KMV和Apriori算法在上市公司信用风险传染中的应用

冷梅

KMV和Apriori算法在上市公司信用风险传染中的应用

引用本文：冷梅.KMV和Apriori算法在上市公司信用风险传染中的应用[J].湖南大学学报社会科学版,2010,(3):58-61

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冷梅	长沙卷烟厂，湖南长沙410007

中文摘要:运用KMV模型计算违约距离，作为度量我国上市公司信用风险的指标，并利用Apriori算法挖掘上市公司之间的信用风险传染。结果表明关联规则挖掘能直观有效地描述上市公司之间的信用风险传染，产生强关联规则的上市公司之间信用风险传染较为明显。

中文关键词:上市公司 KMV模型关联规则 Apriori算法信用风险传染

The Application of KMV and Apriori Algorithm on the Transmission of Credit Risk between Listed Companies

Abstract:The research on the transmission of credit risk is very important for administration of credit risk between listed companies. In this paper, the credit risk indicators of listed companies are measured by the distance to default calculated through KMV computational method. Besides, Apriori algorithm is used to dig the transmission of credit risk between the listed companies. The results indicate that the digging of association rules can directly and effectively represent the transmission of credit risk between the listed companies, and the transmission is more obvious among the associated companies generating strong association rules.

keywords:listed companies KMV model association rules apriori algorithm transmission of credit risk

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