基于VaR和集中度约束的贷款组合优化模型  

Loan Portfolios Optimization Model Based on VaR and Concentration Constraint

作　　者：杨中原[1,2] 许文 

机构地区：[1]大连银行,辽宁大连116001 [2]中国社会科学院金融研究所,北京100732

出　　处：《经济数学》2011年第2期85-88,共4页Journal of Quantitative Economics

基　　金：中国博士后科学基金(20090460452);国家自然科学基金资助项目(70471055)

摘　　要：资产负债管理是把资产与负债组合视为有机整体,协调流动性、安全性和赢利性.本文通过资产的集中度约束把银行资产合理分配在不同行业中,有效降低银行资产集中度风险,通过能反映银行风险承受能力的VaR约束控制了贷款组合风险.应用实例的结果表明,本模型能够谋求"三性"的最佳配置,有效降低银行经营过程中的集中度风险和流动性风险,并实现银行经营效益的最大化,这对银行的贷款管理具有重要的现实意义.Asset-liability management is to regard asset-liability portfolio as an organic integrity to balance mobility,security and profitability between them.Bank assets were allocated to different industries by asset concentration constraint,which reduced the bank asset concentration risk effectively.The VaR constraint,which reflected the bank risk tolerance ability,controled the loan portfolio risk.The practical case＇s results show that this model can reach the optimal allocation among ＂mobility-security-profitability＂,lowering the concentration risk and mobility risk effectively in bank operation and realizing the optimal bank operation effectiveness,which is practically significant to loan management.

关 键 词：贷款组合 集中度风险 流动性风险 资产负债 

分 类 号：F224.3[经济管理—国民经济]