| 信贷风险管理的区间数参数模型及其应用 |
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| 引用本文： | 郭战琴,周宗放.信贷风险管理的区间数参数模型及其应用[J].电子科技大学学报(社会科学版),2006(1). |
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| 作者姓名： | 郭战琴 周宗放 |
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| 作者单位： | 电子科技大学管理学院 成都610054 |
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| 基金项目： | 教育部人文社科项目(02JA790009) |
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| 摘 要： | 针对商业银行的风险与收益的不确定性,建立了基于区间数的参数规划模型。银行通过选择风险损失参数α,应用该模型即可确定出在风险/收益均衡状态下,不同风险信贷项目的最优组合投放权重,获得既定风险下的最大收益。最后,给出的算例表明了该方法对商业银行的信贷风险管理具有较强的应用价值。
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| 关 键 词： | 区间数 参数规划 风险损失参数 信贷风险管理 |
An Application of Parametric Programming Based on Interval Number in Risk Management of Commercial Bank |
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| GUO Zhan-qin,ZHOU Zong-fang.An Application of Parametric Programming Based on Interval Number in Risk Management of Commercial Bank[J].Journal of University of Electronic Science and Technology of China(Social Sciences Edition),2006(1). |
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| Authors: | GUO Zhan-qin ZHOU Zong-fang |
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| Abstract: | A parametric programming based on interval number is proposed for the uncertainty risk and return. By selecting the risk parameters,commercial banks can get the optimum solution under the equilibrium of risk and return and can obtain the maximum return when risk is fixed. An example shows that the method is quite fit for credit risk management of commercial banks.. |
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| Keywords: | interval number risk parameters parametric programming credit risk management |
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