Dynamic Optimization Model Of Loan Portfolio For Commercial Banks

Loan of commercial banks is a major source of profit for the bank’s traditional business, and itmay bring credit risk, management of commercial banks has been focused on the credit risk.Thefinancial institutions would lost great losses Once credit risk brought, and even lead to other risk,such as liquidity risk, even lead to financial crisis. the Basel Committee control the minimumcapital as the first pillar for the risk management of financial institutions, while the credit riskcapital is the total capital of70%。Loan portfolio management has a significant impact on the competitiveness and profitabilityof banks, loan portfolio of commercial banks is primarily due to asset allocation unreasonableproduced, most of banks focus only on the benefit of the loan portfolio and ignores the risksinherent in, but in the real life,ignoring credit risk has seriously hampered the stability anddevelopment of commercial banks, so multi-dimensional analysis the commercial banks ofoptimization problems has become the focus of the current academic and financial institutionsconcerned.In this paper, we put commercial bank loan portfolio optimization as a starting point, in thecase without considering the risk of migration optimized single loan portfolio of commercial banks,and multi-configuration the loan portfolio of configuration, at last, in consideration of the loanportfolio risk migration configuration optimization problem.This thesis is divided into three levels, the first level is consists of the first chapter and thesecond chapter, the first chapter describes the basis of selection、process and methods. the secondchapter is commercial bank loan portfolio optimization theory; the second level is the progressivelayers of loan portfolio optimization model, including the third chapter: A Portfolio LoanMean-CVaR Model for Commercial Banks Copula function, the fourth chapter: Multi-periodDynamic Optimization Mean-CVaR Model of Loan Portfolio for Commercial Banks: The researchBased on Copula Theory, the fifth chapter: Multi-period Dynamic Optimization Mean-CVaRModel of Loan Portfolio for Commercial Banks:The research Based on Credit Risk Transfer.thethird level is the conclusions and outlook, including the sixth chapter. The main contributions of the thesis are as follows:(1) under the conditions of different typesof loans enterprises with different types of loan distribution how to build the credit risk of jointprobability distribution model (2) because the condition of non normal distributions the VaR isnot a consistent risk measure, even is not weakly consistent risk, thus, with VaR cannotsatisfysubadditivity and convexity, how to measure the risk measurement.(3) different interval loanbusiness loss rate is not the same, the entire corresponding loans interval overall loss rate is notthe same, in the different intervals,how to taking into account all the loans Interval ofminimizing the overall loss.