Stock market combination characteristic based network loan risk quantitative analysis method

Stock market combination characteristic based network loan risk quantitative analysis method

  • CN 104,978,689 A
  • Filed: 06/19/2015
  • Published: 10/14/2015
  • Est. Priority Date: 06/19/2015
  • Status: Active Application
First Claim
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1. based on a network credit risk quantitative analysis method for securities market assemblage characteristic, it is characterized in that, borrow the threat probability values p of mark r according to following formula computing platform p rwith the risk safe probability value p of platform p p:

  • p r



    p f2+(1-q)×

    p s2

    p p

    w 1×

    p b1+w 2×

    p b2+…

    w h×

    p bh

    P rbe worth larger expression and borrow mark for certain, the side'"'"'s of loaning bill repaying ability is stronger;

    The span of q is [0.55,0.9];

    p f2=p f×

    m;

    p s2=p s×

    m;

    w 1, w 2w hrepresent weight;

    wherein, the unit by means of standard gold volume is unit;

    p fobtain according to carrying out t check analysis to the history annual report data of the listed company borrowing industry belonging to mark, the level of significance of described t inspection is 0.05, the corresponding former probable value of the t statistic calculated in t inspection, if former probable value is greater than above-mentioned level of significance, then test of hypothesis is passed through, and now former probable value is converted to risk safe probability value;

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