商业银行贷款组合动态优化模型研究

以银行各项资产组合收益最大化为目标函数,以法律、法规和经营管理约束为条件,运用逆向递推原理和线性规划方法,建立了商业银行贷款组合动态优化模型。创新与特色主要在于考虑了不同区段贷款效益对全部区段贷款总体效益的相互影响,运用逆向递推原理,在考虑所有贷款区间全部收益最优化的前提下,优化配给区间段的贷款配给,使得全部区段的整体贷款配给达到最优。

A Portfolio Loan Dynamic Optimal Model for Commercial Banks

According to backward induction principle and no-linear programming,a portfolio loan dynamic optimal model for commercial banks is set up,in which the maximum portfolio profit of banks is taken as objective function and laws,regulations and operation as the constrains.The mutual effect of each period of loans was considered and Backward Induction Method was used to set up the optimized admeasure of the current loans which made the total loans allocation of the whole section reach the best.Portfolio risk of multi-period loan was controlled by the introduction of VaR constrain.The less consideration of the bank's risk tolerance ability and the demand of capital intendance in present multi-period studies were avoided.Owing to introducing laws and regulations as constrains,the portfolio risk of multi-period loan was controlled to avoid the floating crisis of asset allocation,and to assure the legality and rule's demand.