基于模糊子集的贷款组合优化方法

遵照国际银行业大多数银行的做法,信用风险评估包括对债务人和债项两个方面.以模糊集理论为基础,通过试算与比较,构造隶属函数,对各指标进行无量纲化处理,建立距离判别函数,评估债务人信用风险.根据债项特征,考察风险四因素:违约概率,特定违约损失,违约敞口,期限,建立0-1整数规划模型,对债项进行风险评估,确定最佳贷款组合,以解决组合贷款的优化决策问题.

Optimal Method of Loan Portfolio Based on Fuzzy Set

According to professional practices most of the banks in the international banking adopt in, the credit risk assessment includes two part: an obligor's credit risk assessment and corresponding loaning program credit risk assessment. Based on fuzzy set theory, establish different membership functions (MFs) for special financial targets to make the targets data standard by calculation and comparison,consequently develop a distance Discriminant Function (DF) to evaluate the obligor's credit risk. Afterwards, examine the four factors of loaning program risk: PD, LGD, EAD, M, and establish 0-1 integer programming model to evaluate the loans program credit risk, thereby optimizing the loans portfolio and solving the issue on optimal decision-making of loans portfolio.