基于信用风险修正的多阶段银行贷款组合优化决策模型

Multi-period Bank′s Loans Portfolio Optimization Model Based on the Adjusted Credit Risk

针对银行的信用风险和贷款的周期性等问题,建立一个基于信用风险修正的多阶段银行贷款组合优化决策模型,该模型在多阶段模型中考虑了信用风险修正问题,根据模型的特点给出了把Monte Carlo模拟的动态算法和差分进化的多阶段算法相结合的求解方法,前者求解银行各类贷款的期望收益率,后者求解每一阶段银行对各类贷款的最优投资比重。数值试验表明所建立的模型是合理的且符合商业银行的实际操作要求,给出的方法是有效的和可行的。

Considering the problems of the credit risk and loan cycle,we establish a multi-period dynamic loans portfolio optimization model for banks based on the adjusted credit risk,in which the adjusted credit risk is considered.According to the model′s feature,we give the method which consists of the dynamic algorithm based on the Monte Carlo simulation and a differential evolutionary algorithm.The former solves the various types loans′ expected income rate,the latter solves the various loans′ the investment optimization proportion in every period.The numerical experiment indicates that the model is reasonable and the given method is effective and feasible.