管理评论

管理评论 ›› 2021, Vol. 33 ›› Issue (7): 3-15.

• 经济与金融管理 •    下一篇

基于非预期损失非线性叠加的新增贷款组合优化模型

迟国泰1, 于善丽2,3   

  1. 1. 大连理工大学经济管理学院, 大连 116024;
    2. 中国人民银行金融研究所博士后科研流动站, 北京 100800;
    3. 银行间市场清算所股份有限公司, 上海 200002
  • 收稿日期:2018-05-22 出版日期:2021-07-28 发布日期:2021-08-02
  • 作者简介:迟国泰,大连理工大学经济管理学院教授,博士生导师,博士;于善丽,中国人民银行金融研究所博士后科研流动站与银行间市场清算所股份有限公司联合培养博士后,博士。
  • 基金资助:
    国家自然科学基金重点项目（71731003）；国家自然科学基金面上项目（72071026；71873103；71971051；71971034）；国家自然科学基金青年项目（71901055；71903019）；国家社会科学基金重大项目（18ZDA095）；中国博士后科学基金项目（2018M641578）。

Incremental Loans Portfolio Optimization Based on Nonlinear Superposition of Unexpected Loss

Chi Guotai1, Yu Shanli2,3   

  1. 1. School of Economics and Management, Dalian University of Technology, Dalian 116024;
    2. Postdoctoral Research Station, Financial Research Institute, People's Bank of China, Beijing 100800;
    3. Shanghai Clearing House, Shanghai 200002
  • Received:2018-05-22 Online:2021-07-28 Published:2021-08-02

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摘要： 研究目标：控制银行"存量+增量"全部贷款的非预期损失风险，优化银行贷款配置，提高银行贷款收益。研究方法：基于非预期损失非线性叠加原理，以"存量+增量"全部贷款的风险调整资本收益率RAROC最大为目标函数，以"存量+增量"全部贷款的经济资本小于等于银行经济资本限额为主要约束，采用0-1规划来配置新增贷款，建立了基于非预期损失非线性叠加的新增贷款组合优化模型。研究结果：银行进行贷款配置时，必须要考虑"存量+增量"全部贷款的非预期损失。研究创新：一是通过建立存量贷款非预期损失、增量贷款非预期损失与全部贷款的非预期损失之间的非线性函数关系，得到"存量+增量"全部贷款的非预期损失，改变了计算非预期损失时仅立足于新增贷款而忽略了存量贷款非预期损失的弊端。二是以"存量+增量"全部贷款的风险调整资本收益率RAROC最大为目标函数，确保了银行"存量+增量"全部贷款的调整资本收益率最大的同时，非预期风险最小，改变了贷款配置时仅立足于增量贷款，而忽略存量贷款的弊端。三是以"存量+增量"全部贷款的经济资本小于等于银行经济资本限额为主要约束来控制银行整体风险可承受，改变了现有研究忽略全部贷款经济资本控制的弊端。

关键词: 存量贷款, 增量贷款, 全部贷款, RAROC, 组合优化

Abstract: Research Objectives:Controlling the unexpected loss risk of all loans, and optimizing bank loan allocation. Research Methods:Based on the principle of nonlinear superposition of unplanned losses, with the maximum RAROC of all "stock + incremental" loans as the objective function, the economic capital limit of all "stock + incremental" loans as main constraint and 0-1 planning used to configure new loans, this paper establishes an optimization model based on nonlinear superposition of unexpected losses. Research Findings:Banks should pay more attention to unintended losses of all loans when allocating their loans. Research Innovations:First, we get unexpected losses of total loans by establishing the nonlinear function between unexpected losses of existing loans and incremental loans, which is an improvement to the existing researches that ignore unexpected losses of existing loan. Second, we use RAROC maximum of bank's total loans as objective function to ensure both RAROC maximum and risk minimum of bank's total loans, which is anohter improvement to the existing researches that ignore existing loan and opens up a new idea of the optimal allocation of incremental loans. Third, using economic capital of total loans less than or equal to bank's economic capital limit as constraint to control risk, we overcome the drawback of existing researches that ignore economic capital of all loans.

Key words: existing loan, incremental loan, unexpected loss, RAROC, portfolio optimization