基于多目标决策与数据挖掘融合方法的主权信用风险评估研究
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摘要
2007年初美国爆发了本世纪以来影响最大的次级抵押贷款危机,危机迅速蔓延至欧洲大陆诸国,而早期预警系统、信用评估体系、信用评级机构却在此次危机面前集体失效。金融创新使得全球化投资主体无法小视任何金融风险,特别是结构化的金融产品。全球交易系统已将危机传递给了全世界,涵盖了金融体系内的所有机构。从发生的地域来看,此次危机从美国向欧洲、日本乃至全球迅速扩散,呈现了全球性和系统性的特征。传统经济学理论认为：金融危机更容易在监管不完备、金融市场与本国经济结构具有明显错配的新兴市场国家爆发,而此次危机却源自金融业市场化程度最高的美国。由此可见,复杂的结构化金融产品和针对金融监管的创新,对现代复杂金融环境下的危机预警提出了更高的要求。目前尚不存在对创新引发金融危机有效的预警方法,因此需要我们改变研究思路,寻找新方法解决这个古老问题。本研究尝试引入新兴交叉学科的成果,提高防范创新型金融危机爆发后带来的国家主权信用违约风险的能力。
鉴于次级抵押贷款危机所表现出来的复杂性和全球化特点,我们对国家主权风险的研究内容界定为：国家主权信用违约风险的数量化排序问题。研究思路是借助多目标决策方法,为创新型金融危机后的国家主权信用违约风险排序提供方法支持；借助数据挖掘技术,对量化排序的国家主权信用违约风险进行分级评价。本研究的目标是：探索解决新型金融危机全球化带来的国家主权信用违约风险识别与防范问题,为全球范围内的贸易与投资,提供国家主权信用违约风险研判与规避的科学方法。基于上述考虑,本研究论文包括以下内容：
第一、回顾了次级抵押贷款危机逐步发展成为金融危机的全过程,并指出了基于全球化金融创新以及现代复杂金融产品所带来的创新型金融以及由此引发的新问题,提出了引入新兴交叉学科的研究方法以应对新出现问题的研究思路。
第二、次级抵押贷款危机被认为是一场信用风险所引发的金融危机。文中回顾了已有的信用风险评估模型与信用评级等相关概念,以次级抵押贷款危机逐步发展成为金融危机并导致国家主权信用违约为线索,指出目前已有的国家主权信用评级方法存在的不足,利用计量经济学的传统方法预测了由次贷危机所导致国家主权信用违约风险,得出结论：传统计量经济学方法无法预测、识别这类由金融创新导致的国家主权信用风险。第三、数据挖掘与多目标决策方法的发展为解决国家主权信用违约问题提出了新的思路和数量化方法。研究中利用数据挖掘与多种多目标决策方法的融合,结合次级抵押贷款危机的特点,提出了基于时间维度的多目标风险预警模型,对国家主权信用违约风险的量化排序进行了实证研究。第四、研究的最后,对国家主权信用违约风险的量化排序结果利用数据挖掘方法进行分级评价,并借鉴金融压力测试的思想,对模型进行了敏感性分析和进
一步的结果检验。通过实证检验证明了本文提出的国家主权信用违约风险评估模型具有良好的预测效果,通过模型检验和敏感性分析,证明了模型具有良好的鲁棒性和稳定性。国家主权信用违约风险是一个涉及宏观与微观的多层面的研究对象,研究内容宽泛,数据类型多样,属于复杂系统的研究领域,已有的研究中尚未形成被广泛接受的统一研究范式。本研究作为该领域的探索性研究之一,尝试将新兴交叉学科的研究方法引入其中,为古老的国家主权信用违约风险问题提供新的研究思路。
In2007, the most influential subprime mortgage crisis of this century broke out in the U.S., and quickly spread with lightning speed to countries in continental Europe. Early warning systems, credit assessment systems and credit rating agencies all fail to predict the occurrence of the crisis. Financial innovations make the globalized investors unable to overlook any financial risks, especially the risk in structured financial products. From geographical point of view, the crisis rapidly spread from the United States to Europe, Japan and other parts of the world, showing global and systemic features. The main feature of the traditional financial crisis is that it is more likely to occur in emerging-markets with inadequate regulation and obvious mismatch between financial markets and the domestic economic structure. The current financial crisis began from the United States. The complex structured financial products and innovations in financial regulation have put forward higher requirements for the early crisis warning in the modern complex financial environment. It is high time to find new ways to solve the old problems. This study attempts to introduce new interdisciplinary results which prevent innovative financial crisis brought about by the country's sovereign credit default risk.
