loan s...

Claims

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Application Information

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IPC IPC(8): G06Q40/02
CPCG06Q40/03
Inventor 李捷宋军超陈浩然何珍珍
Owner INDUSTRIAL AND COMMERCIAL BANK OF CHINA
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