基于违约损失控制的商业银行多期资产组合动态优化模型  

Multi-stage Dynamic Optimal Model of Loan Portfolio for Commercial Banks Based on Default Loss Control

作　　者：许文[1,2] 迟国泰[3] 杨万武 

机构地区：[1]中国社会科学院金融研究所博士后流动站 [2]大连银行 [3]大连理工大学管理学院

出　　处：《管理学报》2010年第4期585-594,共10页Chinese Journal of Management

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：将银行资产组合的单位收益所承担风险损失和风险价值作为银行各项资产组合收益最大化约束,运用逆向递推原理和非线性规划方法,建立了基于违约损失控制的多期资产组合动态优化模型。运用逆向递推原理在考虑下一区段优化配置结果的前提下,控制本区段单位收益所承担的下偏矩风险。反映了不同区段的单位收益所承担的风险对贷款总体效果的相互影响,在考虑单个区间贷款最优的过程中,优化配给所有区段的贷款配给。用单位收益的风险损失下偏矩来控制违约风险损失,改变了流行研究用方差表述风险而导致的组合风险刻画不准的现象。The paper takes the maximum income of each asset portfolio of banks as the objective function and the risk loss unit income bears and the VaR as restrains and applies Backward Induction Theory and non-linear programming to setting up Multi-stage Dynamic Optimal Model of Loan Portfolio for Commercial Banks based on Default Loss Control.It studies the Downside-risk per profits of bank can bear in this period with applying Backward Induction Method to optimize the next period asset portfolios.This reflects the influence on the whole loan allocation of Downside-risk per profits of bank can bear.It optimizes the whole period loan portfolios by considering the single period loan portfolio＇s optimal and use Downside-risk per profits to control default loss of portfolio.This changes the phenomenon of popular research taking the variances as the risk and better depicts portfolio risk.

关 键 词：贷款组合 下偏矩风险 逆向递推 动态优化 违约损失 

分 类 号：C93[经济管理—管理学] F830.5