Optimization model of credit asset portfolio based on Z-Score

Based on financial status of loan customers, considering the constrain on laws, and regulations, using portfolio profits maximum of bank's assets as objective function, the optimal model of asset-liability-management is set up, in order to provide decision-making method for bank's risk management. The characteristic is that the financial status of loan customers is measured by Z-Score model, which can reflect the probabilities of the credit default in the future. Case study shows that the optimization model of credit asset portfolio based on Z-score is better than the existing studies in the return per unit of risk on the asset portfolio.