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

摘要： 　信用风险管理是银行业务中不可或缺的部分。通过修改标准Markowitz模型，研究是否发放贷款二进制变量的优化信用投资组合问题。该模型允许在考虑资产可能的相关性及从影响风险指标和投资组合收益的角度决定是否提供贷款的情况下，估计信用投资组合的累积风险和收益率。最后利用提出的模型，基于标准普尔评级机构的统计数据，实现最优投资组合的实证研究。

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