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