This study attempts to introduce the latest research results in emerging cross-disciplinary research, with the background of the financial and economic globalization, in order to help prevent new financial crisis brought about by the sovereign credit default risk.
Given the complexity and globalization of the subprime mortgage crisis, our research thesis of sovereign debt crisis is defined as:the quantification and sorting of sovereign credit default risk.
Our research ideas are:with multi-objective decision-making methods to provide methodological support for the sorting of country sovereign risk in innovative financial crisis and with data mining techniques to quantify the classification evaluation of sovereignty risk. The objective of this study is to explore solutions to the problems of identifying and preventing the sovereign credit default risk brought about by the new globalized financial crisis, and to provide scientific methods to assess and prevent sovereign risk for trade and investment worldwide. Based upon the above considerations, this research paper will include following contents:
Firstly, this paper analyzes the process how the subprime mortgage crisis developed into a financial crisis. And on the basis of the problems brought about by financial innovations and modern complex financial products and the fact that the existing researches and traditional risk prediction methods failed to effectively analyze and forecast the occurrence of the crisis of complex modern financial products, this paper proposed to introduce new interdisciplinary research methods to address the emerging issues.
Secondly, the subprime mortgage crisis is considered a credit risk arising from financial crisis. The paper reviews the credit risk models, rating and other related concepts of the subprime mortgage crisis. And it also reviews the sovereign credit rating methods in terms of the development from a subprime mortgage crisis to a financial crisis and even a sovereign credit crisis. After that, this research studies the prediction of the sovereign credit default risk arising from the subprime mortgage crisis through traditional econometric study methods. But the results show that traditional econometric methods cannot predict and identify this type of sovereign credit default risk, which was caused by financial innovations.
Thirdly, the development and application of data mining technology and multi-objective decision-making methods provides new approaches and quantifying methods to address the issue of sovereign credit default. The paper proposed the time-dimension-based dynamic multi-objective crisis early warning models, integrating a variety of multi-objective decision-making methods and combined with the characteristics of the subprime mortgage crisis.
Fourthly, in this study finally, we quantitatively sorted the target countries' sovereign credit default risk, and cluster analysis of the predicted results was carried out to rate the countries with different level of risk. And drawing on the idea of financial pressure tests, sensitivity analysis and further analysis of the results were performed to test the reliability of the model.
After empirical test, sovereign credit default risk assessment model in this study has well predictive. Through model testing and sensitivity analysis, the model has a good robustness and stability.
Sovereign credit default risk is a research subject of multi-level macroscopic and microscopic study value. Since the research domain is broad and data types are diverse and the research is a complex system, the existing researches have not yet formed a widely accepted unified paradigm. This study as one of the exploratory researches in the field, tries emerging interdisciplinary methods into the research in order to provide some new research ideas for the old sovereign credit default risk issues.
鉴于次级抵押贷款危机所表现出来的复杂性和全球化特点,我们对国家主权风险的研究内容界定为：国家主权信用违约风险的数量化排序问题。研究思路是借助多目标决策方法,为创新型金融危机后的国家主权信用违约风险排序提供方法支持；借助数据挖掘技术,对量化排序的国家主权信用违约风险进行分级评价。本研究的目标是：探索解决新型金融危机全球化带来的国家主权信用违约风险识别与防范问题,为全球范围内的贸易与投资,提供国家主权信用违约风险研判与规避的科学方法。基于上述考虑,本研究论文包括以下内容：
第一、回顾了次级抵押贷款危机逐步发展成为金融危机的全过程,并指出了基于全球化金融创新以及现代复杂金融产品所带来的创新型金融以及由此引发的新问题,提出了引入新兴交叉学科的研究方法以应对新出现问题的研究思路。
第二、次级抵押贷款危机被认为是一场信用风险所引发的金融危机。文中回顾了已有的信用风险评估模型与信用评级等相关概念,以次级抵押贷款危机逐步发展成为金融危机并导致国家主权信用违约为线索,指出目前已有的国家主权信用评级方法存在的不足,利用计量经济学的传统方法预测了由次贷危机所导致国家主权信用违约风险,得出结论：传统计量经济学方法无法预测、识别这类由金融创新导致的国家主权信用风险。第三、数据挖掘与多目标决策方法的发展为解决国家主权信用违约问题提出了新的思路和数量化方法。研究中利用数据挖掘与多种多目标决策方法的融合,结合次级抵押贷款危机的特点,提出了基于时间维度的多目标风险预警模型,对国家主权信用违约风险的量化排序进行了实证研究。第四、研究的最后,对国家主权信用违约风险的量化排序结果利用数据挖掘方法进行分级评价,并借鉴金融压力测试的思想,对模型进行了敏感性分析和进
一步的结果检验。通过实证检验证明了本文提出的国家主权信用违约风险评估模型具有良好的预测效果,通过模型检验和敏感性分析,证明了模型具有良好的鲁棒性和稳定性。国家主权信用违约风险是一个涉及宏观与微观的多层面的研究对象,研究内容宽泛,数据类型多样,属于复杂系统的研究领域,已有的研究中尚未形成被广泛接受的统一研究范式。本研究作为该领域的探索性研究之一,尝试将新兴交叉学科的研究方法引入其中,为古老的国家主权信用违约风险问题提供新的研究思路。
