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RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE Abstract : 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

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  • Ming-Chang LEE

    (National Kaohsiung University of Applied Sciences, Taiwan)

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  • Ming-Chang LEE, 2015. "RISK LOAN PORTFOLIO OPTIMIZATION MODEL BASED ON CVAR RISK MEASURE Abstract : In order to achieve commercial banks liquidity, safety and profitability objective requirements, loan portfolio risk analys," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 4(2), pages 1-22, july.
    • Handle: RePEc:scm:ecofrm:v:4:y:2015:i:2:p:22
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    References listed on IDEAS

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    1. Myles E. Mangram, 2013. "A Simplified Perspective Of The Markowitz Portfolio Theory," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 7(1), pages 59-70.
    2. Goh, Joel Weiqiang & Lim, Kian Guan & Sim, Melvyn & Zhang, Weina, 2012. "Portfolio value-at-risk optimization for asymmetrically distributed asset returns," European Journal of Operational Research, Elsevier, vol. 221(2), pages 397-406.
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