發(fā)布時(shí)間：2018-01-03 12:07

  本文關(guān)鍵詞：多目標(biāo)行業(yè)貸款組合優(yōu)化模型研究　出處：《西南交通大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 貸款組合 行業(yè)貸款 多目標(biāo)規(guī)劃 中間業(yè)務(wù) 流動(dòng)性

【摘要】：將有限的貸款資源合理地分配,以期獲得最大的收益和最小的風(fēng)險(xiǎn),實(shí)現(xiàn)銀行資本的價(jià)值最大化,是商業(yè)銀行經(jīng)營(yíng)管理的基本原則�；�于投資組合理論,銀行貸款在具體的貸款客戶(hù)、貸款行業(yè)等方面的組合研究是商業(yè)銀行實(shí)現(xiàn)收益、健康可持續(xù)發(fā)展的主要路徑。 隨著巴塞爾協(xié)議的不斷深入和應(yīng)用,商業(yè)銀行的經(jīng)營(yíng)管理不再是停留在簡(jiǎn)單的理論層面,更深入銀行經(jīng)營(yíng)管理的實(shí)質(zhì)；不僅僅考慮定量指標(biāo)的應(yīng)用,而且考慮將定性指標(biāo)定量化,精細(xì)化銀行管理。 利率市場(chǎng)化打破我國(guó)商業(yè)銀行傳統(tǒng)的收入格局,縮小了存貸利率差,減少了商業(yè)銀行的收入,商業(yè)銀行面臨增加中間業(yè)務(wù)收入,調(diào)整收入結(jié)構(gòu)的當(dāng)務(wù)之急；同時(shí),利率市場(chǎng)化加快了資本市場(chǎng)的流動(dòng),對(duì)商業(yè)銀行的流動(dòng)性提出挑戰(zhàn)。如何保證穩(wěn)定持續(xù)性的收益,同時(shí)加快銀行流動(dòng)性,保證銀行“三性”平衡時(shí)我國(guó)商業(yè)銀行面對(duì)金融環(huán)境的關(guān)鍵任務(wù)。 本文以投資組合理論為基礎(chǔ),以國(guó)內(nèi)外學(xué)者的研究為參考,將中間業(yè)務(wù)收入、商業(yè)銀行流動(dòng)性等定性因素,通過(guò)分析進(jìn)行定量化并加入到以組合綜合收益RAROC和風(fēng)險(xiǎn)為目標(biāo)的行業(yè)貸款組合模型中,并通過(guò)模糊綜合評(píng)價(jià)法、遺傳算法等進(jìn)行實(shí)證運(yùn)算。本文以基礎(chǔ)理論為依據(jù),將理論與實(shí)證相結(jié)合,定性與定量相結(jié)合,從銀行的經(jīng)營(yíng)實(shí)際研究貸款在行業(yè)之間的配置。 本文的主要研究工作如下： 1.分析行業(yè)貸款組合的優(yōu)化機(jī)制：從行業(yè)的角度,分析行業(yè)與經(jīng)濟(jì)形勢(shì)的變化趨勢(shì),并運(yùn)用現(xiàn)代投資組合理論,分析了行業(yè)貸款組合對(duì)非系統(tǒng)風(fēng)險(xiǎn)的對(duì)沖；說(shuō)明行業(yè)貸款組合能夠分散組合風(fēng)險(xiǎn),保證收益； 2.建立收益與風(fēng)險(xiǎn)的多目標(biāo)模型：以帕累托最優(yōu)為依據(jù),從銀行經(jīng)營(yíng)的實(shí)際目的考慮,將收益與風(fēng)險(xiǎn)統(tǒng)一考慮,建立了以貸款組合的綜合收益最大化和貸款組合風(fēng)險(xiǎn)最小化為目標(biāo)的多目標(biāo)規(guī)劃模型； 3.中間業(yè)務(wù)收入考核作為約束條件：將銀行整體的中間業(yè)務(wù)考核指標(biāo)—中間業(yè)務(wù)收入占比應(yīng)用到貸款行業(yè)的選擇中,從貸款對(duì)象的選擇上就注重中間業(yè)務(wù)的貢獻(xiàn),保證商業(yè)銀行整體中間業(yè)務(wù)的收入； 4.行業(yè)流動(dòng)性調(diào)整系數(shù)作為貸款組合的對(duì)比因子：對(duì)于商業(yè)銀行的整體流動(dòng)性,從其實(shí)質(zhì)意義上很難進(jìn)行度量；作為銀行主營(yíng)業(yè)務(wù)的貸款流動(dòng)性對(duì)整體流動(dòng)性的影響較大,將行業(yè)貸款的流動(dòng)性作為模型的對(duì)比因子,對(duì)比考慮該因子前后的模型結(jié)果,說(shuō)明考慮流動(dòng)性有助于減小組合的風(fēng)險(xiǎn)；行業(yè)貸款的流動(dòng)性用行業(yè)流行性調(diào)整系數(shù)表示,行業(yè)流動(dòng)性調(diào)整系數(shù)的確定是從行業(yè)宏觀層面和行業(yè)內(nèi)企業(yè)的微觀層面的影響因素入手,通過(guò)模糊綜合評(píng)價(jià)法等方法定量化該系數(shù)； 5.實(shí)證分析驗(yàn)證模型：利用某商業(yè)銀行近五年的數(shù)據(jù)作為基本數(shù)據(jù),從相關(guān)的銀行規(guī)定中確定約束標(biāo)準(zhǔn),用遺傳算法迭代獲得實(shí)證結(jié)果,并通過(guò)結(jié)果分析驗(yàn)證模型的合理性。
[Abstract]:The limited loan resources reasonable allocation, in order to obtain the maximum profits and minimum risk, realize the maximization of bank capital value, is the basic principle of the management of commercial banks. Based on the theory of investment portfolio, bank loans in the specific loan portfolio of loan customers, industry and other commercial banks to achieve revenue, mainly the path of sustainable development.
With the deepening and application of the Basel agreement, the management of commercial banks no longer stays at a simple theoretical level, but also goes deep into the essence of bank management and management. It not only considers the application of quantitative indicators, but also considers the quantification of qualitative indicators and the refinement of bank management.
The interest rate market to break the traditional income pattern of commercial banks in China, narrowing the deposit interest rates, reducing the income of commercial banks, commercial banks increase intermediate business income, adjust the income structure at the same time, a pressing matter of the moment; market interest rates to accelerate the flow of capital market, put forward the challenge to the liquidity of commercial banks. How to ensure stable and continuous income, while speeding up the bank liquidity guarantee bank "three" balance of China's commercial banks face the key tasks of the financial environment.
This paper is based on portfolio theory, the research of scholars at home and abroad for reference, the intermediate business income, the liquidity of commercial banks and other qualitative factors, through quantitative analysis and added to the loan portfolio model with a combination of comprehensive income and risk as the goal of the RAROC industry, and through the fuzzy comprehensive evaluation method, genetic algorithm etc. the empirical calculation. In this paper, on the basis of basic theory, combined with theoretical and empirical, qualitative and quantitative, from the actual operation of the bank loans in the study between the industry configuration.
The main research work of this paper is as follows:
1. analysis of loan portfolio optimization mechanism: from the perspective of industry, the changing trend of the industry and the economic situation, and the application of modern portfolio theory, analysis of hedge loan portfolio of non system risk; industry loan portfolio can disperse risk, guarantee income;
2. to establish the benefits and risks of the multi object model: Based on Pareto optimality as the basis, considering the actual purpose of the banking business, the risks and benefits of unified consideration, multi goal programming model is established to maximize the total revenue of the loan portfolio and loan portfolio risk minimization in;
3. intermediate business income assessment as constraints: the overall bank intermediary business assessment index - intermediate business income accounted for application to the loan industry choice, pay attention to the intermediary business loans from the choice of target contribution, ensure the overall commercial bank intermediary business income;
4. industry liquidity adjustment coefficient as the contrast factor of loan portfolio for the overall liquidity of commercial banks, from the essence of it is very difficult to measure the liquidity of bank loans; as the main business of the larger effect on the overall mobility, comparing the factor model of liquidity loans to industries, compared to consider model the results of the factor before and after that, considering the liquidity helps to reduce the risk of portfolio; liquidity loans to industries that use popular industry adjustment coefficient, industry liquidity adjustment coefficient is determined based on the influence factors of industry macro level and micro level industry enterprises, through quantitative fuzzy comprehensive evaluation method. The coefficient;
5., empirical analysis and validation model: using the data of a commercial bank in recent five years as basic data, determining the constraint standard from relevant bank regulations, obtaining the empirical results by genetic algorithm iteration, and verifying the rationality of the model through the result analysis.

