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Loan Portfolio Based On Risk Analysis, Optimization Decisions

Posted on:2004-11-21Degree:MasterType:Thesis
Country:ChinaCandidate:D Z JiangFull Text:PDF
GTID:2206360092480710Subject:Computational Mathematics
Abstract/Summary:PDF Full Text Request
Risk of Bank is a global problem in the field of international bank. Because it is so important that every government and financial organization pays much attention on it.The research of bank crisis in the 90' s proves that the substance of bank crisis is the failure of the distribution of the bank asset. So it is very important to improve the benefit and the quality of the distribution to the survival and development of the bank.The decision-making model of loan' s portfolio optimization based on the analysis of risk is to distribute the asset in reason and achieve the liquidity, security and profit of the bank. It is the key technique of the bank.The research in the field has made quite great progress. But the theory is not very mature and perfect. This paper set up the decision-making model of loan' s portfolio optimization based on the analysis of risk base on the domestic and overseas research.There are five chapters in this paper. The first chapter introduces the basic theory of the yield, risk,the model of asset distribution and the VaR. The second chapter introduces the application of combination method in the loan' s portfolio. The third chapter set up the decision-making model of loan' s portfolio optimization based on the analysis of risk. The fourth chapter set up the decision-making model of loan' s portfolio optimization based on constraint of the yield of VaR. The last chapter is the conclusion of the-characteristic and innovation in this paper.One of the characteristic and innovation in the paper is that the model optimizes the earning and risk of the bank' s loan directly and improve the precision of the decision-making. Secondly,The model controls the portrolio risk of the bank effectively. If given the earning ratio that the decision-maker expects in the feasible range, there will be a loan' sportfolio which has the minimum risk. Furthermore, the constraint on the yield of VaR takes into account of the correlation among the risks and reflects the ability of the bank to endure the risks and controls the potential loss of the bank directly.The significance of this project is to set up the model that accord to the the bank' s profit and promote the theory of the financial risk.the significance in reality is to solve the practice problem in the development of our country' s economy and set up new models and establish new theories for the bank.
Keywords/Search Tags:loan's portfolio, portfolio risk, decision-making of loan, optimization model, value at risk(VaR), quadratic programming
PDF Full Text Request
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