基于信用风险修正的多阶段银行资产组合优化模型
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引用本文:孙滢,高岳林.基于信用风险修正的多阶段银行资产组合优化模型[J].经济数学,2011,(1):71-76
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作者单位
孙滢,高岳林 (北方民族大学 信息与系统科学研究所,宁夏 银川750021) 
中文摘要:从资产组合管理角度出发,用信用风险修正的方法对企业信用等级阈值进行修正,同时考虑商业银行持续经营的特点,将修正后的信用风险引入到多阶段的模型当中去,建立一个基于信用风险修正的多阶段银行资产组合优化模型.针对该模型的特点, 给出了把Monte Carlo模拟的动态算法和改进粒子群的多阶段算法相结合求解方法.数值试验表明所建立的模型是合理的且符合商业银行的实际操作要求,给出的方法是有效的和可行的.
中文关键词:多阶段资产组合  信用风险修正  风险价值(VaR)  Monte Carlo模拟  改进粒子群算法(APSO)
 
Multi Period Bank’s Asset Portfolio Optimization Model Based on the Adjusted Credit Risk
Abstract:From the management of asset portfolio, by adjusting the credit threshold value by Risk Migration, and considering the bank’s continuity principle, This paper established a multi period dynamic asset portfolio optimization model for banks,based on the adjusted credit risk. According to the model’s feature, we gave the method consisting of the dynamic algorithm based on the Monte Carlo simulation and an adaptive multi period particle swarm optimization algorithm. The numerical experiment indicates that the model is reasonable and the given method is effective and feasible.
keywords:multi period asset portfolio  adjusted credit risk  value at risk  Monte Carlo simulation  adaptive particle swarm optimization algorithm
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