TY - GEN
T1 - Application of the cross entropy method to the credit risk assessment in an early warning system
AU - Zhou, Hong
AU - Wang, Jing
AU - Qiu, Yue
PY - 2008
Y1 - 2008
N2 - Traditional Monte Carlo method usually takes a long time to simulate rare event, while importance sampling techniques can effectively reduce the simulation time and improve simulation efficiency. In this paper, an importance sampling method - cross entropy is presented to deal with credit risk assessment problems for commercial banks. The failure event of repaying loans is treated as rare event due to the relatively low probability, and the failure probability of repaying loans is taken as the criterion to measure the level of credit risk. Numerical experiments have shown that the cross entropy method has a strong capability to identify the credit risk and it is a good tool for credit risk early warning system.
AB - Traditional Monte Carlo method usually takes a long time to simulate rare event, while importance sampling techniques can effectively reduce the simulation time and improve simulation efficiency. In this paper, an importance sampling method - cross entropy is presented to deal with credit risk assessment problems for commercial banks. The failure event of repaying loans is treated as rare event due to the relatively low probability, and the failure probability of repaying loans is taken as the criterion to measure the level of credit risk. Numerical experiments have shown that the cross entropy method has a strong capability to identify the credit risk and it is a good tool for credit risk early warning system.
UR - https://www.scopus.com/pages/publications/51749105067
U2 - 10.1109/ISIP.2008.23
DO - 10.1109/ISIP.2008.23
M3 - 会议稿件
AN - SCOPUS:51749105067
SN - 9780769531519
T3 - Proceedings - International Symposium on Information Processing, ISIP 2008 and International Pacific Workshop on Web Mining and Web-Based Application, WMWA 2008
SP - 728
EP - 732
BT - Proceedings - International Symposium on Information Processing, ISIP 2008 and International Pacific Workshop on Web Mining and Web-Based Application, WMWA 2008
T2 - International Symposium on Information Processing, ISIP 2008 and International Pacific Workshop on Web Mining and Web-Based Application, WMWA 2008
Y2 - 23 May 2008 through 25 May 2008
ER -