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随着巴塞尔新资本协议的实施,建立有效的组合管理模型已经成为我国银行业迫在眉睫需要完成的工作。本文基于创业企业贷款的重要性和必要性,结合创业企业的特点和国家对创业企业的扶持政策,建立了基于CreditRisk+和0-1整数规划模型的针对创业企业贷款组合的优化决策模型。模型根据创业企业的特点,以及不同的扶持政策,限制了不同生命阶段的创业企业的贷款比例,实证研究结果表明该模型具有较强的适用性,较好地实现了对创业企业贷款的组合管理。
With the implementation of the New Basel Capital Accord, establishing an effective portfolio management model has become an urgent task for the banking industry in our country. Based on the importance and necessity of venture loan, combined with the characteristics of venture capital and the state support policies for venture capital, this paper establishes an optimal decision model for venture loan portfolio based on CreditRisk + and 0-1 integer programming model. According to the characteristics of start-up enterprises and different support policies, the model limits the proportion of loans for start-ups in different life stages. The empirical results show that the model has strong applicability and can well realize the portfolio management of start-ups .