Optimization of Integrated Risk in Commercial Banking based on Financial Statements

作     者：Chunbing Bao Jianping Li Dengsheng Wu Xiaoqian Zhu Changzhi Liang Chang Liu 

作者机构：Institute of Policy & Management Chinese Academy of Sciences Beijing 100190 China University of Chinese Academy of Sciences Beijing 100049 China 

出 版 物：《Procedia Computer Science》 (计算机科学会议集)

年 卷 期：2014年第31卷

页      面：501-510页

学科分类：08[工学] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

主　　题：commercial banks integrated risk financial statements multi-objective programming asset optimization 

摘      要：Integrated risk control and asset optimization is an important issue in commercial bank industry. This paper combines balance sheet with income statement, and forms a structure measuring each asset s risk based on the method using income statement only, having a better use of the data resource. Considering the commercial bank s diversified pursuit of low risk and high profit, we solve the problem using the method of multiple objective programming, and we give the Pareto surface to support selection decisions. The analysis framework of the integrated risk optimization based on financial statements provides a feasible idea for commercial banks’ asset optimization research with limited data resource.