关键词: 交叉熵, 风险评估, 仿真, 违约风险

Abstract: System simulation is one of important tool for risk assessment.A new method is presented to deal with corporate default forecast problems based on cross-entropy algorithm.The failure probability of repaying loans of corporation is taken as the criterion to measure the level of default risk.The cross-entropy scheme is adopted to construct the model of default risk identification，based on which the loss probability can be assessed.Contrasted to traditional forecasting methods，the forecasting method has a strong capability to identify the default risk and high forecasting precision.

Key words: cross-entropy, risk assessment, simulation, default risk