关键词: 信用风险评级, 评价指标体系, 变异系数, 平滑扩充, 信用等级划分

Abstract: The weights of the index for the six aspects, based on the commercial bank credit risk evaluation index system, including capital adequacy, asset quality, management, earnings, liquidity and social sensitivity, can be determined by the use of coefficient of variation. Based on the principle of smooth expansion, large sample data could be simulated and the rating score could be expanded. According to the credit risk rating of large sample data, the credit risk rating of banks could be divided. The innovations and features of this paper are as follows: First, we simulate the large sample data and expand the rating score according to the principle of smooth expansion, and then according to the credit risk rating we expand the original sample after 20 times to divide the bank’s credit risk rating. This solves the problem: the small sample can not be credit grading. Second, by the use of the nonparametric Mann-Whitney U method, the conclusion is obtained that large sample data with the original rating score data distribution is consistent at the 95% confidence level. Third, the empirical study shows that the sequence relation of bank rating is in accordance with Standard & Poor’s rating result. Therefore, this model can be used on credit rating by most of banks which have not been rated the international rating authorities.

Key words: credit risk rating, evaluation index system, coefficient of variation, smooth expansion, credit rating