The Application Research On The Financial Crisis Warning Model For The Credit Risk Management

Credit risk is one of the oldest risks in money market, and is also one of the core problems of business management in commercial banks. Enterprises'bankruptcy for their financial crisis is the direct factor leading credit capital loss of commercial bank. In the drastic market economy, it is too common to see that many companies become insolvent and escaping debts for their financial crisis. How to discover the signal of financial crisis of enterprises, so that the bank can adjust credit policy according to alarm signal timely and avoid loss of credit capital, has become focus concerned of. Therefore, it is very important and meaningful to make quantitative analysis on financial crisis alarming model based on credit risk management of commercial bank. At first, this paper introduces relevant literature in and abroad, presents the meaning to analyze financial crisis of credit risk management, introduces and compares existing relevant theory and model on financial crisis alarming. On the base of those, together with information of listed companies in Shanghai and Shenzhen during the year 2002 to 2003, evaluation and analysis on 17 financial indexes selected from the perspective of taking precautions against risk of credit in the commercial banks , the second selection on the primary indexes by factor analyze, and last decided 6 financial indexes, Logistic Regression model is set up, and financial situation of enterprises is examined and forecasted by using Least Squares Support Vector Machines. According to the comparison of the demonstration, the forecast precision of warning model of financial crisis based on Least Squares Support Vector Machines is very high, furthermore, any special hypothesis are not needed in this method. In addition, explanation of some insurmountable localization of the alarm model itself is described, and writer's own opinion on future study. Meanwhile, some problems in the application of credit risk management when constructing warning model of financial crisis deserved attention are presented. The innovation of this paper lies in three following respects. Firstly, Choosing the financial index variable in term of taking precautions against risk of credit in the commercial bank; Secondly, Carrying on factor analyze to primary election variable and to hope have strength of explaining factor; At last, applying the latest statistical study theory: Least Squares Support Vector Machines, to financial crisis warning model on two classificatory problems, which has made very good prediction result.