基于非预期损失控制的资产组合优化模型  

Asset Portfolio Optimization Based on the Controlling of Unexpected Loss

作　　者：迟国泰 丁士杰 Chi Guotai;Ding Shijie(Faculty of Management and Economy, Dalian University of Technolog)

机构地区：[1]大连理工大学管理与经济学部

出　　处：《数量经济技术经济研究》2018年第3期150-166,F0003,共18页Journal of Quantitative & Technological Economics

基　　金：国家自然科学基金面上项目(71471027;71731003);国家自然科学基金青年科学基金项目(71503199;71601041);国家社科基金一般项目(16BTJ017);辽宁省社科规划基金项目(L16BJY016);大连银行小企业信用风险评级系统与贷款定价项目(2012-01);中国邮政储蓄银行总行小额贷款信用风险评价与贷款定价资助项目(2009-07)

摘　　要：研究目标:控制银行资产组合的风险,优化银行资产配置。研究方法:以CVaR为约束条件,以经济增加值EVA最大化为目标函数,建立了基于非预期损失控制的银行资产组合优化模型。研究发现:进行银行资产配置时,不能仅仅估计、控制预期损失,同时还必须考虑非预期损失。研究创新:一是通过构建资产组合的非预期损失与国内生产总值和贷款健康状态的离散函数关系,确定了条件风险价值CVaR的函数表达式,解决了银行资产组合的非预期损失的控制问题。二是通过信用等级迁移矩阵将信用等级变化产生的风险纳入到风险度量体系,从而在总体上对信用风险的不确定性有了较可靠的把握。完善了仅考虑贷款违约风险而忽略信用等级变化风险的不足。三是以银行资产组合的经济增加值最大化为目标函数来追求风险调整后的资本回报最大,完善了以组合收益率最大化为目标的资产配置优化忽略资产组合的预期风险和资本占用因素的不足。研究价值:有效控制银行资产组合面临的风险,为银行优化资产配置提供了新的科学决策参考。Research Objectives： Controlling the risk of bank＇s portfolio, and optimizing bank asset allocation. Research Methods： Taking CVaR as the constraint condition and taking EVA maximization as the objective function, we establish the bank＇s asset portfolio optimization model based on the controlling of unexpected loss. Research Fingdings： In the case of bank asset allocation, we should not just estimate and control the expected loss, but also should consider unintended losses. Research Innovations： First, by constructing the discrete relationship between the unexpected loss of the portfolio and GDP and health status of loans, the function expression of CVaR is determined, which solves the problem of unexpected loss controlling of bank portfolio. Second, taking the risk caused by the migration of credit into consideration through the credit migration matrix, so as to grasp the uncertainty of credit risk as a whole and improve the drawback of some risk management that only take the risk of loan default into consideration. Third, by maximizing economic value added of the bank port- folio to pursue the maximization of risk-adjusted return on capital, we improve the asset allocation method of maximizing the expected return rate of portfolio which ignore factors of expected risks and the occupancy of capital. Research Value： Effectively controlling the risk of bank portfolio, providing a new scientific decision-making reference for the bank to optimize the allocation of assets.

关 键 词：资产组合 组合优化 非预期损失 条件风险价值 经济增加值 

分 类 号：F830.59[经济管理—金融学] C931[经济管理—管理学]