| 基于Copula函数的贷款组合期限结构优化模型及其应用 |
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| 引用本文： | 程艳荣,栾长福,田秋荣.基于Copula函数的贷款组合期限结构优化模型及其应用[J].科学技术与工程,2009,9(22). |
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| 作者姓名： | 程艳荣 栾长福 田秋荣 |
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| 作者单位： | 华南理工大学理学院数学系,广州,510640 |
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| 基金项目： | 国家自然科学基金项目（面上项目，重点项目，重大项目） |
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| 摘 要： | 将Copula函数应用于银行贷款组合期限结构优化模型上,进行实证分析.指出基于Copula函数的贷款组合期限结构模型解决了贷款组合的流动性风险控制问题.更好地反映了贷款组合的真实风险,兼顾了资产组合的收益与市场风险的暴露.
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| 关 键 词： | 贷款组合 组合优化 |
| 收稿时间： | 8/3/2009 8:30:27 PM |
| 修稿时间： | 8/21/2009 1:51:38 PM |
The Model of Loan Portfolio Optimization for Commercial banks Basing on Copula Function and Its Application |
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| chengyanrong,luanchangfu and tianqiurong.The Model of Loan Portfolio Optimization for Commercial banks Basing on Copula Function and Its Application[J].Science Technology and Engineering,2009,9(22). |
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| Authors: | chengyanrong luanchangfu and tianqiurong |
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| Institution: | South China Uuiversity of Technology,Industrial and Commercial Bank of China |
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| Abstract: | This article applies Copula function to loan portfolio optimization model for commercial banks,carries on the real diagnosis analysis,points out the loan portfolio term structure model basing on Copula settles the liquidity risk of loan portfolio control problem,preferably reflects the real risk of loan portfolio, at the same time considers profit of asset portfolio and exposure to market risk. |
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| Keywords: | Copula |
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