本文選題：資本約束　切入點(diǎn)：商業(yè)銀行　出處：《大連理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：巴塞爾協(xié)議II在全球廣泛實(shí)施后,2007年的次貸危機(jī)和2011年的歐債危機(jī),充分暴露了巴塞爾協(xié)議II的缺陷,使得各國(guó)監(jiān)管當(dāng)局再一次將目光聚焦到商業(yè)銀行風(fēng)險(xiǎn)承擔(dān)行為上,而商業(yè)銀行的風(fēng)險(xiǎn)很大程度上取決于其資本水平和資產(chǎn)配置情況。在商業(yè)銀行市場(chǎng)競(jìng)爭(zhēng)自由化和利率市場(chǎng)化的大趨勢(shì)下,商業(yè)銀行單純靠存貸利差的營(yíng)業(yè)模式必定不能持久。因此,商業(yè)銀行很有必要對(duì)其資產(chǎn)進(jìn)行調(diào)整,在控制風(fēng)險(xiǎn)的基礎(chǔ)上,使得銀行的收益最大化。 論文以資本約束和資產(chǎn)配置為主要概念,回顧和總結(jié)已有相關(guān)研究—單純研究資本監(jiān)管約束對(duì)銀行風(fēng)險(xiǎn)承擔(dān)的影響,純粹的是方向性的研究,單一貸款資產(chǎn)的研究。論文結(jié)合資本監(jiān)管的特殊性,重點(diǎn)分析了商業(yè)銀行資產(chǎn)配置的資產(chǎn)組合理論和資本約束對(duì)商業(yè)銀行資產(chǎn)配置影響機(jī)理。在此基礎(chǔ)上,分別構(gòu)建無(wú)資本約束和資本約束下商業(yè)銀行資產(chǎn)配置的數(shù)理模型,設(shè)置相應(yīng)的約束條件求解。然后,為了進(jìn)一步驗(yàn)證數(shù)理模型的結(jié)論,實(shí)證檢驗(yàn)資本約束下,商業(yè)銀行資產(chǎn)配置的行為,間接考察銀行的風(fēng)險(xiǎn)行為。其中,為了考察銀行在外界條件沖擊下的資產(chǎn)配置行為,特地設(shè)置三種情境進(jìn)行求解。根據(jù)結(jié)論,對(duì)商業(yè)銀行自身和監(jiān)管者兩個(gè)角度給出政策建議。 論文主要有三個(gè)方面的創(chuàng)新： (1)研究資本約束與商業(yè)銀行資產(chǎn)配置關(guān)系的視角創(chuàng)新,以往的研究要么研究資本約束,要么研究資產(chǎn)配置,很少將二者結(jié)合起來(lái)考慮； (2)構(gòu)建資本約束下商業(yè)銀行資產(chǎn)配置決策模型,將均值方差模型與效用函數(shù)模型相結(jié)合,在資本約束、存貸比約束、流行性約束等約束下,求商業(yè)銀行資產(chǎn)配置最優(yōu)解； (3)論文研究多種資產(chǎn)配置決策模型,擺脫了過(guò)去單一只考慮貸款的研究。以往的研究往往將貸款一種資產(chǎn)進(jìn)行資產(chǎn)配置,而現(xiàn)實(shí)中的情況是銀行持有多種資產(chǎn)。
[Abstract]:Basel II in the wide implementation of the global after the subprime crisis in 2007 and 2011 of the European debt crisis has fully exposed the defects of the Basel protocol of II, the national regulatory authorities once again to focus on commercial banks' risk-taking behavior, and the risk of commercial banks depends on the level of capital and asset allocation. The trend in the commercial bank market competition liberalization and marketization of interest rate, commercial banks only rely on deposit spreads business model will not last. Therefore, it is necessary for commercial banks to adjust their assets on the basis of risk control, maximize the profit of the bank.
Based on the capital constraint and asset allocation as the main concept, review and summary of related research, simply on the regulatory capital constraints on the impact of bank risk, pure research direction is the study of single loan assets. Combining with the particularity of capital supervision, analyzes the influence mechanism of portfolio theory and capital asset constraint the allocation of commercial bank asset allocation for commercial banks. On this basis, the mathematical model of the allocation of commercial bank assets without capital constraint and capital constraints were constructed, set the corresponding constraints to solve. Then, in order to further verify the conclusions of mathematical model, empirical test of capital constraints, asset allocation behavior of commercial banks, indirect inspection bank the risk of behavior. Among them, in order to investigate the asset allocation behavior of banks in the external conditions under the impact, specially set up three kinds of situations are solved. According to the conclusion, policy suggestions are given for two perspectives of commercial banks themselves and supervisors.
There are three main innovations in this paper.
(1) to study the innovation of the relationship between capital constraints and the asset allocation of commercial banks, previous studies either studied capital constraints or studied asset allocation, and seldom considered the two elements.
(2) build a capital allocation decision model of commercial banks under capital constraints, combine the mean variance model with utility function model, and find the optimal solution of commercial bank asset allocation under the constraints of capital constraint, loan to deposit ratio and epidemic constraint.
(3) papers have studied a variety of asset allocation decision models and got rid of the past single consideration of loans. Previous studies often used loans to configure assets, but in reality, banks hold multiple assets.

【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F831.2;F830.42

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 吳俊;張宗益;徐磊;;資本充足率監(jiān)管下的銀行資本與風(fēng)險(xiǎn)行為——《商業(yè)銀行資本充足率管理辦法》實(shí)施后的實(shí)證分析[J];財(cái)經(jīng)論叢;2008年02期

2 周文;;影響銀行冒險(xiǎn)行為的因素——來(lái)自我國(guó)銀行業(yè)的實(shí)證檢驗(yàn)[J];財(cái)經(jīng)理論與實(shí)踐;2007年05期

3 劉勁松;蒲延杰;;隨機(jī)規(guī)劃模型與商業(yè)銀行資產(chǎn)的最優(yōu)配置[J];金融論壇;2010年05期

4 何問(wèn)陶,鄧可斌;資本監(jiān)管、資本充足率與銀行市場(chǎng)均衡[J];當(dāng)代財(cái)經(jīng);2004年08期

5 遲國(guó)泰;張玉玲;王元斌;;基于全部資產(chǎn)負(fù)債利率風(fēng)險(xiǎn)免疫優(yōu)化的增量資產(chǎn)組合決策模型[J];管理工程學(xué)報(bào);2011年02期

6 汪，

本文編號(hào)：1648204