信贷风险管理的区间数参数模型及其应用

An Application of Parametric Programming Based on Interval Number in Risk Management of Commercial Bank

  • 摘要: 针对商业银行的风险与收益的不确定性,建立了基于区间数的参数规划模型。银行通过选择风险损失参数α,应用该模型即可确定出在风险/收益均衡状态下,不同风险信贷项目的最优组合投放权重,获得既定风险下的最大收益。最后,给出的算例表明了该方法对商业银行的信贷风险管理具有较强的应用价值。

     

    Abstract: A parametric programming based on interval number is proposed for the uncertainty risk and return. By selecting the risk parameters,commercial banks can get the optimum solution under the equilibrium of risk and return and can obtain the maximum return when risk is fixed. An example shows that the method is quite fit for credit risk management of commercial banks.

     

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