Author(s)

Wenshu Zhao ¹, Jie Hou ¹, Qili Ran ¹

Affiliation(s)

¹ College of Mathematics and Physics, Beijing University of Chemical Technology, Beijing 100029, China

Corresponding Author

Wenshu Zhao

ABSTRACT

Based on the assumption that the input invoices and output invoices can fully reflect the overall income and profitability of enterprises. This paper firstly mines and enriches the data information in the annex, and then establishes the risk evaluation index system under the problem scenario by combining the risk evaluation indexes commonly used within banks; then uses the random forest model to derive the valuation of enterprise default probability and the weight coefficients of various indexes, and on this basis achieves the quantitative analysis of enterprise credit risk by TOPSIS method.

KEYWORDS

credit strategy, credit risk, random forest, TOPSIS

CITE THIS PAPER

Wenshu Zhao, Jie Hou, Qili Ran, Analysis of Corporate Credit Risk Based on Random Forest and TOPSIS Models. Financial Engineering and Risk Management (2022) Vol. 5: 30-37. DOI: http://dx.doi.org/10.23977/ferm.2022.050405.

REFERENCES

[1] Cheng, Hao. Study on Credit Risk Management of Small and Micro Enterprises in XT Bank [D]. Hebei University, 2020.GB 38755-2019, Guidelines for security and stability of power systems [S].
[2] Ulantuya. Study on the improvement program of risk management of micro and small enterprise credit business of Baoshang Bank [D]. Lanzhou University, 2019.
[3] Ren Zanbin, Liu Bingjie. Credit risks and management strategies of commercial banks [J]. Times Finance, 2017(33):54+66.
[4] Xia Yuchi. Support vector machine based credit evaluation model for small and medium enterprises and application research [D]. Central South University, 2013.
[5] Qin Fayan. An empirical study on the credit rating of small enterprises by commercial banks in China: the case of Yichang City, Hubei Province [J].Time Finance, 2009(01):52-54.

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