信用风险优化中期望短缺模型及基于非数值算法求解.pdfVIP

　2005 年 5 月 系统工程理论与实践 第 5 期 　 ( ) 文章编号 2005 信用风险优化中的期望短缺模型及基于非数值算法求解 詹原瑞 ,张建龙 (天津大学 管理学院 ,天津 300072) 摘要 : 　期望短缺是一种新的风险量度和优化工具 ,它能够反映损失分布的尾部信息 ,从而有利于防范 小概率极端金融风险 ;它能同时调整组合中所有头寸以优化期望短缺 , 同时得到相应受险价值. Fredrik 给出了能同时优化组合期望短缺和受险价值的线性规划模型 ,但该模型存在维数障碍. 为了克服这一障 碍 ,本文将其重新变为一个非线性规划模型 ,并利用带约束的遗传算法和模拟退火算法求其近似最优 解. 实证研究表明 :这两种方法都能够在很少改变期望收益的情况下 , 同时减少标准差、受险价值、期望 短缺等重要风险衡量指标 ,但模拟退火算法对期望短缺指标优化效果更佳. 关键词 : 　期望短缺 ;带约束的遗传算法 ;模拟退火算法 ;受险价值 ;信用计量 中图分类号: 　F830 　　　　　　　　文献标识码 : 　A 　　　 Expected Shortfall Modeling in Optimizing Credit Risk Portfolio and Its Solution Based on the NonNumerical Algorithms ZHAN Yuanrui , ZHANGJianlong ( ) School of Managementl , Tianjin University , Tianjin 300072 ,China Abstract : 　Expected Shortfall ( ES) is a new tool for credit risk measure and optimization. As the risk measure tool , ES represents the tail information of loss and is favorable to keep away the extreme finance risk with very little probability. As the tool for risk optimization , it simultaneously adjusts all positions in the portfolio in order to optimize ES , and simultaneously gain corresponding VaR. Fredrik builds a linear program model with Expected Shortfall which can simultaneously optimize Expected Shortfall and VaR of portfolio , but this model has the drawback of dimension obstacle. To overcome this drawback , we revert it to a nonlinear program model again and solve it by a Genetic Alg