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以银行各项资产组合收益率最大化为目标函数,以VaR来控制贷款组合的风险价值,以偏度约束来控制贷款组合收益率的整体分布向大于均值的方向倾斜、以减少发生总体损失的单侧风险,以峰度来控制贷款组合收益率分布出现极端情况的双侧风险,建立了资产分配的收益率均值-方差-偏度-峰度模型.本模型的创新与特色是通过峰度约束控制了贷款组合收益率向极端损失偏离的程度.在马可维茨均值-方差模型的基础上,增加了偏度和峰度参数,建立了收益率均值-方差-偏度-峰度模型.模型通过方差约束,控制了组合收益率偏离均值的离散程度:通过偏度约束,控制了组合收益率总体分布向损失一侧偏离的程度:通过峰度约束,控制了组合收益率出现极端损失或收益的可能性.模型从多个角度控制了贷款组合的风险,拓展了经典的均值-方差优化组合思路.
With the objective of maximizing the yield of each portfolio of the bank, VaR is used to control the VaR of the loan portfolio and the skewness control is used to control the overall distribution of the loan portfolio’s yield to be larger than the mean to reduce the total loss Unilateral risk, the extreme risk is controlled by the kurtosis, and the mean-variance-skewness-kurtosis model of asset allocation is established.The innovation and characteristic of this model is that the kurtosis Constraints control the extent to which portfolio returns deviate from extreme losses.On the basis of Markovian mean-variance model, skewness and kurtosis parameters are added, and the mean-variance-skewness-kurtosis model is established. Through the variance constraint, the dispersion of portfolio returns from the mean is controlled: the skewness constraint controls the extent to which the overall distribution of portfolio returns deviates from the loss side: the kurtosis constraint controls the extreme loss or return of the portfolio yield The model controls the risk of loan portfolio from multiple perspectives and extends the classical idea of combination of mean-variance optimization.