【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.4

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 李萬(wàn)興;國(guó)民經(jīng)濟(jì)的行業(yè)分析與商業(yè)銀行信貸經(jīng)營(yíng)策略[J];金融論壇;2001年04期

2 謝剛;李勇;;基于貸款交易業(yè)務(wù)模式創(chuàng)新的信貸資產(chǎn)組合管理研究[J];金融論壇;2009年01期

3 王蕊;趙麗君;;西方商業(yè)銀行中間業(yè)務(wù)的發(fā)展經(jīng)驗(yàn)及其對(duì)我國(guó)的借鑒[J];東方企業(yè)文化;2010年01期

4 楊湘豫;周再立;;基于Copula-TARCH的開(kāi)放式基金投資組合風(fēng)險(xiǎn)的實(shí)證分析[J];系統(tǒng)工程;2011年06期

5 遲國(guó)泰;許文;蘆丹;;基于copula函數(shù)的貸款組合期限結(jié)構(gòu)優(yōu)化模型[J];管理工程學(xué)報(bào);2008年04期

6 許若寧;鐘云燕;;商業(yè)銀行資金流管理風(fēng)險(xiǎn)控制優(yōu)化模型的建立與分析[J];廣州大學(xué)學(xué)報(bào)(自然科學(xué)版);2009年01期

7 王覺(jué)宇;;西方商業(yè)銀行流動(dòng)性調(diào)節(jié)的原則及工具[J];廣東金融;1991年04期

8 姜大治,遲國(guó)泰,林建華;基于有效邊界的貸款組合優(yōu)化決策模型[J];哈爾濱工業(yè)大學(xué)學(xué)報(bào);2002年05期

9 洪忠誠(chéng);遲國(guó)泰;王際科;;VaR約束的多目標(biāo)組合貸款優(yōu)化決策模型[J];哈爾濱工業(yè)大學(xué)學(xué)報(bào);2008年10期

10 姚騫;;對(duì)我國(guó)商業(yè)銀行流動(dòng)性管理問(wèn)題的思考[J];經(jīng)濟(jì)論壇;2011年11期

，

本文編號(hào)：1373804