A Study Of The Credit Risk Of Commercial Bank Based On The SVM Modl

Based on Basel, the risk of bank is composed of market risk, operation risk and credit risk. Studies shows among them credit risk and operation risk cause most damage. Commercial banks in China face heavy credit risk all the time. Whether the credit risk is identified correctly directly determines the fate of banks. The key point of credit risk management is identifying the risk.However, due to a lack of experience of credit assessment, the credit risk problem in China is serious. To the begin of2008, the total of no-performing loan of state owned banks is1.7trillion. After the crisis of2008, the economic goes down which aggravate the credit risk problem.This article uses financial theory, picks indexes of profitability, operation ability, solvency and develop ability. Then uses factor analysis, rough set method and principal analysis to simplify the variables. Finally, uses the support vector machine to build the identify model. With a sample set of78companies(among them38failed to pay the loans) we train the svm model, and test on a set of20companies. Finally17of these20companies are correctly identified.