Allocation Model Construction and Empirical Research on Incremental Economic Capital of Credit Operations

摘要：

According to current commercial bank management requirements of credit risk, this paper studies the optimization allocation model of incremental economic capital of credit businesses in commercial bank. It has the objective function of Economic Value Added (EVA) and the restrictive conditions of hurdle rate, risk adjusted return on capital (RAROC), available economic capital gross, degree of concentration and speeding-up limitation of risk exposure in credit businesses portfolio and so on. To solve shareholders value creation of the economic capital optimization problem, then incremental economic capital allocation model of credit operations is built up. Empirical studies have shown that the method of genetic algorithm optimization tool to solve the allocation model is scientific and feasible.

关键词： economic capital genetic algorithm RAROC EVA

作者: Houqing Fang Jianmin He Li Shen Houqing Fang

作者单位: School of Economics & Management Southeast University Nanjing, P.R.China School of Science Jiangsu University Zhenjiang, P.R.China

会议类型: 国际会议

会议名称: 2010 International Conference on Intelligent Computation Technology and Automation(2010 智能计算技术与自动化国际会议 ICICTA 2010)

会议地点: 长沙

会议语种:英文

页码: 449-452

在线出版日期: 2010-05-11（万方平台首次上网日期，不代表论文的发表时间）