商业银行多期贷款组合的均值-CVaR动态优化模型——基于Copula理论的研究  

Multi-period Dynamic Optimization Mean-CVaR Model of Loan Portfolio for Commercial Banks

作　　者：翟永会[1] 

机构地区：[1]河南师范大学商学院,河南新乡453007

出　　处：《扬州大学学报（人文社会科学版）》2015年第6期49-57,共9页Journal of Yangzhou University(Humanities and Social Sciences Edition)

基　　金：教育部人文社会科学青年基金资助项目(11YJC790260);国家自然科学基金项目(71203056);河南师范大学博士科研启动费支持课题(11147)

摘　　要：商业银行的贷款组合配置主要以各类企业贷款的风险损失与预期收益的均衡作为贷款组合管理的决策目标,在充分考虑组合收益与风险的基础上,从众多的贷款组合中选择一组高收益低损失的组合策略。但是,由于银行整体贷款最优不能由一组贷款组合决定,并且各类贷款组合在不同的贷款期间相互影响,单期最优并不意味着在整个贷款期间最优。因此考虑商业银行多期贷款组合的动态优化问题具有重要的研究价值和现实意义。Dynamic optimization Mean-CVaR model of bank loan portfolio has been set up considering the income constrain on the expectations of the bank＇s portfolio income and using loss rate of CVaR minimum of banks as objective function.Firstly,the correlation structure of all types of enterprises＇ loss rate has been set up by using Copula theory.Secondly,the optimal portfolio of this period has been obtained based on the next period loan portfolio by applying Backward Induction Method.Finally,the optimal portfolios in the whole loan period have been obtained by Monte Carlo simulation technique with each single period loan portfolio optimized.

关 键 词：COPULA理论 均值-CVAR 多期贷款组合 动态优化 

分 类 号：F830.5[经济管理—金融学]