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Date of Publication:2009-01-01

Journal:系统管理学报

Issue:3

Page Number:276-283,301

ISSN No.:1005-2542

Abstract:Introducing credit risk transfer to calculate loan yield and introducing Conditional Value at Risk to measure loan's portfolio risk, the loan's portfolio optimization model of CvaR minimum based on credit risk transfer is set up.The contribution of the model is firstly that the CVaR of consistency risk calculation parameter is used instead of VaR, so the extremity loss of loan's portfolio is controlled.Secondly, the influence of credit risk transfer on the return rate standard deviation is reflected in the model, and the real risk of loan is reflected more impersonally, thus the problem to only calculate individual loan's yield whereas neglecting the credit transfer in the current topic is solved. Tirdly, through law constrain, we control the liquidity risk to avoid the liquidity hazard of asset allocation to guarantee the allocation legal and operational.

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