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基于综合风险收益的贷款组合优化决策
引用本文:姜灵敏.基于综合风险收益的贷款组合优化决策[J].数理统计与管理,2005,24(6):84-88.
作者姓名:姜灵敏
作者单位:广东外语外贸大学信息学院,广州,510420
基金项目:广东省自然科学基金(粤科基办[2003]07号)资助
摘    要:商业银行货款组合决策的过程,是遵循“效益性、安全性、流动性”的原则,在综合考虑贷款收益和风险的前提下,从众多的贷款对象中选择一组合适的贷款对象的过程。建立综合考虑贷款收益和风险的贷款决策模型,有利于银行通过量化计算进行科学决策,以提高信贷质量,达到商业银行的经营目标。

关 键 词:商业银行  风险收益  贷款组合优化
文章编号:1002-1566(2005)06-0084-05
收稿时间:2004-01-10
修稿时间:2004年1月10日

Decision-Making of Loans Portfolio Optimization Based on Principle of Maximum Risk Return
JIANG Ling-min.Decision-Making of Loans Portfolio Optimization Based on Principle of Maximum Risk Return[J].Application of Statistics and Management,2005,24(6):84-88.
Authors:JIANG Ling-min
Institution:School of Informatics, Guangdong University of Foreign Studies, Guangzhou, China,510420
Abstract:Decision-making procession of loans portfolio optimization in commercial bank is to choose a set of objects to allow credit and maximize the return in certain risk level,which follows the principle of "profitability,security and mobility".The paper builds a decision-making model of loans portfolio optimization based on synthesizing risk and return,which is beneficial for commercial banks to make decisions by quantifying methods,improve the quality of credit loans and achieve operation objective.
Keywords:commercial bank  risk return  loans portfolio optimization
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