基于非凸规划的中小微企业信贷策略研究

Research on Credit Strategy of Micro, Small and Medium Enterprise Based on Non-Convex Programming

摘要: 近年来，中小微企业在不断发展壮大，基于中小微企业的信贷数据制定信贷策略已成为银行等金融机构亟需解决的问题。为此，本文构建了一种基于非凸规划的中小微企业信贷策略模型。首先，用模糊综合评价法对中小微企业的风险因素进行量化分析。其次，以银行利润最大且风险最小为目标，在银行年度信贷总额固定的条件下，构建了信贷策略优化模型。再次，分析了该模型的凸性，通过将目标函数进行二阶泰勒展开，设计了一种模型的求解算法。最后，结合123家有信贷记录企业的相关数据，给出了某银行对各中小微企业的信贷策略。

Abstract: In recent years, the Micro, Small and Medium Enterprises (MSMEs) are developing rapidly. It has become an urgent problem for banks and other financial institutions to formulate credit strategies based on the credit data. Therefore, a credit strategy model for MSMEs based on non-convex pro-gramming is constructed. Firstly, the risk factors of MSMEs are quantitatively analyzed with fuzzy comprehensive evaluation method. Secondly, with the goal of maximizing the profit and minimizing the risk, a credit strategy optimization model is constructed under the condition of fixed annual to-tal bank credit. Thirdly, the convexity of the model is analyzed, and an algorithm for solving the model is designed by using the second-order Taylor expansion of the objective function. Finally, combining with the credit data for 123 enterprises, the credit strategy of some bank for each MSME is given.