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RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE

Ecoforum Journal

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Field Value
 
Title RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE
 
Creator LEE, Ming-Chang; National Kaohsiung University of Applied Sciences
 
Subject Conditional Value-at-Risk; Value-at-Risk; Efficient frontier; Loan portfolio
B41; C61
 
Description In order to achieve commercial banks liquidity, safety and profitability objective requirements, loan portfolio risk analysis based optimization decisions are rational allocation of assets.  The risk analysis and asset allocation are the key technology of banking and risk management.  The aim of this paper, build a loan portfolio optimization model based on risk analysis.  Loan portfolio rate of return by using Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR) constraint optimization decision model reflects the bank's risk tolerance, and the potential loss of direct control of the bank.  In this paper, it analyze a general risk management model applied to portfolio problems with VaR and CVaR risk measures by using Using the Lagrangian Algorithm.  This paper solves the highly difficult problem by matrix operation method.  Therefore, the combination of this paper is easy understanding the portfolio problems with VaR and CVaR risk model is a hyperbola in mean-standard deviation space.  It is easy calculation in proposed method.
 
Publisher Association of Educational and Cultural Cooperation Suceava from Stefan cel Mare Universit
 
Date 2015-07-20
 
Format application/pdf
 
Identifier http://www.ecoforumjournal.ro/index.php/eco/article/view/162
 
Source Ecoforum Journal; Vol 4, No 2 (2015)
 
Language en
 
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