Optimization Model Of Downside Skewness Minimum On Loans Portfolio

Loan portfolio optimization decision is a process that the commercial banks select a group of optimal loan objects through many loan application enterprises based on the comprehensive consideration of the loan risk and loan earnings. It is the core problem of the commercial bank credit management. The commercial bank improve its asset allocation level by adjusting funds apply, so as to realize the liquidity, profitability and safety of assets ("three properties").The global financial crisis made the business grow difficultily, so that increased the difficulty of keeping "three-properties" for commercial banks. Commercial banks must explore a new method of capital management and risk control immediately. So, Loan optimization model based on risk controlling has important practical significance.The paper is divided into five chapters. The first part is the introduction, mainly introduces the significance and the development process and research status of portfolio theory. The second part expatiates the basic theory of the model,so can provide the theoretical basis for the model construction. The third part is the construction of optimal model of loan portfolio, including target function and a large number of constraints.The forth part is the practical analysis, proving that the model is reasonable and effective through empirical analysis and comparison. The last part is the conclusion.The main results of the paper are as follows;(1) The paper revealed the theory of loss control based on downside skewness. According to the skewness principle, the paper measured the deflection direction and deflection degree of yield's probability density function by using downside skewness of the loan portfolio. A mass of researches indicated that loan portfolios yields was not normal distribution, but the distribution of "peak thick tail".The "left end" of yields probability distribution is the real risk, and shows the probability that the actual yields less than the expected rate. So, controlling the risk with the downside skewness satisfies the investor's psychological and be more actual.(2) The paper constructed optimization model of downside skewness minimum on loans portfolio. Controlling the risk based on the principle downside skewness, combining with the mathematical programming method, investors'risk aversion as a starting point, value at risk as constraint of assets'risk, then the optimization model of downside skewness minimum on loans portfolio is set up. The model can reflect the "left rail" of the loan's yield primly, and reduce the probability of serious losses of commercial bank.The contribution of this paper lies on two aspects. Firstly, the downside skewness don't demand that the loan's yield is normal distribution, reflect the "left rail" of the loan's yield primely, and reduce the probability of serious losses of commercial bank. Secondly, Measuring loans risk by the downside skewness could meet the investor's psychology, reflect the relationship among loans and resolve the problem that the existing model analytical ability of existing model is poor.