Title :
Optimization model of credit asset portfolio based on Z-Score
Author :
Zhi, Hongyan ; Yang, Zhongyuan
Author_Institution :
Coll. of Math. & Comput. Sci., China Univ. of Pet., Dongying, China
Abstract :
Based on financial status of loan customers, considering the constrain on laws, and regulations, using portfolio profits maximum of bank´s assets as objective function, the optimal model of asset-liability-management is set up, in order to provide decision-making method for bank´s risk management. The characteristic is that the financial status of loan customers is measured by Z-Score model, which can reflect the probabilities of the credit default in the future. Case study shows that the optimization model of credit asset portfolio based on Z-score is better than the existing studies in the return per unit of risk on the asset portfolio.
Keywords :
banking; optimisation; probability; profitability; risk management; Z-Score; asset-liability management; bank assets; credit asset portfolio; credit default; decision making; loan customer; optimization model; profit maximisation; risk management; Analytical models; Biological system modeling; Companies; Mathematical model; Optimization; Portfolios; Loan portfolio; VaR; Z-Score formatting; loan risk;
Conference_Titel :
Management Science and Industrial Engineering (MSIE), 2011 International Conference on
Conference_Location :
Harbin
Print_ISBN :
978-1-4244-8383-9
DOI :
10.1109/MSIE.2011.5707605
