| 基于加权风险收益的中小科技企业贷款组合优化决策模型 |
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| 引用本文： | 宋元涛,辛欣,黄钧,阮飞. 基于加权风险收益的中小科技企业贷款组合优化决策模型[J]. 数学的实践与认识, 2010, 40(14) |
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| 作者姓名： | 宋元涛 辛欣 黄钧 阮飞 |
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| 基金项目： | 国家自然科学基金，中科院研究生院院长基金 |
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| 摘 要： | 建立了基于加权风险收益的中小科技企业贷款组合优化决策模型.该模型依据贷款组合单位风险权重收益最大的基本思想、结合科技企业特点、国家对科技企业扶持的政策等,采用CreditRisk+模型测量风险,有效地控制了对科技企业贷款的风险,为科技企业贷款决策提供了选择方法.
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| 关 键 词： | 中小科技企业 加权风险 贷款组合优化 CreditRisk+模型 |
Research on Loans Portfolio Optimization for Middle-small High-technology Industry |
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| SONG Yuan-tao,XIN Xin,HUANG Jun,RUAN Fei. Research on Loans Portfolio Optimization for Middle-small High-technology Industry[J]. Mathematics in Practice and Theory, 2010, 40(14) |
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| Authors: | SONG Yuan-tao XIN Xin HUANG Jun RUAN Fei |
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| Abstract: | In this paper,we present a loans portfolio optimization model for High-technology industry.This model is based on maximizing the unit risk-weighted portfolio returns,consider features of technology companies,the state policy of support for high-technology industry and so on,using CreditRisk+models measure risk.At last,numerical studies reveal the effectiveness of our model. |
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| Keywords: | High-technology industry weighted-risk loans portfolio optimization CreditRisk+model |
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