| 基于综合风险约束的贷款组合优化决策模型 |
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| 引用本文： | 迟国泰,朱战宇,徐琤.基于综合风险约束的贷款组合优化决策模型[J].大连理工大学学报,2000,40(2):245-248. |
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| 作者姓名： | 迟国泰 朱战宇 徐琤 |
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| 作者单位： | 大连理工大学,管理学院,辽宁,大连,116024 |
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| 基金项目： | 国家自然科学基金资助项目 !(79770011)，加拿大国际开发署(CIDA)中加大学与产业合作项目! (CCUIPP) |
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| 摘 要： | 信贷风险是银行经营中的主要风险 ,贷款风险组合优化是信贷管理中最常见的决策 .分析了国内外同类研究的缺陷 ,提出了反映贷款风险组合优化规律的决策原则 ,并以 0 1型整数规划为工具 ,以综合贷款风险度为约束条件 ,建立了贷款风险组合的优化决策模型 .在进一步实例分析和对比分析基础上 ,探讨了这种模型的特点 ,为信贷风险的组合配给提供了科学的决策方法
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| 关 键 词： | 整数规划 决策 贷款风险 综合风险约束 组合优化 |
Decision-making model of loan portfolio optimization based on comprehensive risk restriction |
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| CHI Guo-tai,ZHU Zhan-yu,XU Cheng.Decision-making model of loan portfolio optimization based on comprehensive risk restriction[J].Journal of Dalian University of Technology,2000,40(2):245-248. |
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| Authors: | CHI Guo-tai ZHU Zhan-yu XU Cheng |
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| Abstract: | Credit risk is one of the major risks in banking operations. Therefore, loan\|risk portfolio optimization is important to decision\|making in the credit management. Having analyzed the defects of the relevant researches at home and abroad, this paper puts forward the decision\|making principles reflecting optimization laws of loan\|risk portfolio, and sets up a decision\|making model of portfolio optimization by means of 0\|1 integer programming and the restricting term on comprehensive degree of loan risk. With the practical and comparative analysis, the advantages of this model are discussed and a scientific method for credit\|risk management is provided. |
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