欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
应用资本资产定价模型中的单因子模型表达贷款收益和风险函数,以不同行业贷款组合后的总体风险最小化为目标,运用非线性规划方法建立了基于组合贷款总体风险优化的行业贷款分配模型。通过负相关行业的风险对冲,避免了选择单个或少数行业进行贷款所导致的、当该行业不景气时的系统性风险对贷款质量的影响,降低了贷款组合的系统性风险。从组合贷款总风险中分离出系统风险和非系统风险,并通过实例验证行业组合可以降低系统性风险,显示通过行业组合可以部分地抵消由于行业自身所产生的系统性风险。
英文摘要：
On the single factor model of CAPM, this research builds a total risk optimal model, where the objective is to minimize the total risk of loan portfolio under constrain of setting expect return. we build a portfolio loan total risk control model. The character and innovation of the model is firstly the total risk optimal model analyzes the affect of the systematic and unsystematic risk on the commercial bank loan portfolio, so the description of the financial assets portfolio will be solved. Secondly, the aim for apart the systematic and unsystematic risk from the total risk is to eliminate the unsystematic risk by adding loans from different industry and area, which will satisfy the principle of safety of commercial bank. Thirdly, we set the expect return, it can effectively apart the less return loan portfolio, so the loan return will be enlarge since the present loan of commercial bank won＇t be increased, which will principle of profitable of commercial bank.
同期刊论文项目
同项目期刊论文
期刊信息
位置：