We study how does the commercial bank control the credit risk problem in the face of supervision ... more We study how does the commercial bank control the credit risk problem in the face of supervision of the laws and regulations and risks of the enterprise. We give the two-stage optimization models of the bank asset-liability structure and credit risk control. Taking bondage at the laws, regulations and administration rules of the bank and taking the objective at the maximization of surplus of assets, the first stage model gives the best proportional configuration of the assets arrangement. The second stage model gives the control model of credit risks taking the bondage at the survivor function based on the commercial age of enterprise and assets structure. Using loan risk degree to estimate risk distribution parameter, the risks of enterprise are joined to loan way to reflect the practical risk state of loan. According to the actual conditions of a bank asset-liability management, the calculation case is given
We study how does the commercial bank control the credit risk problem in the face of supervision ... more We study how does the commercial bank control the credit risk problem in the face of supervision of the laws and regulations and risks of the enterprise. We give the two-stage optimization models of the bank asset-liability structure and credit risk control. Taking bondage at the laws, regulations and administration rules of the bank and taking the objective at the maximization of surplus of assets, the first stage model gives the best proportional configuration of the assets arrangement. The second stage model gives the control model of credit risks taking the bondage at the survivor function based on the commercial age of enterprise and assets structure. Using loan risk degree to estimate risk distribution parameter, the risks of enterprise are joined to loan way to reflect the practical risk state of loan. According to the actual conditions of a bank asset-liability management, the calculation case is given
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