摘要
投资品种的多样化与分散化是金融风险管理的核心方法,它可以有效地防范和控制各类风险。对银行业来说,将贷款分散地投放给不同行业、不同区域或处于不同生命阶段的企业,可以减少其因借款企业违约而可能遭受的损失。因此,银行在贷款投放过程中,如何进行多样化和分散化,以达到整个贷款组合收益的最大化和风险的最小化是一个决策难题。本文通过对贷款组合风险和预期收益的度量,提出针对不同生命阶段创业企业的贷款组合优化模型,并进行了相关实证研究,研究结果表明模型具有较强的适用性。
Diversification is the essence of risk management,which can reduce finance risk effectively. For banks, granting loans to enterprises in different industries, different areas, or different business life stages,can reduce the possible losses from bad debts. To get the maximum yield and minimum risk, it＇s difficult to decide how to allocate the assets in the loan grading process. By measuring the risk and prospective yield of loan portfolio, this paper bring forward an optimized credit assets portfolio model for different business life stage enterprises, and the model shows strong adaptability in related empirical studies.
出处
《中国工业经济》
CSSCI
北大核心
2009年第12期107-116,共10页
China Industrial Economics
关键词
风险度量
组合管理
均衡
risk measure
portfolio management
loan optimization
