摘要
随着巴塞尔新资本协议的实施,建立有效的组合管理模型已经成为我国银行业迫在眉睫需要完成的工作。本文基于创业企业贷款的重要性和必要性,结合创业企业的特点和国家对创业企业的扶持政策,建立了基于CreditRisk+和0-1整数规划模型的针对创业企业贷款组合的优化决策模型。模型根据创业企业的特点,以及不同的扶持政策,限制了不同生命阶段的创业企业的贷款比例,实证研究结果表明该模型具有较强的适用性,较好地实现了对创业企业贷款的组合管理。
With the implementation of the New Basel Capital Accord, the establishment of effective portfolio management has become an urgent task for the Chinese banking industry. Based on the importance and necessity of start-up enterprises credits, and combined with the features of start-ups and the national support policies, the paper establishes an optimized loan portfolio model for the start-ups based on the Credit Risk ＋ and 0-1 integral programming models. According to the different features of start-ups and the national support policies, the model gives the loan limit of start-ups in different life stages. The results of empirical studies show that the model has strong adaptability, and achieves right loan management for the start-up enterprises.
出处
《金融研究》
CSSCI
北大核心
2009年第12期151-161,共11页
Journal of Financial Research
关键词
创业企业
组合管理
start-up enterprise, portfolio management
