论文标题
基于仿真的优化不同投资组合的贷款回收时间
Simulation-based optimisation of the timing of loan recovery across different portfolios
论文作者
论文摘要
提出了一项新的程序，用于对银行决策规则进行客观比较和评估，以优化贷款回收时间。该程序是基于找到犯罪阈值的，在该拖欠阈值中，贷款组合（或其中的细分）的财务损失被最小化。我们的程序是一个专家系统，该系统结合了货币，成本的时间价值，以及累积欠款与放弃未来利息收入之间的基本权衡。此外，该过程可以通过不同的犯罪措施（欠款除外）使用，从而可以间接比较这些措施。我们在一系列信用风险方案和投资组合组成中演示了系统。计算结果表明，阈值Optima可以在付款概率（默认风险）和损失率（贷款抵押）的所有合理值中存在。此外，该程序对受到系统默认值（例如经济低迷期间）或情节犯罪（即固化和重新默认的周期）的投资组合做出积极反应。在优化投资组合的恢复决定时，我们的程序可以更好地告知银行收集政策的定量方面，而不是仅依靠任意酌处权。
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a loan portfolio (or segment therein) is minimised. Our procedure is an expert system that incorporates the time value of money, costs, and the fundamental trade-off between accumulating arrears versus forsaking future interest revenue. Moreover, the procedure can be used with different delinquency measures (other than payments in arrears), thereby allowing an indirect comparison of these measures. We demonstrate the system across a range of credit risk scenarios and portfolio compositions. The computational results show that threshold optima can exist across all reasonable values of both the payment probability (default risk) and the loss rate (loan collateral). In addition, the procedure reacts positively to portfolios afflicted by either systematic defaults (such as during an economic downturn) or episodic delinquency (i.e., cycles of curing and re-defaulting). In optimising a portfolio's recovery decision, our procedure can better inform the quantitative aspects of a bank's collection policy than relying on arbitrary discretion alone.
