基于下偏度最小化贷款组合优化模型

Abstract

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

CLC Number:

F830.33/O224

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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Optimization Model of Downside Skewness Minimum on Loans Portfolio

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