| 商业银行贷款组合的风险控制研究 |
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| 引用本文： | 李生校,胡素华.商业银行贷款组合的风险控制研究[J].中国流通经济,2004,18(6). |
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| 作者姓名： | 李生校 胡素华 |
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| 作者单位： | 1. 绍兴文理学院经济与管理学院,浙江,绍兴,312000
2. 天津大学管理学院,天津市,300072 |
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| 摘 要： | 商业银行经营管理的核心是收益与风险的权衡,对贷款进行组合多样化管理,可以达到分散风险的目的,而单项贷款违约模型的确定是贷款组合多样化的基础。本文基于期权模型讨论了商业银行的贷款组合问题,认为在商业银行贷款管理中引入期权概念,可以定量地利用成熟的期权理论进行分析研究,为多样化分析提供较为准确的量度方法。
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| 关 键 词： | 商业银行 贷款组合 期权定价模型 风险控制 |
On the Risk Management of Loan Portfolio in Commercial Banks |
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| LI Sheng-xiao and HU Su-hua.On the Risk Management of Loan Portfolio in Commercial Banks[J].China Business and Market,2004,18(6). |
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| Authors: | LI Sheng-xiao and HU Su-hua |
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| Abstract: | At the core of the management of commercial banks lies the trade-off of income and risk.Based on the option-pricing model, this paper discusses the management of loan portfolio in commercial banks.Above all, the paper presents the default model about the individual loan and deducted the probability of default.Then the paper studies the default risk of loan portfolio and puts forward the criterion of diversified selection.At the end of this paper,by calculating an example,the paper proves the feasibility and effectiveness of this method. |
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| Keywords: | commercial banks loan Portfolio option pricing model default risk |
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