Credit Risk Assessment in Commercial Bank Based on Credibility Theory

Credit risk assessment is the core of risk management, which plays a vital role on the stable operation of commercial banks. Through introducing axiomatic credibility measure and classical analytic hierarchy process, we construct a multi-level risk assessment model based on credibility theory. For the complexity of multi-objective decision making in the process of credit risk assessment, we have established the multi-level indicators system for the loan company, and then have evaluated the credit risk by the risk assessment model proposed in this paper, which demonstrates the feasibility and effectiveness of the model. The multi-level risk assessment model based on credibility theory can effectively avoid subjective problem for selecting membership function in fuzzy evaluation, and thus the result of assessment is more scientific and objective.