商业银行集团客户统一授信额度的优化配置研究

doi:10.16381/j.cnki.issn1003-207x.2015.02.005

Abstract

Abstract: The enterprise group is the chief loan customer of commercial bank, and this situation lead up to that the default risk of enterprise group is particularly prominent for commercial bank. According to the structural model and the constraint of unified credit line, and based on multi-objective decision-making on management of default risk and loan revenue, a model of optimized allocating the unified credit line to the group customer of commercial bank under unification principle is put forward. A case analysis shows that it can get the optimized allocating unified credit line for each members of enterprise group by genetic algorithm under condition of setting different importance of each target. This method may help commercial banks to actively prevent credit risk of enterprise group.

Key words: credit line, structural model, enterprise group, default probability

CLC Number:

F832.33

CHEN Lin, ZHOU Zong-fang. Research on Optimized Allocating the Unified Credit Line of Group Customer of Commercial Bank[J]. Chinese Journal of Management Science, 2015, 23(2): 39-43.

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Research on Optimized Allocating the Unified Credit Line of Group Customer of Commercial Bank

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