The Study On The Optimization Of Credit Portfolio Of Commercial Bank

As the core of the financial system, commercial bank relates directly to the financial system, economic system and the national security. At the present, in management mode of China’s commercial bank, the credit assets is still the main resource of the resources which are owned and controlled by the commercial banks, and expected to generate economic benefits. In the recent years, the quality of credit assets in China’s commercial banks is improved, but overall level is still not ideal. Especially, credit asset is still facing great credit risk of default, so effective management of assets is imminent. Based on the advanced methods applied in credit portfolio management in western countries at the present, this paper puts the "portfolio approach" which is popular in the investment market into the credit assets management. Just like assets management, commercial banks can be actively change of the scale of credit asset, and maximize the returns of the credit asset portfolio by adjusting its risk. With this concept, this paper attempts to construct an optimization combination of credit portfolio, which can minimize default risk on an established level of returns of the credit portfolio in commercial banks.In the paper, a simple and feasible method is used for an optimum combination of credit portfolio and the specific proportion of each kind of assets in this optimal combination. This method simplifies the theoretical derivation of the optimal combination of credit assets, and let the theoretical model have more practical value. Finally, based on theory study, the paper puts theory into practice and sets up the optimal combination of credit assets in the commercial banks in our country.The research methods of the paper are mainly normative analysis and empirical analysis.In this article, the following categories of normative analysis may be used:(1) using risk neutral pricing method to calculate the default probability of credit assets in commercial banks,(2) using Lagrange multiplier method and the matrix derivation rule to confirm the specific proportion of each kind of assets in the optimal combination,(3) using "mean-variance model" and the covariance matrix to determine the optimal combination of credit assets. In the empirical analysis, this paper intends to use in the following categories:(1) based on the collection of statistical data, using Matlab software and Eviews software to determine the specific proportion of each kind of assets in the optimal combination,(2) qualitative analysis and quantitative analysis. This paper analyses the optimal combination by means of statistical data and model (qualitative analysis), and points out the current situation and existing problems in the credit asset portfolio in China’s commercial banks, then puts forward the countermeasures and suggestions of optimizing the credit asset portfolio in China’s commercial banks, and points out the direction of credit assets structure optimization (quantitative analysis).The study of credit portfolio optimization in China’s commercial bank in this paper is divided into six parts:The first chapter is the introduction. Based on the problems emerging in credit assets management in China’s commercial banks, this paper points out that credit assets management needs to be improved in China’s commercial banks, then, this paper introduces the research status, theoretical significance, realistic significance in the study of credit portfolio, and the research methods and the main innovation of this paper.The second chapter introduces the theoretical foundation. the paper reckons that the study of credit portfolio optimization in commercial banks has guiding significance to the reality. But most of this study is still at the theoretical level, not putting them into practice.The third chapter analyses the current status of credit assets management in commercial banks. This section briefly describes the credit assets management in China and its historical changes. From the comparison of corresponding data, this paper analyses a series of problems existing in credit assets management in China’s commercial bank, then put forward the idea of using credit portfolio to manage the credit assets. At last, this part analyses the necessity of establishing the optimal combination of credit assets.The fourth chapter is the theoretical derivation of optimization model of credit portfolio in commercial banks. This part of the research results on the KMV model, determining the default probability using the data collecting from the debtor’s financial statements. At the same time, this part confirms the default loss using risk neutral pricing method, based on the law that the credit assets have the nature of options. In the conditions of credit assets optimization, the unanticipated loss of a single credit assets and credit portfolio can be determined. Finally, using Lagrange multiplier method, this paper confirms the optimal combination, whose income is the largest while the risk is minimal. The paper establishes the optimal combination of credit assets and the specific proportion of each kind of assets in the optimal combination.The fifth chapter is the inspection of optimization model of credit portfolio in commercial banks. This part collects the financial statement data of the listed companies and commercial banks, then verifies the reliability of the models.The sixth chapter puts forward to the countermeasures and the suggestions to optimize credit portfolio in China’s commercial banks.