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Research on Modeling and Simulation for Credit Risk management and Control System of Bank Based on Complex Multi-Agent Systems

Author: MaJiWei
Tutor: ZhangQinSheng
School: Ocean University of China
Course: Management Science and Engineering
Keywords: complex multi-agent CAS theory multi-agent system Repast model bank credit
CLC: F832.4
Type: Master's thesis
Year: 2011
Downloads: 29
Quote: 0
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Since the the inception of banks,Banks have never stopped the study on the credit risk management and control of research, however, exist in the current non-performing loans of any bank, some banks have had serious credit fraud occurring events, such as exposure of the end of 2010 shocked the nation by Qilu Bank credit fraud. This not only caused a loss of interest of banks, more importantly, to audit bank loans more rigorous and conservative, so that many small and medium enterprises and individuals access to financing more difficult, the long run is not conducive to long-term development banks and socio-economic Stable operation. In this thesis, a theoretical analysis and practical examples to enable people to place credit risk of banks have a clear understanding of, and based on the conclusions can effectively reduce the incidence of credit risk for banks credit control system can provide a simulation and change Predictable platform.In this study, the process of bank credit risk management and control issues in the establishment of simulation model and simulation model through the parameters of the process control and sensitivity analysis, the angle of the system of credit from related parties on bank credit risk management and control system should focus and needs improvement. In the course of the study the actual investigation by banks, credit guarantees and other financial institutions, credit system, get first-hand research data, combined with access to substantial credit risk management and control theory research of the credit system, support and pave the way to do. Involved in the credit borrowers, lenders and other main body are adaptive (Adaptive Agent), to work with their own environment, and communication and exchange between the main body, and according to the exchange of experience or just have to do The benefit of their own behavior. Involved in the credit borrowers, lenders and other main body are adaptive (Adaptive Agent), to work with their own environment, and communication and exchange between the main body, and according to the exchange of experience or just have to do The benefit of their own behavior. So in the process of modeling and simulation of multi-agent modeling using the theory of CAS theory model of the system to build and use Repast modeling and simulation tools for the actual model simulation and from the model and simulation study Out meaningful conclusions. In this thesis, the system of bank credit in the process of possible adverse selection and moral hazard issues of a simple game theory, the credit system for the subsequent behavior of the main strategy was to provide a theoretical support, focusing on model , Simulation, adjustment, and so the process of a large number of empirical detail. Multi-agent modeling and simulation tools used Repast for borrowers, lenders and credit markets and credit behavior of the simulation and parameter sensitivity analysis, bank credit risk management and control system analysis of the problems get better results.Through research, obtained the following results and conclusion:First, the information asymmetry problem is the fundamental problem of credit risk arising only establishing a sound social credit system to effectively address the information asymmetry problem of credit risk posed. Second, the current lack of commercial incentives for banks to consider the risk factors, leading to increase the likelihood of moral hazard. Thirdly, government, banking regulators on the supervision of credit is not due to government regulation and regulatory bodies as a result of lack of regulatory efficiency is too low, the risk is caused by occurrence of the important reasons, to establish a good regulatory mechanism can effectively control the credit risk place. Fourth, the credit guarantee system for bank credit risk management and control works well, need to continue to increase the construction of credit guarantee system. Fifth, the commercial banks in the process of doing business, "Xianpinaifu" behavior will lead to greater risk occurs, the bank credit for large companies after the examination and supervision of loans and small businesses need to "equal."

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Credit
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