<abstract xmlns="http://www.w3.org/1999/xhtml">

<p>The advantage of the linear fractional differential equation for bank resource allocation and financial risk management is that it can test random fluctuations in different functional forms. Given this paper is modelling the asset allocation risk model for rural commercial banks, the linear fractional differential equation analysis method is used to make policy recommendations. The research results of this paper show that credit risk is significantly negatively correlated with the bank's resource allocation. The degree of negative correlation between different levels of credit risk and bank resource allocation is different. Appropriate liquidity risk can optimise the bank's resource allocation.</p>
</abstract>

The advantage of the linear fractional differential equation for bank resource allocation and financial risk management is that it can test random fluctuations in different functional forms. Given this paper is modelling the asset allocation risk model for rural commercial banks, the linear fractional differential equation analysis method is used to make policy recommendations. The research results of this paper show that credit risk is significantly negatively correlated with the bank's resource allocation. The degree of negative correlation between different levels of credit risk and bank resource allocation is different. Appropriate liquidity risk can optimise the bank's resource allocation.

Linear fractional differential equations in bank resource allocation and financial risk management model

Applied Mathematics and Nonlinear Sciences

This work is licensed under the Creative Commons Attribution 4.0 International License.

The advantage of the linear fractional differential equation for bank resource allocation and financial risk management is that it can test random fluctuations...

Frequency band	Loan balance (ten thousand yuan)	Risk exposure	Number of loans	Average default rate	Expected number of defaults	Expected default loss (ten thousand yuan)

V1	0–50	20	510	4.00%	20.40	408.0
V2	51–100	60	200	3.00%	6.00	360.0
V3	101–150	120	300	2.75%	8.24	989.1
V4	151–200	160	32	2.07%	0.66	106.2
V5	201–250	220	65	2.93%	1.90	418.5
V6	251	310	10	2.53%	0.25	78.6

Frequency band	Loan balance (ten thousand yuan)	Risk exposure	Number of loans	Average default rate	Expected number of defaults	Expected default loss (ten thousand yuan)

V1	0–30	20	156	2.72%	4.24	84.80
V2	31–60	40	73	3.07%	2.24	89.60
V3	61–90	70	40	3.50%	1.40	97.90
V4	91–120	100	30	2.82%	0.85	84.60
V5	121–150	130	23	3.03%	0.70	90.60
V6	151	180	6	2.93%	0.18	31.70

Linear fractional differential equations in bank resource allocation and financial risk management model

Publicado en línea: 30 dic 2021

Páginas: 729 - 738

Recibido: 17 jun 2021

Aceptado: 24 sept 2021

DOI: https://doi.org/10.2478/amns.2021.2.00148

Palabras clave
linear relationship, fractional differential equation, bank resource allocation, financial risk management

© 2021 Yanjun Yang, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Fig. 3

Frequency band distribution of 1,117 loans of Sichuan KK Rural Commercial Bank

Frequency band distribution of agricultural loans sampled by Sichuan KK Rural Commercial Bank

Linear fractional differential equations in bank resource allocation and financial risk management model

Publicado en línea: 30 dic 2021

Páginas: 729 - 738

Recibido: 17 jun 2021

Aceptado: 24 sept 2021

DOI: https://doi.org/10.2478/amns.2021.2.00148

Palabras clavelinear relationship, fractional differential equation, bank resource allocation, financial risk management

© 2021 Yanjun Yang, published by Sciendo

This work is licensed under the Creative Commons Attribution 4.0 International License.

Fig. 1

Fig. 2

Fig. 3

Frequency band distribution of 1,117 loans of Sichuan KK Rural Commercial Bank

Frequency band distribution of agricultural loans sampled by Sichuan KK Rural Commercial Bank

Palabras clave
linear relationship, fractional differential equation, bank resource allocation, financial risk management