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J4  2006, Vol. 3 Issue (6): 652-    DOI:
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A Portfolio Loan Dynamic Optimal Model for Commercial Banks
 HU Wen, DONG He-Chao, CHI Guo-Tai
Dalian University of Technology, Dalian, China

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Abstract  

According to backward induction principle and no-linear programming, a portfolio loan dynamic optimal model for commercial banks is set up, in which the maximum portfolio profit of banks is taken as objective function and laws, regulations and operation as the constrains.  The mutual effect of each period of loans was considered and Backward Induction Method was used to set up the optimized admeasure of the current loans which made the total loans allocation of the whole section reach the best.  Portfolio risk of multiperiod loan was controlled by the introduction of VaR constrain.  The less consideration of the bank’s risk tolerance ability and the demand of capital intendance in present multi-period studies were avoided.  Owing to introducing laws and regulations as constrains, the portfolio risk of multiperiod loan was controlled to avoid the floating crisis of asset allocation, and to assure the legality and rule’s demand.

Key wordsbank loans      loan portfolio      dynamic optimization      backward induction method      no-linear programming     
Received: 25 July 2006     
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HU Wen
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HU Wen,DONG He-Chao,CHI Guo-Tai. A Portfolio Loan Dynamic Optimal Model for Commercial Banks[J]. J4, 2006, 3(6): 652-.
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