基于全部贷款综合风险度控制的新增资产组合优化模型

Optimization Model of Incremental Asset Portfolio based on Integrated Risk Weight Control of Total Loan Portfolio

根据银行业风险监测惯例用综合风险度来量化贷款风险,建立了新增贷款组合的综合风险度与全部贷款组合的综合风险度之间的函数关系,以银行总资产收益最大为目标,以全部贷款综合风险度的控制为条件,建立了基于全部贷款组合风险度控制的新增资产组合优化模型。本模型特色和创新之处:一是提出了在新增贷款组合时、同时控制全部新、旧贷款两个组合的全部综合风险度的科学问题。改变了现有研究和实践仅仅立足于新增贷款组合自身风险控制的问题,开拓了金融资产组合优化的新思路。二是揭示了新增贷款组合的综合风险度与全部新、旧贷款两个组合的综合风险度的内在联系。通过新增贷款组合的综合风险度的控制来控制全部贷款组合的综合风险度,解决了在一组新的贷款发放时,全部新、旧贷款组合风险的控制问题,这也就解决了银行家们在实践中真正关心的全部贷款组合风险的优化问题。三是引入符合银行惯例的综合风险度来量化贷款风险。

According to the risk monitor convention of the banking, this paper measures the loan risk with the integrated risk weight and establishes the functional relationship between the integrated risk weight of the incremental loan portfolio and that of the total loan portfolio. Regarding the maximal profit of the bank＇s total assets as its goal and controlling the integrated risk weight of total loan as a prerequisite, the paper sets up the optimization model of incremental asset portfolio based on the risk weight control of total loan portfolio. This model has three characteristics and innovations. Firstly, it proposes such a scientific question that when adding loan portfolio, the integrated risk weight of incremental loan portfolio and old loan portfolio is controlled at the same time. Secondly, it uncovers the internal relationship between the integrated risk weight of incremental loan portfolio and that of total loan portfolio. When the risk weight of incremental loan portfolio is controlled, the risk weight of total loan portfolio is also controlled. Thirdly, it introduces the integrated risk weight which is compatible with the banks＂ convention and uses it to measures loan risk.