In2007, the most influential subprime mortgage crisis of this century broke out in the U.S., and quickly spread with lightning speed to countries in continental Europe. Early warning systems, credit assessment systems and credit rating agencies all fail to predict the occurrence of the crisis. Financial innovations make the globalized investors unable to overlook any financial risks, especially the risk in structured financial products. From geographical point of view, the crisis rapidly spread from the United States to Europe, Japan and other parts of the world, showing global and systemic features. The main feature of the traditional financial crisis is that it is more likely to occur in emerging-markets with inadequate regulation and obvious mismatch between financial markets and the domestic economic structure. The current financial crisis began from the United States. The complex structured financial products and innovations in financial regulation have put forward higher requirements for the early crisis warning in the modern complex financial environment. It is high time to find new ways to solve the old problems. This study attempts to introduce new interdisciplinary results which prevent innovative financial crisis brought about by the country's sovereign credit default risk.
This study attempts to introduce the latest research results in emerging cross-disciplinary research, with the background of the financial and economic globalization, in order to help prevent new financial crisis brought about by the sovereign credit default risk.
Given the complexity and globalization of the subprime mortgage crisis, our research thesis of sovereign debt crisis is defined as:the quantification and sorting of sovereign credit default risk.
Our research ideas are:with multi-objective decision-making methods to provide methodological support for the sorting of country sovereign risk in innovative financial crisis and with data mining techniques to quantify the classification evaluation of sovereignty risk. The objective of this study is to explore solutions to the problems of identifying and preventing the sovereign credit default risk brought about by the new globalized financial crisis, and to provide scientific methods to assess and prevent sovereign risk for trade and investment worldwide. Based upon the above considerations, this research paper will include following contents:
Firstly, this paper analyzes the process how the subprime mortgage crisis developed into a financial crisis. And on the basis of the problems brought about by financial innovations and modern complex financial products and the fact that the existing researches and traditional risk prediction methods failed to effectively analyze and forecast the occurrence of the crisis of complex modern financial products, this paper proposed to introduce new interdisciplinary research methods to address the emerging issues.
Secondly, the subprime mortgage crisis is considered a credit risk arising from financial crisis. The paper reviews the credit risk models, rating and other related concepts of the subprime mortgage crisis. And it also reviews the sovereign credit rating methods in terms of the development from a subprime mortgage crisis to a financial crisis and even a sovereign credit crisis. After that, this research studies the prediction of the sovereign credit default risk arising from the subprime mortgage crisis through traditional econometric study methods. But the results show that traditional econometric methods cannot predict and identify this type of sovereign credit default risk, which was caused by financial innovations.
Thirdly, the development and application of data mining technology and multi-objective decision-making methods provides new approaches and quantifying methods to address the issue of sovereign credit default. The paper proposed the time-dimension-based dynamic multi-objective crisis early warning models, integrating a variety of multi-objective decision-making methods and combined with the characteristics of the subprime mortgage crisis.
Fourthly, in this study finally, we quantitatively sorted the target countries' sovereign credit default risk, and cluster analysis of the predicted results was carried out to rate the countries with different level of risk. And drawing on the idea of financial pressure tests, sensitivity analysis and further analysis of the results were performed to test the reliability of the model.
After empirical test, sovereign credit default risk assessment model in this study has well predictive. Through model testing and sensitivity analysis, the model has a good robustness and stability.
Sovereign credit default risk is a research subject of multi-level macroscopic and microscopic study value. Since the research domain is broad and data types are diverse and the research is a complex system, the existing researches have not yet formed a widely accepted unified paradigm. This study as one of the exploratory researches in the field, tries emerging interdisciplinary methods into the research in order to provide some new research ideas for the old sovereign credit default risk issues.
引文
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