中文摘要：

本文以银行资产组合调整损失率的CVaR最小化为目标函数，以银行调整收益率的期望作为银行收益的下限约束，将企业信用风险转移矩阵引入到贷款损失率的计算中，建立了基于信用等级转移原理的商业银行贷款组合均值一CVaR动态优化模型，利用Copula函数描述各类企业贷款调整损失率的相关结构，并综合运用线性规划和Monte—Carlo技术得到商业银行贷款组合最优配置策略。

英文摘要：

Using adjust loss rate of CVaR minimize of banks as objective function, con- sidering the income lower limit constrain on the expectations of the bank＇ s portfolio income, introducing credit risk transfer to calculate loan yield, this paper established Multi -period Dynamic Optimization Mean -CVaR Model of Loan Portfolio for Commercial Banks based on Credit Risk Transfer has been set up. At last,this paper used copulas connect function to de- scribe the correlat/on between all kinds of loan enterprise adjust loss rate, and used linear programming and Monte Carlo simulation techniques to obtain the optimal allocation model.