企业信用评级计算模型综述

doi:10.11871/jfdc.issn.2096-742X.2023.04.012

数据与计算发展前沿 ›› 2023, Vol. 5 ›› Issue (4): 139-153.

CSTR: 32002.14.jfdc.CN10-1649/TP.2023.04.012

doi: 10.11871/jfdc.issn.2096-742X.2023.04.012

• 技术与应用 • 上一篇

企业信用评级计算模型综述

田一擎¹(),程曦²,冯博靖^2,^*()

1.湖南大学，工商管理学院，湖南长沙 410000
2.中国科学院自动化研究所，北京 100190

收稿日期:2022-04-26 出版日期:2023-08-20 发布日期:2023-08-23
通讯作者: *冯博靖（E-mail: bojing.feng@cripac.ia.ac.cn）
作者简介:田一擎，湖南大学，工商管理学院，本科生，主要研究会计学和财务管理。
本文负责论文总体框架、数据库建设、引言、第1章和第四章、论文修改、审定。
TIAN Yiqing is an undergraduate student at the Business School of Hunan University. Her research interests include accounting and financial management.
In this paper, she is responsible for the main framework, data set construction, preface, chapter 1 and chapter 4, paper revision and checking.
E-mail: 1319455988@qq.com|冯博靖，中国科学院自动化研究所，硕士研究生，研究兴趣包括数据挖掘、金融风控，以及机器学习深度学习方法在金融尤其是在企业信用评级中的应用。
本文负责第3章工作。
FENG Bojing is pursuing his master’s degree in computer science at the Center for Research on Intelligent Perception and Computing, National Laboratory of Pattern Recognition, Institute of Automation, Chinese Academy of Science. His research interests include data mining, financial risk, machine learning and deep learning in finance, especially in corporate credit rating.
In this paper, he is responsible for chapter 3.
E-mail: bojing.feng@cripac.ia.ac.cn
基金资助:
中信建投证券项目(E1D21809)

A Review of Computational Models for Corporate Credit Rating

TIAN Yiqing¹(),CHENG Xi²,FENG Bojing^2,^*()

1. Business School, Hunan University, Changsha, Hunan 410000, China
2. Institute of Automation, Chinese Academy of Sciences, Beijing 100190, China

Received:2022-04-26 Online:2023-08-20 Published:2023-08-23

摘要/Abstract

摘要：

【目的】企业信用评级是社会经济有序和健康发展的客观要求和必然选择，本文旨在全面介绍人工智能和大数据时代企业信用评级的主要方法。【方法】通过对国内外的相关文献进行阅读和研究，本文对企业信用评级进行了系统的综述。本文从统计模型、机器学习模型和神经网络模型3个层面梳理了企业信用评级方法发展的脉络，总结了企业信用评级常用数据库，并且深入对比了主要模型的优缺点。最后本文提出了企业信用评级研究中存在的问题，对企业信用评级方法进行了总结与展望。【结果】本文为学术界和企业界了解企业信用评级的量化建模和数据资源提供了系统深入的导引。【结论】神经网络模型在企业信用评级领域仍然存在诸多瓶颈问题，动态图神经网络融合了神经网络的强大表达能力和图结构数据的可解释能力，并引入了时序信息，在企业信用评级领域有广阔的应用前景。

关键词: 企业信用评级, 统计方法, 机器学习, 神经网络

Abstract:

[Objective] Corporate credit rating is important to social economics and this paper aims to introduce the main methods for corporate credit rating in the era of artificial intelligence and big data. [Methods] This paper systematically reviews the main methods and databases of corporate credit rating through paper reading and investigation, including statistical models, machine learning models, and neural network models. Both advantages and disadvantages of these models are compared. Finally, the existing problems and future work in corporate credit rating are pointed out. [Results] This paper provides a good introduction to computational models and databases of corporate credit rating for both academia and industry. [Conclusions] There are still some problems with neural network models in corporate credit rating and dynamic graph neural networks are promising to better address the challenges in corporate credit rating.

Key words: corporate credit rating, statistical method, machine learning, neural network

田一擎, 程曦, 冯博靖. 企业信用评级计算模型综述[J]. 数据与计算发展前沿, 2023, 5(4): 139-153.

TIAN Yiqing, CHENG Xi, FENG Bojing. A Review of Computational Models for Corporate Credit Rating[J]. Frontiers of Data and Computing, 2023, 5(4): 139-153, https://cstr.cn/32002.14.jfdc.CN10-1649/TP.2023.04.012.

图/表 3

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图 1

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数据库	简介
RESSET	中国的一个综合性数据平台，提供全世界金融市场相关数据；主要包括股票、黄金、研究报告、宏观统计等系列
上市公司财务报告	上市公司对企业生产经营概况、财务状况等信息进行披露的报告
中国人民银行征信系统	中国国内最全的企业和个人征信数据库
CSMAR	针对中国国情开发的经济金融领域的研究型精准数据库，2001年创建；涵盖因子研究、绿色经济、股票、资讯、基金等18大系列，包含160多个数据库、4,000多张表、5万多个字段
WRDS	由宾夕法尼亚大学沃顿商学院于1993年开发的金融领域的跨库研究工具，整合了Compustat、CRSP、TFN、TAQ等多个著名数据库
Bloomberg	全球最大的财经资讯、金融数据服务提供商
FAME	覆盖了英国和爱尔兰的380万家公司的信息
UCI机器学习知识库	加州大学欧文分校提出的用于机器学习的数据库
Compustat	标准普尔发布的数据库，收录北美及全球上市公司近20年的财务数据
CRSP	由芝加哥大学商学研究生院成立，是证券领域极具权威的数据库，广泛收录了美国上市公司的股票价格和交易数据
日经NEEDS	日本最大的综合经济数据库，涵盖了从宏观经济到企业财务多个层面
Bankscope	BureauvanDijk与银行业权威评级机构惠誉公司合作开发的银行业信息库；提供了全球12,800多家主要银行及世界重要金融机构与组织的经营与信用分析数据
WIND	由中国企业万得资讯提供，是以金融证券财经数据为核心的数据库
KIS-VALUE	韩国一个提供企业报务报表及股市数据分析的数据库

类别	指标
规模	总资产
	总资本
	总现金流
	权益总额
	资本支出总额
	市值
	总交易量
	债务总额
盈利能力	息税前收益
	税后收入
	净利润增长
	净资产销售额
	总资产销售额
	非现金营运资本
	上一年的销售
股市	红利
	每股收益的增长
	市盈率
	留存收益
	股价
	已发行股份数量

企业信用评级计算模型综述

A Review of Computational Models for Corporate Credit Rating

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