本文關(guān)鍵詞： 貸款組合優(yōu)化 Copula函數(shù) 均值-CVaR模型 信用風(fēng)險(xiǎn)遷移原　出處：《河南師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：貸款作為商業(yè)銀行傳統(tǒng)經(jīng)營業(yè)務(wù)以及銀行的主要利潤來源，其帶來的信用風(fēng)險(xiǎn)一直是商業(yè)銀行經(jīng)營管理的重點(diǎn)，銀行業(yè)的信用風(fēng)險(xiǎn)一旦發(fā)生，將會(huì)給金融機(jī)構(gòu)乃至整個(gè)市場(chǎng)帶來重大損失，更有可能引發(fā)金融危機(jī)，因此巴塞爾委員會(huì)對(duì)于金融機(jī)構(gòu)的監(jiān)管一直強(qiáng)調(diào)最低資本金的重要性，最低資本金要求作為金融機(jī)構(gòu)風(fēng)險(xiǎn)管理的重要支柱，其要求防范信用風(fēng)險(xiǎn)的資本額度將占總資本額度的70%。 貸款組合管理對(duì)銀行的市場(chǎng)競(jìng)爭(zhēng)力以及盈利水平有著舉足輕重的影響，商業(yè)銀行面臨的貸款組合風(fēng)險(xiǎn)主要是由于資產(chǎn)配置的不合理產(chǎn)生的，大多數(shù)銀行只注重貸款組合的收益而忽略本身存在的風(fēng)險(xiǎn)，而現(xiàn)實(shí)生活中這些被忽略的貸款風(fēng)險(xiǎn)已經(jīng)嚴(yán)重制約商業(yè)銀行的穩(wěn)定和發(fā)展，因此從多維度分析商業(yè)銀行貸款組合優(yōu)化問題進(jìn)行研究已成為目前學(xué)術(shù)界和金融機(jī)構(gòu)關(guān)注的焦點(diǎn)。 本論文以商業(yè)銀行貸款組合優(yōu)化為出發(fā)點(diǎn)，多角度分析貸款組合優(yōu)化模型，在不考慮風(fēng)險(xiǎn)遷移下優(yōu)化單期商業(yè)銀行貸款組合配置，選擇出相應(yīng)的Copula函數(shù)，然后推廣至多期貸款組合配置，優(yōu)化整個(gè)期間段的貸款組合配置，最后在考慮風(fēng)險(xiǎn)遷移的情形下貸款組合配置優(yōu)化問題，深化貸款組合模型，使其更加符合實(shí)際情況。 本論文共為六章，分為三個(gè)層次，第一個(gè)層次為提出問題、分析問題，具體包括第一章緒論以及第二章商業(yè)銀行貸款組合優(yōu)化相關(guān)原理；第二個(gè)層次為層層遞進(jìn)研究貸款組合優(yōu)化模型，具體包括第三章基于Copula函數(shù)的商業(yè)銀行貸款組合優(yōu)化模型、第四章商業(yè)銀行多期貸款組合動(dòng)態(tài)優(yōu)化均值-CVaR模型以及第五章基于信用風(fēng)險(xiǎn)遷移的貸款組合優(yōu)化模型，第三個(gè)層次為結(jié)論與研究展望，具體包括第六章結(jié)論與展望。 本文主要解決三大問題：一是對(duì)于不同類型貸款企業(yè)服從不同的類型的貸款分布的條件下如何構(gòu)建貸款風(fēng)險(xiǎn)的聯(lián)合概率分布模型；二是鑒于VaR不滿足次可加性和凸性從而不適用與貸款風(fēng)險(xiǎn)度量條件下如何進(jìn)行風(fēng)險(xiǎn)度量；三是如何在不同區(qū)間段下配置資源，，從而使得整個(gè)貸款區(qū)間段損失最小化。
[Abstract]:As the traditional business of commercial banks and the main source of profits, the credit risk brought by the loan has always been the focus of the management of commercial banks. Once the credit risk occurs in the banking industry. It will bring great losses to financial institutions and even the whole market, and it is more likely to lead to financial crisis. Therefore, the Basel Committee has been emphasizing the importance of minimum capital for the supervision of financial institutions. As an important pillar of risk management of financial institutions, the minimum capital requirement for preventing credit risk will account for 70% of the total capital quota. Loan portfolio management plays an important role in the market competitiveness and profitability of banks. The risk of loan portfolio faced by commercial banks is mainly due to the irrational allocation of assets. Most banks only pay attention to the income of loan portfolio and ignore the risk of their own, but in real life these neglected loan risks have seriously restricted the stability and development of commercial banks. Therefore, the multi-dimensional analysis of commercial bank loan portfolio optimization has become the focus of academic and financial institutions. In this paper, the commercial bank loan portfolio optimization as a starting point, multi-angle analysis of loan portfolio optimization model, without taking into account the risk transfer of single-period commercial bank loan portfolio allocation. Select the corresponding Copula function, then extend the maximum term loan portfolio allocation, optimize the loan portfolio allocation in the whole period, and finally, consider the risk migration in the case of loan portfolio allocation optimization. Deepen the loan portfolio model to make it more in line with the actual situation. This paper is divided into six chapters, divided into three levels, the first level is to raise questions, analysis of the problem, including the first chapter of the introduction and the second chapter of commercial bank loan portfolio optimization related principles; The second level is the layer by layer progressive study of loan portfolio optimization model, including the third chapter of commercial bank loan portfolio optimization model based on Copula function. Chapter 4th commercial bank multi-period loan portfolio dynamic optimization mean-CVaR model and 5th chapter based on credit risk migration loan portfolio optimization model, the third level is the conclusion and research prospects. It includes the conclusion and prospect of 6th chapter. This paper mainly solves three problems: first, how to construct the joint probability distribution model of loan risk for different types of loan enterprises under the condition of different types of loan distribution; The second is how to measure the risk under the condition of loan risk measurement because VaR is not satisfied with subadditivity and convexity; Third, how to allocate resources in different intervals, so as to minimize the loss of the entire loan interval.
【學(xué)位授予單位】：河南師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F830.5

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