Research On The Bank Branches Loan Portfolio Optimization

The new Basel Capital Accord has been promoted in the domestic banking sector, Chinese banks began to rethink the management theory and its assessment method. The continuous advance of the interest rate market maked an impact on the traditional income mode of China’s banking industry. Deposit and loan spreads narrowed further, how to break the bottleneck of excessive dependence on commercial bank loan interest income, enhance their core competitiveness, through the intermediary business innovation, intermediary business revenue to achieve. In today’s rapid economic development, capital cost should also become the focus of attention in banking operations.Based on the international and domestic development situation and the commercial bank’s request for its own development. The bank management to realize the rise from the micro level management to middle level management, realize the rational allocation of loan resources, seeking resources is in line with the benefit goal and meet the risk constrained optimal matching value, realize the sustainable development of the bank.In this paper, based on the relevant issues of the previous research, on the perspective of portfolio theory, the above issues are as follows:1. Construction of the return and risk of the multi-objective model:In order to reflect the true branch institutions operating conditions, making gain as the goal is to examine the economic benefits, making risk as the goal is to consider the risk control ability, two combination is from the actual conditions of a loan portfolio to maximize revenue, loan portfolio risk minimization of multi-objective function;2. Four constraint is added to the model:including the overall loan risk constraints. The constraints are constraints on the expected loss; concentration constraint, avoid excessive concentration of credit resources allocation; intermediate business income constraint, guide branches increased focus on the intermediate business income, increase the value of the intermediate business income; economic capital occupied constraint is non expected losses on the loan;3. Through the application of model checking its rationality:Making good use of a commercial bank branches’data in recent years, with the PSO algorithm, checking the rationality of the inspection model and the reference management suggestion for management.