考虑借款企业决策行为的供应链 CVaR 利率决策模型

于辉, 甄学平

系统科学与数学 ›› 2011, Vol. 31 ›› Issue (10) : 1269-1278.

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系统科学与数学 ›› 2011, Vol. 31 ›› Issue (10) : 1269-1278. DOI: 10.12341/jssms11706
论文

考虑借款企业决策行为的供应链 CVaR 利率决策模型

    于辉, 甄学平
作者信息 +

INTEREST RATE DECISION MODEL BASED ON CVAR BY  CONSIDERING  DECISION-MAKING BEHAVIOR OF THE BORROWER

    YU Hui, ZHEN Xueping
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摘要

贷款利率是银行和其他金融机构用于权衡风险和收益的重要指标之一. 考虑借款企业的决策行为, 采用CVaR的风险度量准则
作为决策标准, 建立了基于条件风险价值最小的银行贷款利率决策模型, 得到了权衡风险和收益条件下的最优利率. 通过模型求解
和数值分析发现: 决策者的风险容忍水平直接对利率决策产生影响, CVaR风险度量准则可以帮助银行权衡收益和风险: 借款企业
利润率和自有资金是银行规避风险时需要着重考虑的关键因素.

Abstract

Interest rate is one of the important indicators for banks and other financial institutions to balance the risks  and gains.  In this paper, based on the  decision-making behavior of the borrower,  a model for interest rate decision based  on the conditional value-at-risk (CVaR) is established,  and   the optimal interest rate is obtained.  Numerical analysis shows that  the level of risk aversion directly effects interest rate decision;  CVaR could help banks to balance profit and risk; borrowers'  profit rate and internal capital are the key factors for bank evading risk.

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于辉 , 甄学平. 考虑借款企业决策行为的供应链 CVaR 利率决策模型. 系统科学与数学, 2011, 31(10): 1269-1278. https://doi.org/10.12341/jssms11706
YU Hui , ZHEN Xue-Ping. INTEREST RATE DECISION MODEL BASED ON CVAR BY  CONSIDERING  DECISION-MAKING BEHAVIOR OF THE BORROWER. Journal of Systems Science and Mathematical Sciences, 2011, 31(10): 1269-1278 https://doi.org/10.12341/jssms11706
中图分类号: 90B06   
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