基于信用等级修正和半绝对离差风险的银行资产组合优化模型

用峰度和偏度对企业信用等级转移的阈值进行修正,引入了半绝对离差方法衡量贷款组合风险,建立了基于信用等级修正和半绝对离差风险的银行资产组合优化模型.其创新与特色主要有二:一是用企业各自收益率的峰度和偏度对正态假定下企业信用等级转移对应的阈值进行修正,改变了现有研究把本来是非正态分布的企业收益率按照正态分布来确定其企业信用等级阈值的不合理现象,提高了贷款组合风险的计量精度.二是将半绝对离差方法引入到贷款组合风险度量中,解决了现有研究以方差或绝对离差表征风险、将高于期望收益的超额收益部分当作风险处理的问题,使贷款组合收益风险量化更为真实准确.

A Portfolio Optimization Model of Banking Asset Based on the Adjusted Credit Grade and the Semivariance Absolute Deviation

Using Skewness and Kurtosis to adjust critical number of firm's credit grade migration,using Semivariance Absolute Deviation method to measure loan portfolio risks,a portfolio optimization model of banking asset based on the adjusted credit grade and the semivariance absolute deviation is set up.The characteristics of this paper lie on two aspects: Firstly,this paper adjusts critical number of firm's credit grade migration of the normal distribution supposition with Skewness and Kurtosis,so it changes the unreasonable phenomena which taken abnormal distribution yield as normal distribution while deciding critical number of firm's credit grade.The measure precision of loan portfolio risk is improved.Secondly,this paper introduces the Semivariance Absolute Deviation method to measure the loan portfolio risk.It changes the unreasonable idea of taking "excess profit" as the risk in Deviation or Absolut Deviation method of current research.It measures the loan portfolio risk more accurate.