基于大数据的消费金融信用风险计量与管理

项目名称： 基于大数据的消费金融信用风险计量与管理

项目编号： No.71461004

项目类型： 地区科学基金项目

立项/批准年度： 2015

项目学科： 管理科学

项目作者： 蒋致远

作者单位： 桂林电子科技大学

项目金额： 34万元

中文摘要： 经济结构调整的当前，消费成为拉动经济的首要驱动力，金融在资源配置和扩大内需中发挥关键作用。鉴于我国居民消费习惯，以及社会保障机制和信用控制机制的欠缺，一系列宏观经济政策对扩大内需收效甚微。前期初步调查研究发现，消费金融决策和信用风险研究相对滞后，急需深入探究消费金融决策机制和信用约束机制对消费的反馈机理。项目组拟从消费者的行为习惯、风险偏好、资产负债结构和支付结构等角度，通过对消费金融大数据进行多元统计分析，筛选影响因子，建立消费决策RDEU模型和信用风险计量VaR模型；探索消费金融的决策机制和风险控制机制，阐述消费金融对经济的促进原理，揭示信用风险控制对消费的反馈机理；在长久效用和多次博弈的基础上，探究个人信征体系的构建模式和实现模式，以期寻求信用风险可控与促进消费之间动态均衡的规律。这将对信用风险管理、消费金融和构建诚信社会提供理论依据，在理论探索和实际应用层面上都具有十分重要的意义。

中文关键词： 信用风险；金融市场；风险度量；风险模型；数据挖掘

英文摘要： AS economic structural adjustment be going on,consumption becomes the primary driving force for stimulating the economy. Finance play a key role in the allocation of resources and in the expansion of domestic demand. However， because of our consumer habits, protection mechanisms and credit control mechanism, a series of economic policies on expansion of domestic demand obtain little success. Due to the lag of study on consumer decsion-making and credit risk, previous study found that it is urgent necessary to delve into the consumer decision-making mechanism and the credit constraint mechanisms on consumer feedback for consumer financial decisions and credit risk. From the point of consumer behavior, risk aversion, the structure of assets and the payment structure, by using statistical analysis and screening influencing factors, we intend to establish RDEU consumer decision-making model and credit risk measurement VAR models to explore consumer financial decisions and risk control mechanisms. And also consumer finance economic promotion mechanism to reveal the credit risk control ofconsumer feedback mechanisms will be elaborated. Basing on the long-term effectiveness and multiple-game theory,we try to explore personal letter the construction of the levy system, seeking a creditrisk is controllable and promote a dynamic equilibrium between the consumer and law. Which will have very important meaning for the scientific value of the theoretical significance and practical application level for risk management, consumer finance and building the integrity of social good idea.

英文关键词： Credit risk;Finance market;Risk management;Risk model;Big data analytics