基于综合风险约束的贷款组合优化决策模型

Decision\|making model of loan portfolio optimization based on comprehensive risk restriction

信贷风险是银行经营中的主要风险 ,贷款风险组合优化是信贷管理中最常见的决策 .分析了国内外同类研究的缺陷 ,提出了反映贷款风险组合优化规律的决策原则 ,并以 0 1型整数规划为工具 ,以综合贷款风险度为约束条件 ,建立了贷款风险组合的优化决策模型 .在进一步实例分析和对比分析基础上 ,探讨了这种模型的特点 。

Credit risk is one of the major risks in banking operations. Therefore, loan\|risk portfolio optimization is important to decision\|making in the credit management. Having analyzed the defects of the relevant researches at home and abroad, this paper puts forward the decision\|making principles reflecting optimization laws of loan\|risk portfolio, and sets up a decision\|making model of portfolio optimization by means of 0\|1 integer programming and the restricting term on comprehensive degree of loan risk. With the practical and comparative analysis, the advantages of this model are discussed and a scientific method for credit\|risk management is provided.