线性完备变换的银行贷款组合优化模型

Optimization model of bank loan portfolio based on linear complete transfer method

以收益率风险价值限额和贷款组合期望收益率为约束条件,贷款组合风险最小为目标函数,建立了基于收益率风险价值约束的银行贷款组合优化模型.本模型运用线性完备变换方法确定银行贷款收益率选取范围,解决了以往研究中由于贷款组合收益率确定不合理、而导致的优化决策模型无解的问题;解决了复杂约束情况下无法求解贷款最优比例的问题.根据银行风险承受能力原则,通过贷款组合收益率风的险价值为约束条件建立模型,控制了贷款配给的组合风险.根据银行给定收益率风险最小原则,建立贷款组合有效边界,解决银行不能灵活调整贷款组合以保证贷款收益率风险最小问题.

By taking the yield risk value quota and the expected yield of loan portfolio as restriction conditions, and the minimum risk of loans portfolio as the target function, an optimized model of bank loan portfolio based on the earning yield risk value is set up. This model confirms the selection range of loan yield with the linear complete transfer and solves the existing problem that the model cannot get the result caused by the unreasonable rate. According to the principle of affordable risk for bank, a model is established to control the loan portfolio risk with the risk value of loan portfolio as the restraint. Accordingto the minimum risk of bank required rate, the efficiency frontier is set up in order that bank can agilely reallocate the portfolio to assure the minimum risk value of earning yield of loan portfolio.