Dissertation > Excellent graduate degree dissertation topics show

Optimal Model of Bank’s Loans Portfolio Based on the Constraint of Value at Risk

Author: WuShanShan
Tutor: ChiGuoTai
School: Dalian University of Technology
Course: Industrial Economics
Keywords: Loan portfolio Portfolio risk Optimization Model Value at Risk Linear completeness transform
CLC: F830.5
Type: Master's thesis
Year: 2006
Downloads: 274
Quote: 0
Read: Download Dissertation

Abstract


Banks operating in an important decision is to optimize the structure of the loan portfolio , to hold a yield as high as possible and as small as possible , the risk of the loan portfolio . Credit risk of commercial banks has been a serious problem in China's banking sector development , study of loan portfolio optimization model can optimize the allocation of risk control of commercial banks as well as the loan portfolio structure to provide decision support , has important practical significance . This article is divided into five chapters , the first chapter of the development process and the research status of the loan portfolio theory ; the second chapter, the basic principles of the bank loan portfolio risk constraint - based optimization modeling , portfolio optimization model provides a theoretical basis ; the Chapter bank loan portfolio optimization model , a model for the establishment of the management of the loan portfolio of commercial banks in China ; fourth chapter, use the model instance ; Chapter Conclusion . The focus of this study has two main aspects : First , determine the yield of the banks' loan portfolios VaR limits ; determine the yield of the loan portfolio choice . Specific performance using linear the incomplete transformation method , the minimum of the objective function to the risk of the loan portfolio , loan portfolio expected return rate constraints modeling . This article features and innovative performance in the following three aspects : First , determine the rate of return on bank loans selected range . A complete transformation method to determine the rate of return on bank loans selection using linear solve the previous studies , the yield of the loan portfolio to determine unreasonable , a result of the optimization of the decision-making model no solution to the problem ; solve complex constraints case can not be solved loans optimal proportion of the problem. The second is to determine the risk value of the loan portfolio yield constraints . Model according to the principle of bank risk tolerance , risk value of the loan portfolio yield constraints control portfolio risk loans rationing . Establish effective boundary of the loan portfolio . According to the Bank given the risk of yield minimum principle , the establishment of the loan portfolio efficient frontier , to solve the bank can not be flexibly adjusted loan portfolio to ensure that the loan yield risk minimization problem .

Related Dissertations

  1. A Smoothing Method for Solving Model under WCVarR,O224
  2. Copula-EGARCH-Kernel Density Estimation Model and Its Application,O211.3
  3. Ecological Risk Assessment of Marine Gastropod Mollusks Population,X174
  4. Based on Genetic Algorithm Pishihang irrigation canal water allocation marshalling model of,S274
  5. Government Decision Support System of Industrial Economics,TP311.13
  6. Research on the Marshalling-scheduling Model and Algorithms of Freight Trains Based on Game Theory,O225
  7. Campus Service Facility Location Problem Research and Evaluation Modeling,G47
  8. Bank Operational Risk Measurement Approach System Realization,TP311.52
  9. Based on GARCH Model Method of VAR in securities investment funds in the application and analysis,F830.91
  10. The Research on Intelligent Methods of Power Transformer Fault Diagnosis,TM41
  11. A Study on Risk Spillover Effect of Copper Futures Between LME and SHFE,F713.35;F724.5
  12. The Selection Method of Copula and Its Application,F832.51
  13. Empirical Research on Commercial Bank Credit Risks Assessment Based on Credit Metrics,F832.33
  14. The hydrometallurgy electrolysis process energy consumption optimization Control Research and application,TF813
  15. Optimization of railway station renovation project construction program,TU72
  16. Research on Risk Management of Insurance Fund Investment,F842
  17. Reactive Power Optimization Considering the Cost Control,TM714.3
  18. Research on Structure Optimization of Regional Transport on the Basis of Supply and Demand Game of Modern Marketing,F512.7
  19. Semi-Parametric Analysis and Risk Measure Based on Financial Time Series,F832.51
  20. Value at Risk Theory and Its Application in Investment-oriented Life Insurance,F224
  21. The Optimization Research on the Line Connection between Urban Rail Transit and Conventional Bus,U12

CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Credit
© 2012 www.DissertationTopic.Net  Mobile