| 基于信用风险迁移条件风险价值最小化的贷款组合优化模型 |
| |
| 引用本文： | 洪忠诚,迟国泰,许文.基于信用风险迁移条件风险价值最小化的贷款组合优化模型[J].系统管理学报,2009,18(3). |
| |
| 作者姓名： | 洪忠诚 迟国泰 许文 |
| |
| 作者单位： | 1. 大连理工大学,管理学院,大连,116024
2. 中国社会科学院,金融研究所博士后流动站,北京,100732;大连银行,大连,116001 |
| |
| 基金项目： | 国家自然科学基金，高等学校博士学科点专项科研基金 |
| |
| 摘 要： | 把企业信用风险迁移引入贷款收益率的计算中,引入条件风险价值(CVaR)来度量贷款组合风险,建立了组合贷款优化决策模型.本模型的特色:① 用CVaR代替VaR,控制了贷款组合极端损失的发生;② 反映了企业信用等级迁移对企业收益率波动的影响,更加客观地反映了贷款的真实风险,解决了现有研究仅简单求解各笔贷款的收益率标准差而忽略信用风险迁移的问题;③ 通过现行法律法规为约束条件,在约束条件中,控制了流动性风险,避免了资产配置的流动性危机,保证了银行资产配给的合法性与合规性.
|
| 关 键 词： | 贷款组合 组合优化 条件风险价值 信用风险迁移 |
Loan's Portfolio Optimization Model of CvaR Minimum Based on Credit Risk Transfer |
| |
| HONG Zhong-cheng,CHI Guo-tai,XU Wen.Loan's Portfolio Optimization Model of CvaR Minimum Based on Credit Risk Transfer[J].Systems Engineering Theory·Methodology·Applications,2009,18(3). |
| |
| Authors: | HONG Zhong-cheng CHI Guo-tai XU Wen |
| |
| Abstract: | Introducing credit risk transfer to calculate loan yield and introducing Conditional Value at Risk to measure loan's portfolio risk, the loan's portfolio optimization model of CvaR minimum based on credit risk transfer is set up.The contribution of the model is firstly that the CVaR of consistency risk calculation parameter is used instead of VaR, so the extremity loss of loan's portfolio is controlled.Secondly, the influence of credit risk transfer on the return rate standard deviation is reflected in the model, and the real risk of loan is reflected more impersonally, thus the problem to only calculate individual loan's yield whereas neglecting the credit transfer in the current topic is solved. Tirdly, through law constrain, we control the liquidity risk to avoid the liquidity hazard of asset allocation to guarantee the allocation legal and operational. |
| |
| Keywords: | loan's portfolio portfolio optimization conditional value at risk(CVaR) credit risk transfer |
| 本文献已被 万方数据 等数据库收录！ |
|
