众筹模式下小微企业信用风险测度与评级转移模型被引量：4

Credit Risk Measurement and Rating Transfer Model of Small and Medium-sized Enterprises under Crowd Financing Model

导出

摘要通过判断矩阵的特征向量与直觉判断矩阵对众筹模式下小微企业信用风险进行测度,得出专家组合权重,然后根据权重结果,选取主要5个信用风险因素为研究对象,利用信用评级的马尔科夫链,构建出众筹模式下小微企业信用风险评级转移模型,得出信用风险等级转移矩阵,再利用JLT调整法对此信用风险等级转移矩阵进行调整,得出调整后的转移矩阵,最后进行马氏性检验,并利用次序probit模型得出小微企业信用风险因素概率模型参数估计值。根据信用风险测度结果可知:"与筹资平台信息不对称程度"、"退出难易程度"、"资金的擅自挪作他用"等为众筹模式下小微企业主要信用风险。利用信用风险评级转移模型能够在复杂信用风险管控中发挥重要的作用。 Through the eigenvector of judgment matrix and intuitionistic judgment matrix,the credit risk of small and micro enterprises in crowdfunding mode is measured,and the weight of expert portfolio is obtained.Then,according to the weight result,five main credit risk factors are selected as the research object,and the Markov chain of credit rating is used to build the credit risk rating transfer model of small and micro enterprises in crowdfunding mode,and the credit risk rating is obtained Transfer matrix,then use JLT adjustment method to adjust the transfer matrix of credit risk level,get the adjusted transfer matrix,and finally carry out Markov test,and use the order probit model to get the parameter estimates of small and micro enterprise credit risk factor probability model.According to the measurement results of credit risk,the main credit risk of small and micro enterprises in crowdfunding mode is"the degree of information asymmetry with financing platform","the degree of difficulty in exit","the unauthorized use of funds for other purposes".Using credit risk rating transfer model can play an important role in complex credit risk management and control.

作者周茜谢雪梅吕淼虹 ZHOU Xi;XIE Xue-mei;LV Miao-hong(School of Economics and Management,Beijing University of Posts and Telecommunications,Beijing 100876,China;Jiyang College of Zhejiang A&F University,Zhuji 311800,China)

机构地区北京邮电大学经济管理学院浙江农林大学暨阳学院

出处《模糊系统与数学》北大核心 2021年第1期163-174,共12页 Fuzzy Systems and Mathematics

基金浙江省哲学社会科学规划课题(21NDQN300YB) 浙江省自然科学基金资助项目(LY19G030026) 绍兴市哲学社会科学规划2020年度重点课题(135536) 2020年度国家级大学生创新创业训练计划项目(202013283008) 浙江省教育科学规划2021年度重点课题(2021SB113)。

关键词众筹模式直觉判断信用风险测度转移矩阵小微企业 Crowdsourcing Model Intuitive Judgment Credit Risk Measurement Transfer Matrix Small and Micro Enterprises

分类号 F222 [经济管理—国民经济]