| 基于信用风险修正的多阶段银行贷款组合优化决策模型 |
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| 引用本文： | 高岳林,孙滢.基于信用风险修正的多阶段银行贷款组合优化决策模型[J].商业研究,2011(3):68-72. |
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| 作者姓名： | 高岳林 孙滢 |
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| 作者单位： | 北方民族大学,信息与系统科学研究所,银川,750021 |
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| 基金项目： | 国家社会科学基金项目;项目，国家自然科学基金项目;项目 |
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| 摘 要： | 针对银行的信用风险和贷款的周期性等问题,建立一个基于信用风险修正的多阶段银行贷款组合优化决策模型,该模型在多阶段模型中考虑了信用风险修正问题,根据模型的特点给出了把Monte Carlo模拟的动态算法和差分进化的多阶段算法相结合的求解方法,前者求解银行各类贷款的期望收益率,后者求解每一阶段银行对各类贷款的最优投资比重。数值试验表明所建立的模型是合理的且符合商业银行的实际操作要求,给出的方法是有效的和可行的。
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| 关 键 词： | 多阶段贷款组合优化 信用风险修正 风险价值(VaR) Monte Carlo模拟 差分进化算法(DE) |
Multi-period Bank's Loans Portfolio Optimization Model Based on the Adjusted Credit Risk |
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| GAO Yue-lin,SUN Ying.Multi-period Bank's Loans Portfolio Optimization Model Based on the Adjusted Credit Risk[J].Commercial Research,2011(3):68-72. |
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| Authors: | GAO Yue-lin SUN Ying |
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| Institution: | GAO Yue-lin,SUN Ying(Institute of Information and System Science,Beifang University of Nationalities,Yinchuan 750021,China) |
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| Abstract: | Considering the problems of the credit risk and loan cycle,we establish a multi-period dynamic loans portfolio optimization model for banks based on the adjusted credit risk,in which the adjusted credit risk is considered.According to the model′s feature,we give the method which consists of the dynamic algorithm based on the Monte Carlo simulation and a differential evolutionary algorithm.The former solves the various types loans′ expected income rate,the latter solves the various loans′ the investment optimization proportion in every period.The numerical experiment indicates that the model is reasonable and the given method is effective and feasible. |
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| Keywords: | Multi-period loans portfolio optimization adjusted credit risk Value at Risk Monte Carlo Simulation differential evolutionary algorithm |
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