期系统工程学报

,,(,361005):,.,,,..,,,.:;;:TP389;TP183:A:1000-5781(2002)06-0570-06CreditriskassessmentofenterprisebasingonneuralnetworkCHENXiong2hua,LINCheng2de,YEWu(DepartmentofAutomation,XiamenUniversity,Xiamen361005,China)Abstract:Creditratingoftheenterpriseisveryimportantprobleminthefinancialfield.Inthisarticle,weresearchedthisproblemusingartificialneuralnetworkmodel.Wegotthesamplesbasingonthedistri2butionofcreditratingoftheallsamples.Andthen,wedividedthesamplesoftheenterprisesintotwosets,oneismanufactureandtheotherisnon2manufacture,wealsodevelopedanindicatorssystemusingpartialcorrelationmethod.Furthermore,weintroducedmanycreditassessmentmodelsincommonuseandcomparedtheresultofourmodelwiththatofsomeofthem.Theresultfromtheexperimentshowsthatourmodelismoreapplicableandsuitable.Keywords:neuralnetwork;creditriskassessment;creditriskassessmentmodel0,.[1,2],,,,,,Logistic.2090,,[3,4].,,.,,.176200212JOURNALOFSYSTEMSENGINEERINGVol.17No.6Dec.,2002:2001-04-16;:2002-06-24.©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.[4].,.,.1,,,,.(AAAAAAB),,,,.,Fisher1936[4].:(MDA)Logit.MDA.MDA,,.MDAChesserZETA.,,.Logit,,Logit,1981Logit,[5-9].2080,,.,.,,:1);2);3);4).,.,,,.,.,.,,,,,,,.,[4].(),,..,,().,,.,[10,11],,.,[12].2211175200212:©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.().,..,..,AAAAAABBBBBB6.BBBBBB,3A.AAAAAAA4.,,:1);2),;3),.,,AAAAAAA4,4,,.,,8421,,AAAAAAA126683412,150,90;,3211,66432120,90,60.212,..:;,.[13]G1(/)G2()G3()G4()G5()G6()G7()G8()G9(/)G10(/)G11(/)G12(/)G13(/)G14(/)G15(/)G16(/)G17(/).240150SPSS.1.1G1G2G3G4G5G6G7G8G9S0.69460.89320.66530.67100.0336-0.02680.69840.89780.8996P0.0000.0000.0000.0000.4120.5130.0000.0000.000G10G11G12G13G14G15G16G17S0.81700.8932-0.10480.7779-0.0758-0.03720.75150.0630P0.0780.0000.0000.0000.0640.3640.0000.1231S,,P0,240.,2.275176©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.2G1G2G3G4G5G6G7G8G9S0.72760.78820.78820.7093-0.01290.05810.69990.62020.6037P0.0050.0000.0000.0100.8750.4800.0000.0000.000G10G11G12G13G14G15G16G17S0.6255-0.2685-0.06270.49800.07460.2507-0.3531-0.0533P0.0570.0000.0020.0000.3640.0020.0000.000:2SP1,150.,.::G1G2G3G4G7G8G9G10G11G13G16.:G1G2G3G4G7G8G9G10.,3,4.3G1G2G3G4G7G8S0.68190.63800.79400.80790.61260.6500P0.0000.0590.0230.0090.0000.000G9G10G11G13G16S0.84540.61580.4361-0.35540.3710P0.0000.0030.8940.7030.6144G1G2G3G4G7G8G9G10S0.59890.77270.71420.70780.62320.55900.67920.7848P0.0240.0390.0030.0000.0000.0020.0320.02734,S,P.3:G11(/)0.4361,0.894,;G13(/)-0.3554,0.703,;G16(/)0.3710,0.614,.,,8.,,:G1G2G3G4G7G8G9G108.33.1[14,15],3BP:8,1,,[15]:,1,,,,,18,,,18.AAAAAAA40.9,0.7,0.5,0.3.,8375200212:©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,x=x-min()mx()-min(),x[0,1].3.2BP[16],,,e,,,,0.006,,,,,,,,,.3.3,,,5.5AAAAAAA0.80.60.80.40.60.4,6.6(/)AAAAAAA/%/%56/7926/4128/3919/2917/2210/125/104/870.67(106/150)65.56(59/90)59/7930/4127/3920/2918/229/125/103/872.67(109/150)68.89(62/90)69/7932/4131/3921/2917/228/1210/106/884.67(127/150)73.33(66/90)31/4217/2419/2614/1710/126/93/104/1076.67(69/90)68.33(41/60)34/4217/2419/2616/1710/126/93/104/1078.89(71/90)68.33(43/60)38/4219/2424/2613/1710/127/99/107/1090(81/90)76.67(46/60):AAAAAAA4,1/,2/,/.6BP,,,,,BP.4,,.,.,,,,,,,,.,,475176©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.,,AAA.,,,.,,,,,.,.,,.5BP,,.,,,,,.,,,,.:[1]FreemanA.Asurveyofinternationalbanking[J].TheEconomist,1993,(6):137[2],.[M].:,1995[3].[D].:,1999[4],,.[J].,1999,9:2432[5]FisherRA.Theuseofmultiplemeasurementsintaxonomicproblems[J].Ann.Eugenics,1936,(7):179188[6]AltmanEI.Financialratios,discriminantanalysis,andthepredicationofcorporatebankrupcy[J].JournalofFinance,1968,23(9):589609[7]ElamE.Theeffectofleasedataonthepredictiveabilityoffinancialrationanalysisforsmallbusinessfailureprediction[J].JournalofFinancialandQuantitativeAnalysis,1972,(3):6576[8]PressSJ,WilsonS.ChoosingbetweenLogisticregressionanddiscriminantanalysis[J].J.AmerStatistAssoc,1978,73(7):699705[9]EisenbeisRA.Pitfallsintheapplicationofdiscriminantanalysisinbusiness,finance,andeconomics[J].JournalofFinance,1977,32:875900[10]OdomMD,ShardaRA.Neuralnetworkforbankruptcypredition[J].InternationalJointConferenceonNeuralNetworks,1990,2(6):163168[11]HopfieldJJ,TankDW.Neuralcomputationofdecisionsinoptimizationproblem[J].BiologicalCybernetics,1985,52:123145[12].[J].,1998,(12):103109[13].[M].:,1999[14]DuttaS,etal.Bondrating:Anon2conservativeapplicationofneuralnetworks[J].Proc.IEEEInt.Conf.onNeuralNetworks,1992,(2):154173[15]PoddigT.Bankruptcyprediction:AComparisonwithDiscriminantAnalysis[M].NewYork:Apostolos2PaulRefenes,1993.137159[16],.BP[J].(),2001,40(5):10171021:(1976),,,.:.(1948),,,,.:,.(1975),,,.:.575200212:©1995-2004TsinghuaTongfangOpticalDiscCo.,Ltd.Allrightsreserved.