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发表时间： 2009-01-01

发表刊物： 管理评论

卷号： 21

期号： 6

页面范围： 17-30

ISSN号： 1003-1952

摘要： According to the risk monitor convention of the banking,this paper
   measures the loan risk with the integrated risk weight and establishes
   the functional relationship between the integrated risk weight of the
   incremental loan portfolio and that of the total loan
   portfolio.Regarding the maximal profit of the bank's total assets as its
   goal and controlling the integrated risk weight of total loan as a
   prerequisite,the paper sets up the optimization model of incremental
   asset portfolio based on the risk weight control of total loan
   portfolio.This model has three characteristics and
   innovations.Firstly,it proposes such a scientific question that when
   adding loan portfolio,the integrated risk weight of incremental loan
   portfolio and old loan portfolio is controlled at the same
   time.Secondly,it uncovers the internal relationship between the
   integrated risk weight of incremental loan portfolio and that of total
   loan portfolio.When the risk weight of incremental loan portfolio is
   controlled,the risk weight of total loan portfolio is also
   controlled.Thirdly,it introduces the integrated risk weight which is
   compatible with the banks' convention and uses it to measures loan risk.

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