基于VaR约束的商业银行贷款组合多目标决策

A Multi-Objectives Decision-Making of Loan Portfolios of Commercial Bank Based on Constraint of VaR

在综合考虑商业银行的风险承受能力以及在风险与回报均衡的基础上,提出基于VaR约束的贷款组合多目标决策方法,并引入几何方法求解该多目标优化问题。本文所提出的方法具有以下特点:一是模型中两个目标函数的经济含义形象、直观,求解方法简单且易于理解;二是银行可根据其资本充足率等情况设定风险承受能力,有效地规避潜在风险;第三,在有效边界上,银行的决策者可以根据其风险价值偏好和宏观经济景气状况等确定最优贷款组合,从而使得该方法在实际应用中更加灵活方便。

This paper proposes a multi-objectives decision-making of loan portfolios based on constraint of VaR in view of a bank's risk-bearing capability and uses the geometric method to solve it. This method has three advantages. First, the economic implication of the two objectives in the model is visual and the calculation is simple and easy-to-understand; second, a bank can set up the risk constraint according to its capital so that it can avoid the potential risk; third, the decision-maker of a bank can plan the optimal loan portfolio according to the station of country's economy and his or her risk preference. Thus, the method seems more flexible and convenient.