基于信用风险迁移条件风险价值最小化的贷款组合优化模型

Loan's Portfolio Optimization Model of CvaR Minimum Based on Credit Risk Transfer

把企业信用风险迁移引入贷款收益率的计算中,引入条件风险价值(CVaR)来度量贷款组合风险,建立了组合贷款优化决策模型。本模型的特色:①用CVaR代替VaR,控制了贷款组合极端损失的发生;②反映了企业信用等级迁移对企业收益率波动的影响,更加客观地反映了贷款的真实风险,解决了现有研究仅简单求解各笔贷款的收益率标准差而忽略信用风险迁移的问题;③通过现行法律法规为约束条件,在约束条件中,控制了流动性风险,避免了资产配置的流动性危机,保证了银行资产配给的合法性与合规性。

Introducing credit risk transfer to calculate loan yield and introducing Conditional Value at Risk to measure loan＇s portfolio risk,the loan＇s portfolio optimization model of CvaR minimum based on credit risk transfer is set up.The contribution of the model is firstly that the CVaR of consistency risk calculation parameter is used instead of VaR,so the extremity loss of loan＇s portfolio is controlled.Secondly,the influence of credit risk transfer on the return rate standard deviation is reflected in the model,and the real risk of loan is reflected more impersonally,thus the problem to only calculate individual loan＇s yield whereas neglecting the credit transfer in the current topic is solved.Tirdly,through law constrain,we control the liquidity risk to avoid the liquidity hazard of asset allocation to guarantee the allocation legal and operational.