关键词: 信用风险, 违约概率, 违约损失率, Markowitz模型, 分支定界

Abstract: Credit risk management is an integral part of banking business. By modifying the standard Markowitz model, the paper aims to study optimum credit portfolio with binary variable, which decides whether providing loads. The model can evaluate the cumulative risk and returns by considering the asset correlation and whether providing loads in the prospective of influencing risk indicators and profit rates. It enforces the empirical research of optimum portfolio by using the proposed model in this paper and the statistics offered by Standard & Poor's rating agency.

Key words: Credit risk, Default probabilities, Default loss rate, Markowitz model, Branch and bound algorithm