| 线性完备变换的银行贷款组合优化模型 |
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| 引用本文： | 迟国泰,吴珊珊,隋聪.线性完备变换的银行贷款组合优化模型[J].哈尔滨工业大学学报,2009(8):221-225. |
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| 作者姓名： | 迟国泰 吴珊珊 隋聪 |
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| 作者单位： | 大连理工大学管理学院;安永华明会计师事务所中国大连分所 |
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| 基金项目： | 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) |
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| 摘 要： | 以收益率风险价值限额和贷款组合期望收益率为约束条件,贷款组合风险最小为目标函数,建立了基于收益率风险价值约束的银行贷款组合优化模型.本模型运用线性完备变换方法确定银行贷款收益率选取范围,解决了以往研究中由于贷款组合收益率确定不合理、而导致的优化决策模型无解的问题;解决了复杂约束情况下无法求解贷款最优比例的问题.根据银行风险承受能力原则,通过贷款组合收益率风的险价值为约束条件建立模型,控制了贷款配给的组合风险.根据银行给定收益率风险最小原则,建立贷款组合有效边界,解决银行不能灵活调整贷款组合以保证贷款收益率风险最小问题.
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| 关 键 词： | 贷款组合 组合风险 优化模型 收益率风险价值 贷款收益率范围 线性完备变换方法 |
Optimization model of bank loan portfolio based on linear complete transfer method |
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| CHI Guo-tai,WU Shan-shan,SUI Cong.Optimization model of bank loan portfolio based on linear complete transfer method[J].Journal of Harbin Institute of Technology,2009(8):221-225. |
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| Authors: | CHI Guo-tai WU Shan-shan SUI Cong |
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| Affiliation: | 1(1. School of Management,Dalian University of Technology,Dalian 116024,China;2. Dalian office of China,Ernst &Young Certified Public Accountants,Dalian 116011,China) |
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| Abstract: | By taking the yield risk value quota and the expected yield of loan portfolio as restriction conditions,and the minimum risk of loans portfolio as the target function,an optimized model of bank loan portfolio based on the earning yield risk value is set up. This model confirms the selection range of loan yield with the linear complete transfer and solves the existing problem that the model cannot get the result caused by the unreasonable rate. According to the principle of affordable risk for bank,a model is established to control the loan portfolio risk with the risk value of loan portfolio as the restraint. According to the minimum risk of bank required rate,the efficiency frontier is set up in order that bank can agilely reallocate the portfolio to assure the minimum risk value of earning yield of loan portfolio. |
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| Keywords: | loan portfolio portfolio risk optimized model risk value of earning yield range of the yield of loan portfolio linear complete transfer method |
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