教授 博士生导师 硕士生导师
性别: 男
毕业院校: 大连理工大学
学位: 博士
所在单位: 金融与会计研究所
学科: 管理科学与工程. 投资学. 会计学
办公地点: 大连理工大学经济管理学院D座535室
联系方式: 0411-84707374
电子邮箱: chigt@dlut.edu.cn
email : chigt@dlut.edu.cn
办公电话 : 0411-8470 7374
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发表时间: 2009-01-01
发表刊物: 系统管理学报
期号: 3
页面范围: 276-283,301
ISSN号: 1005-2542
摘要: 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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