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

  更多相關(guān)文章： 貸款組合 行業(yè)貸款 多目標規(guī)劃 中間業(yè)務(wù) 流動性

【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險,實現(xiàn)銀行資本的價值最大化,是商業(yè)銀行經(jīng)營管理的基本原則。基于投資組合理論,銀行貸款在具體的貸款客戶、貸款行業(yè)等方面的組合研究是商業(yè)銀行實現(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)營管理不再是停留在簡單的理論層面,更深入銀行經(jīng)營管理的實質(zhì)；不僅僅考慮定量指標的應(yīng)用,而且考慮將定性指標定量化,精細化銀行管理。 利率市場化打破我國商業(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)的當務(wù)之急；同時,利率市場化加快了資本市場的流動,對商業(yè)銀行的流動性提出挑戰(zhàn)。如何保證穩(wěn)定持續(xù)性的收益,同時加快銀行流動性,保證銀行“三性”平衡時我國商業(yè)銀行面對金融環(huán)境的關(guān)鍵任務(wù)。 本文以投資組合理論為基礎(chǔ),以國內(nèi)外學者的研究為參考,將中間業(yè)務(wù)收入、商業(yè)銀行流動性等定性因素,通過分析進行定量化并加入到以組合綜合收益RAROC和風險為目標的行業(yè)貸款組合模型中,并通過模糊綜合評價法、遺傳算法等進行實證運算。本文以基礎(chǔ)理論為依據(jù),將理論與實證相結(jié)合,定性與定量相結(jié)合,從銀行的經(jīng)營實際研究貸款在行業(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)化機制：從行業(yè)的角度,分析行業(yè)與經(jīng)濟形勢的變化趨勢,并運用現(xiàn)代投資組合理論,分析了行業(yè)貸款組合對非系統(tǒng)風險的對沖；說明行業(yè)貸款組合能夠分散組合風險,保證收益； 2.建立收益與風險的多目標模型：以帕累托最優(yōu)為依據(jù),從銀行經(jīng)營的實際目的考慮,將收益與風險統(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險最小化為目標的多目標規(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—中間業(yè)務(wù)收入占比應(yīng)用到貸款行業(yè)的選擇中,從貸款對象的選擇上就注重中間業(yè)務(wù)的貢獻,保證商業(yè)銀行整體中間業(yè)務(wù)的收入； 4.行業(yè)流動性調(diào)整系數(shù)作為貸款組合的對比因子：對于商業(yè)銀行的整體流動性,從其實質(zhì)意義上很難進行度量；作為銀行主營業(yè)務(wù)的貸款流動性對整體流動性的影響較大,將行業(yè)貸款的流動性作為模型的對比因子,對比考慮該因子前后的模型結(jié)果,說明考慮流動性有助于減小組合的風險；行業(yè)貸款的流動性用行業(yè)流行性調(diào)整系數(shù)表示,行業(yè)流動性調(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,通過模糊綜合評價法等方法定量化該系數(shù)； 5.實證分析驗證模型：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)定中確定約束標準,用遺傳算法迭代獲得實證結(jié)果,并通過結(jié)果分析驗證模型的合理性。
[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.

【學位授予單位】：西南交通大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.4

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