基于Monte Carlo 模拟和VaR 约束的银行资产组合优化模型

在Monte Carlo模拟和CreditMetrics方法的基础上,以银行各项资产组合收益最大化为目标函数,以VaR风险限额为约束,以法律、法规约束和经营管理约束为条件,建立了基于Monte Carlo模拟和VaR约束的银行资产负债管理优化模型.其特点一是利用Monte Carlo模拟预测出贷款期限内各年度的收益率及标准差,将其平均值作为该项贷款总体的年平均收益率及其标准差,从而考虑了各项贷款期限不同的因素,可以对不同期限贷款的收益率进行同等的比较,在总体上对信用风险的不确定性有了较可靠的把握.二是利用VaR技术建立约束条件,使贷款配给的风险限定在银行的承受能力和贷款准备金的范围之内.三是直接利用各企业贷款收益率的历史数据求解各贷款之间的收益率相关系数,进而求解资产组合的方差,而不是利用企业资产的相关系数求解,更直接反映了贷款收益率之间的相关性.四是运用资产负债管理比率建立约束条件,通过巴塞尔协议内容和众多国际惯例的法律、法规和经营管理约束控制流动性风险,使贷款的分配决策满足行业监管和银行经营的实际要求.

A Portfolio Optimization Model for Banks Based on Monte Carlo Simulation and the Constraint of VaR Technology

Based on Monte Carlo simulation and the CreditMetrics method,considering the constrain on VaR,laws,regulations,and operation,using portfolio profits maximum of bank's assets as objective function,the optimal model of asset-liability-management is set up,in order to provides decision-making method for bank's risk management.The characteristics lies on four aspects: Firstly,It makes the data needed more reasonable by using Monte Carlo simulation to forecast the earning rates year-by-year and then figure up the average earning rates and mean square deviations.Secondly,the risk of loan distribution is limited within given ranges of bank's risk tolerance ability and reserve funds by the arrangement on using VaR constrain.Thirdly,the loan's yields of historical data on individual enterprise are used to get the correlation coefficient between different loans,and get portfolio deviation,and then the yields correlation among different loans is reflected directly.Finally,the portfolio strategy is being made to meet the practical demand of banks supervise and management,by using constraints of asset-liability-management ratios,Basel protocol and laws.