商业银行贷款组合效用最大化决策模型
首发时间:2011-07-27
摘要:为了实现商业银行贷款组合的优化,本文以效用最大化作为目标函数,以组合风险价值VaR为约束条件,构建了商业银行贷款组合效用最大化决策模型。本模型的主要特色是效用最大化目标函数中体现了收益、风险和银行的风险偏好系数三重属性,弥补了银行在传统贷款管理中过于规避违约风险,过于强调收益时,无法实现贷款组合效用最大化的缺憾。通过将本模型与"以收益最大化为目标函数建立的决策模型"进行对比分析,发现本模型能将风险控制在一定范围内,且其最优解优于对比模型。
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Research on decision-making model of commercial bank loan's portfolio utility maximization
Abstract:In order to realize the optimization of the commercial bank loan's portfolios, this paper establishes an optimization model of commercial bank loan's portfolio with the objective of commercial bank loan's portfolio utility maximization and the restriction of combination risk value VaR(value at risk). The main feature of this model is that the objective function of utility maximization reflects the benefits, risks and coefficient of bank's risk preference, which makes up for the drawback of failing to achieve utility maximization of loans' portfolio, due to over avoiding default risk and emphasizing on return in traditional loan management。Through the comparison and analysis between this model and "the decision-making model with the objective of profit maximization", we find that this model can control risk in a certain range, and the optimal solution is better than tne compared model.
Keywords: banking management loan's portfolio utility maximization
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