Loan Portfolio Optimization Model Based On Increment And Stock Credit Risk Migration

Bank has always been the pillar of China's financial sector strength,the core part of the national economy.By the end of the fourth quarter of 2016,The total foreign currency assets of Chinese Banks and financial institutions are 232.3 trillion yuan,the scale of banking assets and liabilities has grown up steadily.The main way Banks make money is by the spread of deposits and loans.However,till the end of the fourth quarter of 2016,commercial Banks non-performing loan balance is 1.5123 trillion yuan,commercial Banks non-performing loan ratio is 1.74%.Thus you can see,The study of bank lending risk control is still critical.The main risk to commercial bank loans is the credit risk,namely enterprise due to reasons such as mismanagement cannot complete servicing behavior.Therefore,the optimization of loan portfolio for bank credit risk is still one of the core problems of bank researchIn theory,portfolio theory has been a hot issue in the forefront of science.The loan allocation should not only consider the credit risk transfer of the incremental loan portfolio,but also the overall credit risk transfer,including the large stock loan portfolio.Because the latter is more and more risky.The focus of this article:One of the key points in this paper is how to measure the non-linear risk overlay of incremental loans and stock loans.Existing research in the application of the theory of "the mean-variance" loan portfolio optimization,is generally ignored in new loans and related nonlinear relationships between stock of loans,there is an underestimation of the overall risk of the loan..Banks tend to make new loans with only credit risk ratings for new loans,while ignoring the risk of large stock loans.Another focus of this research is on how to construct the relationship between the expected return of the loan and the credit transfer,and thus the credit risk of the overall loan.Existing research in the increment and stock control thinking,without considering the credit risk and the possibility of credit risk change in the last period,but the problem of bank credit risk management is very important.Every time a bank increases a new loan,the credit status of a large stock loan may be different,and the credit rating is likely to change.The third focus of this research is existing research problems of the VaR theory is that VaR can not added in sub-assembly,In the application of VaR model,banks can not measure the risk of the loan,according to the results of these two estimates of overall lending risk value.The innovation and features of this reserch:One of the innovation and features of this article is by building a stock portfolio risk ?i combined with incremental risk ?j nonlinear superposition ?p=f(?i,?j)function relation,control is established,including stock portfolio and incremental all loan portfolio optimization model of risk value contribution.Change the current study only based on the incremental risk,ignore the huge stock of risk control.The other is by building the credit risk of the migrated yields a discrete function relationship with the loan portfolio risk,establish the risk value contribution and the internal relations of credit risk transfer,the optimization model of constraint condition and objective function not only reflect the incremental loan portfolio,and reflects the huge,outstanding stock portfolio credit risk transfer effect on the total loan portfolio risk.The composition of the structure of this paper:This paper consists of five chapters,the first chapter is "introduction",mainly introduced the research background and research significance of this study,this paper introduces the overall credit risk transfer and the loan portfolio optimization model of related theory research present situation,including the theory of mean-variance,the VaR theory,theory of credit risk,income risk portfolio optimization theory,and increment of stock control theory.And on the basis of the research status quo of the existing problems and solution are put forward.The second chapter is "the basic principle of Loan Portfolio Optimization Model Based on Increment and Stock Credit Risk Migration ",this paper mainly introduces ideas related to solve the core of this study of the principle of "mean-variance” model,the incremental nonlinear superposition principle,the stock of loans based on the principle of risk control VaRC,credit risk transfer principle.The third chapter is " based on overall credit risk transfer model ",through the credit transfer matrix to calculate the expected return of stock of incremental loans through VaRC model unit risk and return is the largest of the objective function is established,at the same time constraints is constructed,the establishment of a complete portfolio optimization model.The fourth chapter is " application ",according to a 10-year yield data bank and stock loan and incremental information,application model built in this paper the selection of new loans,the present model results,and summarizes the analysis,comparison and analysis.The fifth chapter is “the conclusion and characteristic ",summarizes the main conclusion of this model,as well as the main characteristics and innovation of this article.