| 交叉熵算法在企业违约风险评估中的应用研究 |
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| 引用本文： | 周泓,邱月. 交叉熵算法在企业违约风险评估中的应用研究[J]. 计算机工程与应用, 2008, 44(20): 13-16. DOI: 10.3778/j.issn.1002-8331.2008.20.005 |
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| 作者姓名： | 周泓 邱月 |
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| 作者单位： | 北京航空航天大学,经济管理学院,北京,100083;北京航空航天大学,经济管理学院,北京,100083 |
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| 基金项目： | 国家自然科学基金 , 教育部跨世纪优秀人才培养计划 |
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| 摘 要： | 系统仿真是风险评价的一种重要手段，针对企业违约预测问题，提出了一种基于交叉熵算法的违约风险评判方法。采用公司未偿还贷款的概率作为衡量违约风险高低的标准，利用交叉熵方法构造企业违约风险识别模型及其算法，并由此估计出发生损失的概率。与传统的预测方法进行比较，结果表明该模型对违约风险具有很强的识别能力，预测精度高。
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| 关 键 词： | 交叉熵 风险评估 仿真 违约风险 |
| 收稿时间： | 2008-03-10 |
| 修稿时间： | 2008-4-18 |
Application research on corporate default risk assessment based on cross-entropy algorithm |
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| ZHOU Hong,QIU Yue. Application research on corporate default risk assessment based on cross-entropy algorithm[J]. Computer Engineering and Applications, 2008, 44(20): 13-16. DOI: 10.3778/j.issn.1002-8331.2008.20.005 |
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| Authors: | ZHOU Hong QIU Yue |
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| Affiliation: | School of Economics and Management，Beihang University，Beijing 100083，China |
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| Abstract: | System simulation is one of important tool for risk assessment.A new method is presented to deal with corporate default forecast problems based on cross-entropy algorithm.The failure probability of repaying loans of corporation is taken as the criterion to measure the level of default risk.The cross-entropy scheme is adopted to construct the model of default risk identification,based on which the loss probability can be assessed.Contrasted to traditional forecasting methods,the forecasting method has a strong capability to identify the default risk and high forecasting precision. |
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| Keywords: | cross-entropy risk assessment simulation default risk |
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