系统管理学报2009，Vol.18Issue(3)：276-283,301,9.
基于信用风险迁移条件风险价值最小化的贷款组合优化模型
Loan's Portfolio Optimization Model of CvaR Minimum Based on Credit Risk Transfer
摘要
Abstract
Introducing credit risk transfer to calculate loan yield and introducing Conditional Value at Risk to measure loan's portfolio risk, the loan's portfolio optimization model of CvaR minimum based on credit risk transfer is set up.The contribution of the model is firstly that the CVaR of consistency risk calculation parameter is used instead of VaR, so the extremity loss of loan's portfolio is controlled.Secondly, the influence of credit risk transfer on the return rate standard deviation is reflected in the model, and the real risk of loan is reflected more impersonally, thus the problem to only calculate individual loan's yield whereas neglecting the credit transfer in the current topic is solved. Tirdly, through law constrain, we control the liquidity risk to avoid the liquidity hazard of asset allocation to guarantee the allocation legal and operational.关键词
贷款组合/组合优化/条件风险价值/信用风险迁移Key words
loan's portfolio/portfolio optimization/conditional value at risk(CVaR)/credit risk transfer分类
管理科学引用本文复制引用
洪忠诚,迟国泰,许文..基于信用风险迁移条件风险价值最小化的贷款组合优化模型[J].系统管理学报,2009,18(3):276-283,301,9.基金项目
国家自然科学基金资助项目(70471055) （70471055）
高等学校博士学科点专项科研基金资助项目(20040141026) （20040141026）
