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Issue:
Optimization model of bank loan portfolio based on linear complete transfer method
Author(s):
CHI Guo-tai1
,
WU Shan-shan2
,
SUI Cong1
Pages:
221
-
225
Year:
2009
Issue:
8
Journal:
Journal of Harbin Institute of Technology
Keyword:
贷款组合
;
组合风险
;
优化模型
;
收益率风险价值
;
贷款收益率范围
;
线性完备变换方法
;
Abstract:
以收益率风险价值限额和贷款组合期望收益率为约束条件,贷款组合风险最小为目标函数,建立了基于收益率风险价值约束的银行贷款组合优化模型.本模型运用线性完备变换方法确定银行贷款收益率选取范围,解决了以往研究中由于贷款组合收益率确定不合理、而导致的优化决策模型无解的问题;解决了复杂约束情况下无法求解贷款最优比例的问题.根据银行风险承受能力原则,通过贷款组合收益率风的险价值为约束条件建立模型,控制了贷款配给的组合风险.根据银行给定收益率风险最小原则,建立贷款组合有效边界,解决银行不能灵活调整贷款组合以保证贷款收益率风险最小问题.
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