| The difference between the loan interest income and the deposit interest expense of the commercial bank is the main source of income of the bank.The combination of the loan portfolio is very important to the bank,which is related to the survival and development of the bank.Now,with the gradual improvement of interest rate liberalization,deposit and loan spreads are gradually narrowing,so the loan decision more caused by the bank's attention,loan mismatch once mistakes,will bring immeasurable loss to the bank.Banks have been affected by macroeconomic downturns and structural adjustment since 2014,the real economy is sluggish,and the credit demand is insufficient,leading to a rise in the bank's NPL ratio.By the end of 2016,China's commercial bank's non-performing loan ratio of 1.8%,up0.13 percentage points over last year.Therefore,it is of great significance to study the combination of commercial bank loan portfolio.Reasonable and effective loan portfolio configuration can make the bank in the net gain the maximum conditions,to avoid the risk of unreasonable control of the loss.The loan portfolio optimization model is essentially a bank and other financial institutions within the scope of risk control to achieve the maximum net income as the goal,planning to solve the optimal proportion of loan allocation,so as to provide feasible ideas for bank loans to reduce the bank due to loan failures.The existing research in the construction of the loan portfolio optimization model,only through the different period of the loan portfolio yield variance to minimize the control,while the neglect of the industry and the two factors together affect the loan portfolio yield,different industries,different deadlines The impact of the loan portfolio risk on the bank's risk is huge;Second,the existing research only the historical rate of return of the loan and the expected rate of return as a constant,can not reflect the trend of future risk changes;Third,ignoring the huge amount of loans on the loan portfolio risk great influence.This paper consists of four parts.The first chapter mainly discusses the topic selection and the background of all the loan portfolio optimization models based on the different risk control of different industries and different periods.The main research problems of the domestic and international research on the bank loan portfolio optimization,the main problems existing in the existing research and the problems the paper expatiates on the contents and framework of the research,and summarizes the main innovative features of this study.The second chapter discusses the four principles,the principle of interval number calculation and sorting,the principle ofbelow-mean semi-variance,Industry and duration of the loan allocation principle and the existing and incremental overlay of all the loan risk principle and a total asset and liability optimization theory based on superposition risk control between existing and incremental portfolio,Which provides the theoretical basis for the construction of the following loan portfolio optimization model.The third chapter mainly discusses the basic steps of the model construction,and establishes the constraint conditions of the loan below-mean semi-variance and the industry concentration risk control based on the stock and the incremental industry and the time limit according to the steps of the model construction.The net income of the incremental loan is the objective function,and finally the loan portfolio optimization model based on the industry and the time limit risk control is constructed.The fourth chapter based on the historical loan yield of five kinds of industries and the expected loan yield,the chapter discusses the optimal model of the loan portfolio based on the industry and term below-mean semi-variance under the third chapter.The proportion of the optimal loan allocation is compared with the model of the only consider the incremental industry and the maturity of the expected rate of return of the loan portfolio model,and the superiority of the model is judged.The main innovations and characteristics of this paper are two:First is based on the existing and incremental industry portfolio under the principle of partial risk.Based on the same period,the portfolio risk model of the same industry is the same as that of the incremental assets.The asset portfolio risk model of different industries is changed,and the existing assets are changed based on the incremental assets and the inventory assets are neglected,providing a new train of thought.The second,the range of historical loan yield and the expected loan yield of industries and periods are expressed in the form of intervals.Through the idea that the historical loan yield is lower than the expected loan yield for the actual risk of the bank,the establishment of the interval down risk expression based on industries and periods changes the existing research only regard the asset yield as a constant and only controls Portfolio yield variance is minimal and can not make asset allocation more responsive to future changes. |
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