【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。更多还原

【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.更多还原