Loan Portfolio Allocation Model In Commercial Bank Risk Management

The risk of banks is related to the steady of the society and the survival of the banks. Loan portfolio risk is the main risk of commercial banks. The nonperforming loan caused by the loan allocation mistakes, is the main problem of Chinese banks industry. The scientific optimization of loan portfolio is good for the control of new coming nonperforming loans, and is good for the banks branches to optimizing resources allocation and improving efficiency, is significant for the Chinese financial systems' steady and developing.The thesis is divided into eight chapters. The first chapter is introduction, is about the background and the meaning of the thesis, the related researches reviews and the research method and technology route and main content. The second chapter analyzes the theoretical ground of the loan portfolio and its optimization. In the third chapter we build a bank loan portfolio optimization model on the ground of upper limits. In the forth chapter, we build a total risk optimization model of portfolio loan on the base of expect return. In the fifth chapter, we build a decision optimization model for accumulate and increment loan portfolio on base of 0-1 regulation. In the sixth chapter, we build a multi-objective decision optimization model for loan portfolio on constrain of VaR. In the seventh chapter, we build a loan's portfolio optimization model of CVaR minimum based on credit risk transfer. The eighth chapter is the conclusion and expectation.(1) we build a bank loan portfolio optimization model on the ground of upper limitsOn the ground of portfolio selection model, we put forward a bank loan portfolio optimization model on the ground of upper limits, on constrains of bank loan portfolio's upper limits. One of the characteristics of this model is that the paper put forward an upper bound control that can dispense the credit risk, and also control the loan sum as well, so the commercial can match the assets and the liability at the maturity day. Secondly, this model makes use of the assets changes and structural management ratio to build the loan upper limits, through the bank regulation and preset return of loan portfolio to control the liquidity risk, so the allocation of the loan will meet the demand of regulation and operation. The problem of loan investment's optimization under the limitation of loan is solved since the model provides the quantity decision in the actual loan investment of bank. (2) we build a optimal model of loan portfolio total risk on the basis of industry portfolio...