本文選題：商業(yè)銀行　切入點(diǎn)：資產(chǎn)配置　出處：《華中科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：商業(yè)銀行作為間接融資的主體，在金融市場(chǎng)具有舉足輕重的地位。商業(yè)銀行能否將稀缺的資源投放到最具競(jìng)爭(zhēng)力的項(xiàng)目上，不僅對(duì)商業(yè)銀行自身的經(jīng)營(yíng)績(jī)效具有重要影響，同時(shí)對(duì)整個(gè)社會(huì)的經(jīng)濟(jì)增長(zhǎng)更具有顯著意義。 本研究從商業(yè)銀行資產(chǎn)配置的理論入手，回顧國(guó)內(nèi)外相關(guān)研究文獻(xiàn)，介紹隨機(jī)規(guī)劃模型的建模思路、目標(biāo)函數(shù)與約束條件、情景生成的理論、遺傳算法求解原理，從資產(chǎn)配置結(jié)構(gòu)、資產(chǎn)質(zhì)量、存貸比等方面來(lái)分析我國(guó)商業(yè)銀行資產(chǎn)配置的現(xiàn)狀，再利用深圳發(fā)展銀行的實(shí)際數(shù)據(jù)建立了一個(gè)帶有簡(jiǎn)單補(bǔ)償?shù)碾S機(jī)規(guī)劃模型，并運(yùn)用遺傳算法進(jìn)行求解。 研究表明，在資產(chǎn)配置結(jié)構(gòu)、資產(chǎn)質(zhì)量、存貸比方面，不同類型的商業(yè)銀行具有較大差異。差異產(chǎn)生的原因不僅在于商業(yè)銀行的定位、資源優(yōu)勢(shì)、資產(chǎn)管理水平，同時(shí)也跟商業(yè)銀行主要客戶所處的行業(yè)、經(jīng)營(yíng)狀況具有較大關(guān)系。 實(shí)證研究還表明，在目前的分業(yè)經(jīng)營(yíng)模式導(dǎo)致商業(yè)銀行的資產(chǎn)配置種類仍較為單一的情形下，，隨機(jī)規(guī)劃模型能夠較好地適用于我國(guó)商業(yè)銀行的資產(chǎn)配置實(shí)踐中，不僅給出了最優(yōu)的配置比例，同時(shí)該結(jié)果也與實(shí)際情況是吻合的。模型指出，鑒于債券的良好的流動(dòng)性以及風(fēng)險(xiǎn)分散能力，在目前的基礎(chǔ)上，商業(yè)銀行可以適當(dāng)增加債券的持有量，而在短期貸款和中長(zhǎng)期貸款的選擇上，短期貸款期限短，風(fēng)險(xiǎn)低，其配置比重應(yīng)高于中長(zhǎng)期貸款。
[Abstract]:As the main body of indirect financing, commercial banks play an important role in the financial market. Whether commercial banks can put scarce resources into the most competitive projects will not only have an important impact on the performance of commercial banks themselves. At the same time, the economic growth of the whole society is more significant. This study begins with the theory of asset allocation of commercial banks, reviews the relevant research literature at home and abroad, introduces the modeling ideas of stochastic programming model, objective function and constraint conditions, the theory of scenario generation, and the principle of genetic algorithm. The present situation of asset allocation of commercial banks in China is analyzed from the aspects of asset allocation structure, asset quality, deposit / loan ratio and so on. Then a stochastic programming model with simple compensation is established by using the actual data of Shenzhen Development Bank. Genetic algorithm is used to solve the problem. The results show that different types of commercial banks have great differences in asset allocation structure, asset quality and deposit / loan ratio. At the same time also with the main customers of commercial banks in the industry, business conditions have a greater relationship. The empirical study also shows that the stochastic programming model can be well applied to the asset allocation practice of commercial banks in our country, under the condition that the current separated operation mode leads to the single asset allocation of commercial banks, and the stochastic programming model can be applied to the practice of asset allocation of commercial banks in China. Not only the optimal allocation ratio is given, but also the result is consistent with the actual situation. The model points out that, in view of the good liquidity and risk dispersion of bonds, on the current basis, Commercial banks can appropriately increase their holdings of bonds, but in the choice of short-term loans and medium- and long-term loans, short-term loans have short maturities and low risk, and their allocation ratio should be higher than that of medium- and long-term loans.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.33;F224

【參考文獻(xiàn)】

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本文編號(hào)：1603675