基于copula函数的贷款组合期限结构优化模型-豆柴文库

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基于copula函数的贷款组合期限结构优化模型
Title:OptimizationModelforLoanPortfolioMaturityStructureBasedonCopulaFunction
Abstract:
Theproperallocationofloanportfoliosacrossvariousmaturitystructuresiscrucialforbanksandfinancialinstitutionstoensureoptimalrisk-rewardtrade-offs.Thispaperproposesanoptimizationmodelbasedonthecopulafunctiontooptimizethematuritystructureofaloanportfolio.Thecopulafunctionisutilizedtocapturethedependencystructurebetweendifferentloansegmentsandtomanagethepotentialrisksassociatedwithdifferentmaturitystructures.Themodelaimstomaximizetheexpectedreturnwhileminimizingtheoverallriskexposureoftheloanportfolio.
Introduction:
Thematuritystructureofloanportfoliosplaysacriticalroleinmanagingtheriskandreturncharacteristicsofbanksandfinancialinstitutions.Awell-diversifiedloanportfoliowithanappropriatematuritystructurecanhelpinstitutionsbalanceliquidityneeds,manageinterestraterisks,andoptimizetherisk-rewardtrade-offs.Thispaperproposesanoptimizationmodelbasedonthecopulafunctiontooptimizethematuritystructureofaloanportfolio.Themodeltakesintoaccountthedependencestructurebetweendifferentloansegmentsandaimstomaximizetheexpectedreturnwhileminimizingtheoverallriskexposure.
LiteratureReview:
Severalstudieshaveproposedoptimizationmodelsforloanportfoliomanagement,consideringvariousaspectssuchascreditrisk,interestraterisk,andliquidityrisk.However,limitedresearchhasfocusedonoptimizingthematuritystructureofloanportfolios.Thecopulafunctionhasgainedattentioninfinancialmodelingasitprovidesaflexibleframeworktomodelthedependencestructurebetweendifferentvariables.Somestudieshaveexploredtheapplicationofcopulafunctionsinriskmanagement,buttheirpotentialinloanportfoliooptimizationremainslargelyuntapped.
Methodology:
Theproposedmodelusesthecopulafunctiontocapturethedependencestructurebetweendifferentloansegments.Thecopulafunctionallowsustomodelthejointdistributionofloanmaturitiesandestimatetheprobabilityofvariouscombinationsofmaturities.Byoptimizingthisjointdistribution,wecandetermineanoptimalalloca