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Research & Application Of Portfolio Optimization Models Of Loan Assets In Commercial Banks

Posted on:2008-04-16Degree:MasterType:Thesis
Country:ChinaCandidate:J HuangFull Text:PDF
GTID:2189360215463768Subject:Systems analysis and integration
Abstract/Summary:PDF Full Text Request
The credit risk is the main risk of commercial banks. The essence of banks crisisis the wrong disposition of commercial banks' assets, so the research on portfoliooptimization of loan assets is important to the survival and development of banks.We put the portfolio optimization of loan assets in commercial banks as theresearch object in the paper, using financial assets portfolio theory in financialengineering,measurement economics, technological economics and mathematicsoptimization theory and completely considering on portfolio optimization models,financial condition of loan customers, banks income and so on., then I will havesome new math models. This paper uses the analytic research method,realdiagnosis analytic method to perform the theory-practice-application road in detail.This paper put forward portfolio optimization model of loan assets incommercial banks based on the value of Z. We consider financial condition of theloan customers and the risk of banks the two aspects .Though the efficient frontier, itis advantageous for banks to analyze various portfolio risks and income, and we canfred out the developing tendency. It is very direct-viewing and increases the scienceof decision.This paper put forward portfolio optimization model of loan assets incommercial banks based on credit line. Based on the chapter above and the conceptof credit line, we have this new portfolio optimization model. We analyze thedifferent influence of loan customers' value Z and credit line. The credit line cancontrol the portfolio risk better.This paper put forward portfolio optimization model of loan assets incommercial banks based on VaR. We use nerve net forecast enterprise income andhave the new model based on VaR, considering the value Z and the risk of banks. Weuse geometry method solute the model. By comparison, the value scope ofanticipated income rate of the model based on the value z is smaller than the scope ofthe old model. This text bases on financial field frontier, establishes theory of management offinancial market risk in accordance with banks' operation law. It establishes newtheory and sets up new models for the commercial banks, thus results in promotingthe perfection of theoretical system on management of financial market risk.
Keywords/Search Tags:loan assets, risk of loan portfolio, the value Z, credit line, VaR
PDF Full Text Request
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