综合收益最优的贷款组合鲁棒优化模型

Robust Optimization Model of Loan Portfolio based on Maximum Gross Return

商业银行信贷经营的基本目标是资金来源与运用在效益性、安全性和流动性上的"三性"平衡,而贷款组合优化配置是商业银行维持或达到资金"三性"平衡的有效方式,也是商业银行信贷经营管理中的重要内容。而贷款的预期收益具有不确定性,如果简单地假设其预期收益率往往会出现与实际脱节的情况,因此需要考虑贷款期间可能出现的变化。针对这一特征,考虑构建风险调整后资本收益率(RAROC)最优的贷款组合鲁棒优化模型。根据某商业银行实际经营数据进行数值分析,结果表明该模型具有鲁棒性,不仅能够兼顾贷款组合综合收益以及未来收益的不确定性因素,同时还可以在贷款组合风险约束范围内获得最大收益,为商业银行贷款优化配置管理提供有效可行的决策依据。

The fundamental requirement of the crediting operations of commercial banks is the combination of benefit, security and liquidity. And the optimization of loan portfolio is not only the effective method to achieve these three principles, but also the important way to improve the ability of credit capital management. Because of the uncertainty of expected return on loan, it needs to consider the possible changes of interest rate in whole loan period instead of simply assuming the prospective return. A robust optimization model is established for loan portfolio based on risk adjusted return on capital （RAROC）. It improves the former loan portfolio models which are need to assume earning and risk tolerance. Furthermore, a numerical example is given according on the actual operation data of commercial bank. The results show that the model is robust to reduce to the loan portfolio risk with some constraints. And it can provide effective decision-making for commercial banks on loan distributing.