Risk assets optimized configuration under integrated risks-in view of banker’s risk appetite

As pointed out by “Basel New Capital Accord”, modern commercial banks should pay attention to the relevance of market risk, credit risk and operational risk when managing them. This thesis starts with the risk appetites of different bankers, proposes the risky assets optimized configuration of commercial banks basic on risk integration measurement model, and provides the solution algorithm combining stochastic simulation, neural network and genetic algorithms. With the optimized configuration of market risk assets and credit risk assets of Bank of China (BOC) and China Merchants Bank (CMB) as example, this thesis has validated the effectiveness of model and solution. This model indicates that basic on historical data, bankers can determine the level of integrating risk according to their risk appetites. This thesis is the forward-looking for the optimized configuration of risk assets of commercial banks, and provides new ideas for assets configuration. © 2016, UK Simulation Society. All rights reserved.