基于风险价值约束的银行贷款组合优化模型

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1、大连理工大学硕士学位论文基于风险价值约束的银行贷款组合优化模型姓名：吴珊珊申请学位级别：硕士专业：产业经济学指导教师：迟国泰20051201基于风险价值约束的银行贷款组合优化模型OptimalModelofBank’sLoansPortfolioBasedontheConstraintof吻lueatRiskAbstractOneimportantdecisionofbankmanagementistooptimizet11eloanportfoliostructureSOastoholdaloanportfoliowit

2、hpossiblehighestyieldandrelevantlowestrisk．CreditriskofcommercialbankiSaseriousproblemobsessedthedevelopmentofbankindustryofChina．Therefore．theresearchofoptimalmodelofloanportfolioinChinaCallprovidethedecisionsupportofriskcontrolandoptimizationallocationofcommerci

3、albanks，whichhastheimportantpracticalmeaning．nlepaperisdividedinto5chapters．nlefirstchapterexpatiatesthedevelopmentprocessandresearchstatusofloansportfoliotheory．ThesecondchapterexpatiatesthebasictheoryoftheOptimalModelofBank’sLoansPortfolioBasedontheConstraintofV

4、alueat鼬sk，andprovidesthetheoryfoundationoptimalmodel．nlimchapteristhesetupofoptimalmodelofIOanportfolioofChina’Scommercialbanks．Theforthchapterappliesthemodeltodothepracticalanalysis．nlefifIllchapteristheconclusion．强ekeypointofthispaperhastwomainal-Oas．刀Iefirstone

5、istotheyieldriskvaluequotaandtheexpectedyieldofloanportfolio．Thesecondoneistoconfirmstheselectionrangeoftheloanyield．Itrepresentinthemodelsetupwiththelinearcompletetransferandtheminimumriskofloansportfolioasthetargetfunctionandtheconstraintofeamingyieldriskvalue．T

6、hecharacteristicsandinnovationofthispaperhasthreeaspens．Thefirstoneisthatthispaperconfirmstheselectionrangeoftheloanyield谢t11thelinearcompletetransferandsolvestheexistingproblemthatthemodelcannotgettheresuhcausedbytheunreasonablerate．Thesecondoneisthatthispaperist

7、hatregardingtothebankaffordableriskprinciple．ThePapercontrolstheloanportfolio．riskwiththeriskvalueofloanportfolioastherestraint．nethirdoneisthatthispaperisthatregardingtotheminimumriskofbankrequiredrate．themodelsetsuptheefficiencyfrontierinorderthatbankCanagilelyr

8、eallocatetheportfoliotoassuretherninimumriskvalueofearningyieldofloanportfolio．KeyWords：LoanPortfolio；PortfolioRisk；OptimalModel；ValueatRisk；LinearCompl