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Research On Decision-making Theory And Models Of Loan's Risk Management

Posted on:2005-09-26Degree:DoctorType:Dissertation
Country:ChinaCandidate:G T ChiFull Text:PDF
GTID:1116360122996911Subject:Management Science and Engineering
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Loan risk is a matter of the bank's main risk. Bank risk concerns about bank's survival and society's stability. Results of similar study indicate that the essence of bank's crisis results from assets misallocation. So improving allocation quality of assets is crucial to the banks.The thesis analyzes characteristics and issues of current research, and sets up decision evaluation models of loan' risk and decision-making models of individual loan's risk, as well as decision-making models of loan's portfolio.The thesis puts forward allocation principle of both expertise filtration and evaluation weight, and sets up cluster analysis model and twice convergence model for evaluation weight of loan risk. The thesis solves expertise filtration problem through applying similar coefficient matrix to cluster's analysis on evaluation weight and judgment matrix of expertise. It also solves reasonable allocation of comprehensive expertise weight by twice convergence using a new similar coefficient matrix to weight expertise.The thesis puts forward comprehensive evaluation principles of operating performance for commercial bank, and establishes comprehensive evaluation model of operating performance for commercial bank. It perfectly corresponds with three conflict and mutual aspects among liquidity, safety and profitability by interacting influence principle. It solves quantity calculation issues of conflict indexes through reverse interleaving method.The thesis puts forward new principles and new criterions of decision-making model for credit loan and mortgage loan, and unfolds mutual connection and interaction of loan's risk elements. It also changes decision notion of considering merely project factor of existing research and practice. The thesis establishes risk decision models on credit loan and mortgage loan reflecting comprehensive liquidity, and exploits new solution to the problem.The thesis puts forward risk control principle and its criteria for comprehensive decision-making on loan risk, establishes the taking or rejecting standard of the decision alternative, sets up comprehensive decision-making model of loan risk, and solves comparison and choice issues both of loan alternatives for different income and different risk and of different loan ways such as credit loan and mortgage loan.The thesis sets up decision model of loan portfolio optimization based on the principle of largest income per risk unit. It solves decision problem of loan portfolio optimization on different income and different risk.The thesis puts forward control principle of comprehensive risk degrees for loan portfolio, and establishes decision model of loan portfolio optimization on the basis of comprehensive risk constrain, therefore solves control problem of bank's ability to bearportfolio risk.The thesis brings forward control principle of portfolio risk based on Value at Risk(VaR) and adjustment principle of portfolio risk and portfolio income based on efficient frontier, directly reflecting risk's relativity among each loan, and sets up decision model of loan portfolio optimization based on earning ratio constrain of VaR. Optimal portfolio of efficient frontier controls and adjusts default risk of loan portfolio effectively.The thesis sets up optimal model of Asset-Liability-Management under the constrain of VaR. This model directly makes use of historical data of earning ratio to reflect the income and risk, so the defect of calculating portfolio risk indirectly is avoided.Considering measurement of credit risk comprehensively from the aspects of shift probability of credit grade, default probability and retrieval ratio solves optimal allocation of loan assets controlling both default risk and liquidity risk.This text bases on financial field frontier, establishes decision theory and decision methods of loan risk management in accordance with bank's operation law. It establishes new theory and sets up new models for the commercial bank, thus results in promoting the perfection of theoretical system on financial risk mana...
Keywords/Search Tags:loan risk, risk management, decision-making theory, decision models, risk evaluation, loan portfolio risk
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