Abstract: This paper proposes a new decision-making approach to loan portfolio. This model is based on the CVaR risk measure which reflects the credit risk of loan portfolio better than VaR. The return rates of loans, hardly obtained from history data, are generated by Monte Carlo simulations. The model can be solved effectively by linear programming. An example is given.

摘要： 本文提供了一种新的贷款组合决策优化方法.该模型用更能反映贷款组合信用风险特征的CVaR作为风险度量.由于在实际中很难获取各笔贷款的历史数据,为此本文给出了一种基于Matlab语言的Monte Carlo仿真方法,从而使该模型可以通过线性规划技术有效的进行求解.最后给出了一个例子.