基于CVAR的银行贷款组合决策系统设计与实现

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1、大连理工大学硕士学位论文基于CVaR的银行贷款组合决策系统设计与实现姓名：唐明亮申请学位级别：硕士专业：软件工程（金融信息管理）指导教师：张茂军20080601唐瞬亮：鏊予O／aR方法的银行贷款缝会决策系统设计与实现TheDesignandImplementationonLoanPortfofioDecisionSystemsofBanksBasedontheCVaRAbstractItisoneoftheimportantresearchingproblemsonfinancialriskmanagementforcertainco

2、rrespondingloanprojectofassignintosomeloanitemsreasonably．孤ebasicprincipleofresearchmainlydrawslessonsfromCommercialbanktllathowtoputthecretinportfoliotheories，AccordingtotheactualcircumstanceestablishmentofthelOanreasonableofloancombinationexcellentturnmodel．薹askforhel

3、pfromthestrategylearnofexcellentturnacalculationmethodtosolvethesuperiorloancombinationcomparison．InthisthesisthathowtOselectexaminationcharactertoolofriskgenerousisoneoftheimportantresearches．ThemethodofCVaRadoptedbythistopicisverypopularandvalidtoolofriskgenerouschara

4、cterint11einternationalnow，anditcanbesolvebythelinearprogramming，SOitgotallextensiveapplicationin攮efinancialriskmanagement．Forexample，Creditrisksandderivativeportfolioamanagement．However,therehaven’tbeenusedforthecombinationIiskofthegenerouscharacterloan．Thisbuildsupaco

5、mbinationwhichWasexcellenttoturnmodelaccordingto蕴eC铵浓loan．AndimitateandinheritcalculatewaytosolvethismodelwiththeMonteCarlo．Providedaloanthetheoriesmodelofthecombinationandoperateinterfaceforthecommercialbank．SimultaneouslydrewsupportfromcomputertoolsandSOonvB．nettodesi

6、gnthecustomeroperatingsystem，causedthecustomeroperationtObesimpler,andtoguaranteethatthecustomerthefuselagebenefit，hasdesignedthecustomerdebarkationfunctionspecially，whenaftercustomerdebarkation，thecustomerinformationwillpreserveinthedatabase．Hasprovidedtheloancombinati

7、ontheoreticalmodelandtheoperationaltoolfortheCommercialbank，thuscausesinvestmentprofolioflusabstracttheoryandtherealriskmanagementunifies．Becauseloanstheriskmanagementisalsotheriskmanagementonespecialform,thereforethissystemwillalsodevelopotherriskmanagementquestionforl

8、atertoprovidethefoundation．There,asonthatmoreoverthisarticlechoosesVB．net,alsowillbedevelopsforthefuturethissy