基于资本效率约束的多目标行业组合贷款优化管理模型  

A Multi-objectives Optimization Management Model of Industry Loan Portfolio Based on the Capital Efficiency Restraint

作　　者：文忠平[1,2] 周圣[1] 史本山[1] 

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]中国建设银行四川省分行,成都610016

出　　处：《系统管理学报》2013年第5期611-618,共8页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70771096);教育部人文社科基金资助项目(12YJA790110)

摘　　要：在综合考虑商业银行资本运用效率及风险承受能力的基础上,建立了风险调整后资本收益率(RAROC)最大化和风险最小化的多目标行业贷款组合优化管理模型。模型兼顾了贷款组合综合收益、风险等多重管理目标,并通过资本效率约束使贷款的运用效率在商业银行行业贷款优化配置中予以充分体现。运算中采用了粒子群优化算法进行迭代求解,并根据某商业银行经营数据进行实例分析,改进了现有贷款组合研究需要假设模型约束变量数值的缺陷。In view of the commercial bank＇s risk tolerance and the capital utilization ratio, a multi- objectives optimization management model of industry loan portfolio with the maximum risk adjusted return on capital （RAROC） and the minimum risk is built. The model takes account of the comprehensive income of loan portfolio and risk and the capital utilization ratio is also considered by setting the capital efficiency constraint. Furthermore, particle swarm optimization is presented to analyze this management model. According on the actual operation data of commercial bank, a numerical example is given which improves the existing loan portfolio researches of constraining the hypothetic variables.

关 键 词：资本效率 行业组合贷款 多目标管理 粒子群优化 

分 类 号：F830[经济管理—金融学]