摘要
在既定组合收益范围内,以VaR风险控制为约束条件,以0-1规划为工具,建立了存量与增量全部贷款组合累计收益最大的决策优化模型。模型的主要特点一是综合反映贷款存量与增量组合累计收益最大对贷款决策的直接影响,合理地考虑了贷款存量组合与贷款增量组合的关系,真正地控制了银行全部贷款的组合风险和收益,改变了现有研究仅仅优化增量贷款组合的现状,开拓了金融资产组合优化理论的新思路。二是以VaR风险控制作为约束条件,用组合的VaR收益率最大损失来控制贷款收益率风险限额,直接反映了商业银行的风险承受能力。三是在贷款组合过程中,使用上下界限制,使得商业银行既能较好地进行风险控制,又可以充分利用贷款头寸。
This paper makes use of 0-1 programming to build a loan decision -making optimal model on the objective of maximizing the total return of the existing portfolio and accumulative portfolio. The main characteristic of the model is firstly that it comprehensively reflects the direct influence of the existing portfolio＇ s maximum return on the loan decision, so the consideration of the relationship between the existing portfolio and accumulative portfolio can really control the risk and the return of the total loans of the banks and changes the present research which only considers the existing loans, and it is a new thought for the financial assets optimization. Secondly, taking the constraint of VaR, it controls risk limitation with the maximum loss on yield rate of VaR, so the ability for risk tolerance of commercial bank is reflected by loan allocation directly. Thirdly, in the processes of loan selection, it makes use of upper and down bound control which may not only detract investment risk and control proper risk by commercial bank, but also may make the best use of loan＇ s cash.
出处
《运筹与管理》
CSCD
2008年第1期114-121,共8页
Operations Research and Management Science
基金
国家自然科学基金资助项目(70471055)
高等学校博士学科点专项科研基金资助项目(20040141026)
关键词
贷款存量组合
贷款增量组合
全部贷款组合
贷款决策
组合优化
initial loan＇s portfolio
incremental loan＇s portfolio
whole loan＇s portfolio
decision-making of loan＇ s risk
optimization of portfolio.
