Optimization of Integrated Risk in Commercial Banking based on Financial Statements

Chunbing Bao, Jianping Li, Dengsheng Wu, Xiaoqian Zhu, Changzhi Liang, Chang Liu
2014 Procedia Computer Science  
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
more » ... ce 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.
doi:10.1016/j.procs.2014.05.295 fatcat:asj64iogrnhgpnpi3ehvqexgwa