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Date of Publication:2006-01-01

Journal:系统工程理论与实践

Affiliation of Author(s):经济管理学院

Volume:26

Issue:7

Page Number:66-76

ISSN No.:1000-6788

Abstract:Based on Monte Carlo simulation and the CroditMetrics method,
   considering the constrain on VaR, laws, regulations, and operation,
   using portfolio profits maximum of bank＇s assets as objective function,
   the optimal model of asset-liability-management is set up, in order to
   provides decision- making method for bank＇s risk management. The
   characteristics lies on four aspects： Firstly, It makes the data needed
   more reasonable by using Monte Carlo simulation to forecast the earning
   rates year-by-year and then figure up the average earning rates and mean
   square deviations. Secondly, the risk of loan distribution is limited
   within given ranges of bank＇ s risk tolerance ability and reserve funds
   by the arrangement on using VaR constrain. Thirdly, the loan＇ s yields
   of historical data on individual enterprise are used to get the
   correlation coefficient between different loans, and get portfolio
   deviation, and then the yields correlation among different loans is
   reflected directly. Finally, the portfolio strategy is being made to
   meet the practical demand of banks supervise and management, by using
   constraints of asset-liability-management ratios, Basel protocol and
   laws.

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