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发表时间：2012-01-01

发表刊物：运筹与管理

所属单位：经济管理学院

卷号：21

期号：6

页面范围：189-196

ISSN号：1007-3221

摘要：This paper builds a loan interest rate factor model and a RAROC factor model to reflect RAROC ’s vol-atility risk from macroeconomic factors.Thereafter, in order to realize a loan collocation method which combines controlling risk and promoting regional economic development , this paper builds a multi-objected loan allocation model from the perspective of contribution rate to economic growth , with the following objects: (1)minimizing RAROC’s volatility; (2)maximizing the contribution rate of loan allocation to economic growth ; (3)minimizing the difference between loan portfolio and regional economic structure .Finally, this paper utilizes the data of a bank to do an empirical research and stress tests , not only providing a reasonable interval of the bank ’s targeted RAROC, but also finding that the higher the targeted RAROC , the greater the portfolio risk and the more obvious the concentration trend of capital allocation , on one hand.On the other one hand, real estate department has the biggest influence on the bank ’s risk, and industrial department of stable development helps promote the contri -bution rate of loan allocation.

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