The Research On Loan Portfolio Optimization Model For Commercial Bank

Loan portfolio optimization is the core of management of commercial banks. The mostof non-performing assets are contributed by the assigning mistake. The research on loanportfolio optimization model for commercial banks is most important to realize the basic goaland final goal of management,The paper is based on the inner risk control of commercial banks. The paper separatelybased on liquidity risk control,interest risk control and default loss control discuss theproblem of portfolio optimization model of loan risk decision-making for commercial bank.The paper is divided into six chapters. The first chapter is about the issue selection gist,relative research review, research approach, technical route and research content. The secondchapter is the research on the loan portfolios model considering accumulative risk of theexisting portfolio and increment risk of new loans. The third chapter is the research on loanportfolio term structure optimization model on base of Copula. The fourth chapter is theresearch on multi-stage dynamic optimal model of loan portfolio for commercial banks basedon default loss control. The fifth chapter is the research on optimization model ofAsset-Liability portfolio considering interest risk and liquidity risk. The sixth chapter is theconclusion of the paper. The main works of the paper are shown as follows:(1) The paper sets up the loan portfolio Decision-making Model for IndividualIncremental Loan based on the accumulative risk control of the existing portfolio.The paper takes the Individual Incremental Loan and existing loan asa new loanportfolio. This model uses the perturbation item to represent credit risk; this can control thewhole risk of new portfolio. It sets up loan portfolio optimization model considering new andold loan. The model considers the effect of the accumulative risk of the existing portfolio ofthe old loans and the rational relationship between previous portfolio and the new added. Themodel changes the phenomenon of the present research only controlling the risk ofIncremental Loan portfolio.(2) The paper sets up a loan portfolio term structure optimization model on base ofcopula.Using copula model to the consociation distribution of short term and long term loans,and using VaR method to determine the minimum risk assets portfolio, When the risk is leastchoosing the ratios of short term loan and long term loan, then getting the optimization loanportfolio term structure. The joint distribution of fitting function copula which needn't requestinteger and abnormal distribution reflects the real risk of loan portfolio, keeps away the liquidity risk of bank, changes the phenomenon of the most present research undervalue theasset portfolio risk because of supposing assets obeys multi-normal distribution.(3) The paper sets up multi-stage dynamic optimal model of asset portfolio based ondefault loss controlBy using Backward Induction Method, under considering the next period asset portfoliooptimization, controlling current period the Downside-risk per profits of bank. Takingmaximizing the whole period asset profits as target, setting up multi-stage dynamic optimalmodel of asset portfolio based on default loss control. This reflects the influence to the wholeloan allocation of different period Downside-risk per profits of bank can bear. By consideringthe single period loan portfolio's optimal to optimize the whole period loan portfolios.Through considering the single period loan optimization, optimizing the Whole period loanallocation.(4) The paper sets up the optimized asset-liability portfolio model that concurrentlycontrol the interest rate risk and liquidity risk.It takes the maximum interest rate of loans as the target, it takes the interest rate riskimmunity condition and the quantity structure symmetry as restrains, by taking linearprogramming as the tool to set up optimized asset-liability portfolio model that concurrentlycontrol the interest rate risk and liquidity risk.. Through the duration gap and immunityconditions, the paper controls the interest rate risk and protects the equity rights, the modelsolves the harmonization and match problem, and it protects the bank equity against the effectand loss while the market interest rate changing. Through the quantity restrictions of law,code and managing, this paper controls the liquidity risk and ensures the payment ability ofbank; it can ensure the legitimacy and standard of bank assets allocation. It controls theliquidity risk, assure the payment ability and avoid the liquidity crisis.