基于稳定分布的多目标全部贷款组合优化模型

贷款业务是商业银行最主要的资产业务,其利息收入是商业银行最重要的利润来源,而贷款利息收入水平取决于商业银行贷款配置的合理性.本文针对贷款收益率具有的偏态、过度峰态及厚尾特性,建立了基于稳定分布的多目标全部贷款组合优化模型.本文的创新与特色一是在稳定分布情况下考虑收益和尺度参数的基础上,通过追求贷款组合的偏斜指数最大使分布向大于收益率均值方向偏斜来提高贷款组合的超额收益,弥补了现有研究忽略偏度的弊端.二是同时考虑了包括"存量"与"增量"在内的全部贷款组合的风险,改变了流行的现有研究对于巨额"存量"贷款风险缺少控制可能引发重大损失的弊端.三是将现有研究在主观给定贷款组合收益下单纯地控制贷款组合风险完善为同时控制贷款组合风险和收益的"均值-尺度参数-偏斜指数"多目标全部贷款组合优化模型,满足了银行对风险和收益的不同偏好,达到了既控制风险、又追求效益的风险与收益兼顾的目的.

Multi-objective loan portfolio optimization model based on stable distribution

Loan service is the most important asset business of commercial banks. The interest income of loan service is the most important source of profit for commercial banks. The level of loan interest income depends on the rationality of commercial bank loan allocation. Aiming at the skewness, over-kurtosis and thick tail characteristic of loan rate of return, this paper establishes a multi-objective all loan portfolio optimization model based on stable distribution. The first of the innovation and characteristic of this paper is that on the basis of considering the income and scale parameter under the stable distribution, by pursuing the largest skewness index of the loan portfolio, the distribution is biased to the excess of the yield average to increase the excess return of the loan portfolio, which makes up for the shortcomings of the existing research to ignore the skewness. Second, taking into consideration the risks of all loan portfolios including "old" and "increment" at the same time, it changed the drawbacks of the existing research in the current context that heavy losses may be caused by the lack of control over the huge "old" loan risk. Thirdly, the existing research simply perfects the loan portfolio risk under the subjective given loan portfolio benefit as the multi-objective all loan portfolio optimization model that simultaneously controls the loan portfolio risk and return, achieving both the control of risk and the pursuit of efficiency with the purpose of both risk and benefit.