基于下偏度最小化贷款组合优化模型

中国管理科学 ›› 2014, Vol. 22 ›› Issue (2): 32-39.

基于下偏度最小化贷款组合优化模型

刘艳萍¹, 曲蕾蕾²

1. 大连理工大学管理与经济学部, 辽宁大连 116023;
2. 山推工程机械股份有限公司, 山东济宁 272073

收稿日期:2012-03-29 修回日期:2012-12-06 出版日期:2014-02-20 发布日期:2014-02-18
基金资助:
教育部人文社会科学青年基金项目资助（09YJC790024）；国家软科学研究计划项目资助（2011GXQ4D039）

Optimization Model of Downside Skewness Minimum on Loans Portfolio

LIU Yan-ping¹, QU Lei-lei²

1. Faculty of Management and Economics, Dalian University of Technology, Dalian 116023, China;
2. Shantui Construction Machinery Co.Ltd, Jining 272073, China

Received:2012-03-29 Revised:2012-12-06 Online:2014-02-20 Published:2014-02-18

摘要/Abstract

摘要： 运用组合偏矩刻画信贷风险原理，以贷款组合下偏度最小化为目标函数，控制商业银行发生重大损失的概率；以组合风险价值VaR为约束条件，控制贷款组合的整体风险，建立基于下偏度最小化贷款组合优化模型。研究表明：下偏度不要求贷款收益服从正态分布，并能够很好地反映收益率分布的“左尾”，降低商业银行贷款组合发生重大损失的概率；同时下偏度可以真实反映贷款的本质，符合投资者的心理，并且可以反映多笔贷款之间的相关联系，解决现有模型的解析能力不足的问题。

关键词: 贷款组合, 组合优化, 下偏度, VaR约束

Abstract: Based on the theory that combination partial moment can depict credit risk, an optimization model of downside skewness minimum on loans portfolio is set up. Portfolio downside skewness minimum of profits is introduced as objective function to reduce the probability of great loss's occurrence of commercial bank,value at risk is seen as constraint of assets's risk to control the overall risk of loans portfolio. The result demonstrates that the downside skewness don't demand that the loan's yield is normal distribution. and it can not only reflect the "left rail" of the loan's yield primely, but also reduce the probability of serious losses of commercial bank. At the same time, measuring loans risk by the downside skewness could meet the investor's psychology, reflect the relationship among loans and resolve the problem that the existing model analytical ability of existing model is poor.

Key words: loans portfolio, portfolio optimization, downside skewness, value at risk

中图分类号:

F830.33/O224

刘艳萍, 曲蕾蕾. 基于下偏度最小化贷款组合优化模型[J]. 中国管理科学, 2014, 22(2): 32-39.

LIU Yan-ping, QU Lei-lei. Optimization Model of Downside Skewness Minimum on Loans Portfolio[J]. Chinese Journal of Management Science, 2014, 22(2): 32-39.

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