A Portfolio Optimization Model Of Banking Based On The Adjusted Credit Risk

The level of asset-liability portfolio management has sizable influence on the market competitiveness and profit ability of bank, so carrying on effective measurement and control to the credit risks, and the closely related optimization question of the bank's assets portfolio become the focus of both academia and banking at present.This paper includes five chapters.The first chapter elaborates the developing process and the present research of assets portfolio; the second chapter elaborates the basic principle of a portfolio optimization model of banking which can provide the basic theory for the model; the third chapter is the establishment of the model, which is designed for our country commercial bank's assets management; the fourth chapter carries on the application with the constructed model;the fifth chapter is the conclusion.This paper mainly has two research emphasis: the first is the adjust of credit risk, which manifest doing some adjusting on the critical to Risk Migration corresponding the distributing of annual earning rates whih Skewness and Kurtosis. The second is considering the constrain on the established earning, laws, regulations and sets up the optimal model of asset-portfolio.The characteristics of this paper lie on three aspects: Firstly, this paper does adjusting on the critical to Risk Migration corresponding abnormal distribution with Skewness and Kurtosis, so it change the existing research which taked variables as a specifical distribution, and the measure precision of loan portfolio risk is improved also. Secondly, this paper introduces the Semivariance Absolute Deviation to measure the credit risk. It can eliminate the "excess profit" which caused by the Deviation or Absolut Deviation which take the exceeding mean-earning rates as risk. Therefore, the Semivariance Absolute Deviation can measure the loan portfolio risk more accurately. Thirdly, this paper do the Monte Carlo simulation on actual annual earning rates, through which it discovers the future annual earning rates means instead of the historical ones, and also can solve the problem that the existing research cannot accurately reflect the uncertainty from the practical condition of future, and make the measurement of loan portfolio risk more rational.