基于看跌期权组合价值最大化的银行资产优化模型  

Optimization Model of Banks' Assets Based on the Portfolio Value Maximization of Put Option

作　　者：刘艳萍[1] 牛书亮 迟国泰[1] 

机构地区：[1]大连理工大学管理学院,辽宁大连116024 [2]深圳发展银行大连分行营业部,辽宁大连116001

出　　处：《中国软科学》2008年第6期133-144,共12页China Soft Science

基　　金：国家自然科学基金资助项目(70471055);高等学校博士学科点专项科研基金资助项目(20040141026)

摘　　要：银行危机的实质在于资产配置失误,资产优化配置事关银行的生存和发展。本文以银行债权组合价值最大化为目标函数,以组合风险价值VaR为约束条件控制资产组合风险的大小,建立了看跌期权组合价值最大化的银行资产分配模型。本模型主要特色与创新是通过卖出看跌期权的组合价值来客观地反映企业价值影响贷款清偿能力的本质属性。The essence of bank crises is the wrong way of assets allocation, so the optimization of assets allocation is important for the development of bank. In this paper, we using portfolio value maximum of bank＇s assets as the objective function, using VaR as the constraint, the optimization model of bank assets based on the value maximization of Short Puts Portfolio was set up. The main feature and innovation of this model is to use the value of Short Puts Portfolio to reflect the essential attribute that enterprise value affects loan liquidation.

关 键 词：贷款组合 组合优化 卖空看跌期权 债权价值 

分 类 号：F275[经济管理—企业管理] F832.4[经济管理—国民经济]