基于存量与增量全部组合风险最小的贷款优化决策模型

Decision Making Model of Loans Optimization Based on Total Portfolio Risk Minimization of Existing and Incremental Loans

以0-1规划为工具,以VaR风险控制为约束条件,建立基于存量与增量全部组合风险最小的贷款优化决策模型,模型综合反映贷款存量组合累计风险对贷款决策的直接影响,合理地考虑贷款存量组合与贷款增量组合的关系,真正地控制银行全部贷款组合风险,改变现有研究仅优化增量贷款组合的现状,开拓金融资产组合优化理论的新思路;将VaR作为防范贷款风险的一道防线,用组合的VaR来控制贷款收益率风险限额,直接反映商业银行的风险承受能力;在贷款组合过程中,使用上下界限制,使商业银行既能较好地进行风险控制,又可以充分利用贷款头寸,使贷款总额保持阶梯型分布,这样商业银行可以尽量做到负债到期时有相应数量的资产相互匹配。

Using the 0-1 programming under the constrains of Value at Risk control, this paper sets up a Decision Making Model of Loans Optimization based on Total Portfolio Risk Minimization of Existing and Incremental Loans. The main characteristic of the model is firstly that it comprehensively reflects the direct influence of the incremental portfolio loans＇ total risk and return on the loan decision, and considers the relationship between the existing and incremental loans reasonably. Secondly, taking risk correlation into account under the constraint of VaR, it controls risk limitation with the maximum loss on yield rate of VaR and becomes VaR to the first line of safeguard, so the ability for risk tolerance of commercial bank is reflected by loan＇s allocation. Thirdly, in the processes of loan selection, it makes use of upper and down bound control which may not only control the risk properly risk by commercial bank, but also may make the best use of loan＇s cash to make a ladder distribution for total loans, so there will be enough assets to match the debts.