Agricultural Bank Portfolio Adjustments to Risk
构建了一个资产配置模型，分析银行如何在贷款和证券之间选择以平衡收益与风险，并利用历史数据预测农村银行的资产配置，发现预期违约率上升会显著改变银行的最优配置。
Abstract An asset allocation model is developed in which the bank's problem is one of selecting the mix of loan assets and securities that will generate desired levels of portfolio return and risk. A reduced‐form, econometric model is derived and historical rural bank asset allocations are predicted. Asset equations show consistency with the framework of equilibrium adjustments under uncertainty. Higher expected default rates on variable rate loans result in significant joint effects, which alter a bank's optimal allocation.