基于智能优化的信用风险评估方法与综合集成预警模型研究

项目名称： 基于智能优化的信用风险评估方法与综合集成预警模型研究

项目编号： No.71271202

项目类型： 面上项目

立项/批准年度： 2013

项目学科： 管理科学

项目作者： 王珏

作者单位： 中国科学院数学与系统科学研究院

项目金额： 54万元

中文摘要： 本项目从我国银行信贷现状出发，深入研究信用风险管理基本理论和信用风险评估与预警的新方法，为信用风险预警系统的构建提供理论支撑。在全面分析信用风险影响因素的基础上，针对我国银行业在风险管理中的客户信用风险，包括单一客户风险和集团客户风险，构建多维度、多层次风险预警指标体系，提出客户风险预警模型；针对银行贷款组合风险，建立风险优化决策模型，研究基于智能计算的最优求解方法；在此研究基础上，设计最优集成策略，采用定性与定量相结合的方式，建立智能化综合集成风险预警模型。本项目研究的意义在于：1）理论上，提出一套新的信用风险评估与预警方法，丰富和完善信用风险管理理论；2）应用上，开发智能化综合集成信用风险预警系统，提供实时预警结果，为我国银行业有效控制信用风险提供决策支持。

中文关键词： 信贷风险；单一客户；集团客户；预警指标体系；智能计算

英文摘要： With current status of China's bank credit, we shall investigate the basic theories of credit risk management and novel approaches of credit risk assessment and early warning， so as to provide theoretical support of constructing the credit risk warning system. On the basis of comprehensive analysis of the factors which may influence credit risk, we aim to customer credit risk including single and group customer risks in China's banking industry, build multi-dimension, multi-level early warning indicator system, and then propose customer risk warning model. After that we shift another important issue in China's bank industry, bank loan portfolio risk management and early warning, where risk optimization decision model will be intensively studied and the problem of intelligent computation based optimization solving will be in-depth investigated. These progresses promote us to design optimal integration strategy in a hybrid manner of qualitative and quantitative analysis so as to establish intelligent integrated risk warning model. The significance of this project is two-fold and summarized as follows. Theoretically, a novel methodology of intelligent computation based credit risk evaluation and early warning will enrich and improve credit risk management theory to accommodate to increasing trend of globalization.

英文关键词： credit risk；single client；group client；indicator system；intelligent conputing