本文關(guān)鍵詞： 資產(chǎn)負(fù)債管理 集中度風(fēng)險 中長期貸款組合　出處：《廣東財經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：商業(yè)銀行的貸款組合管理水平不僅決定著商業(yè)銀行的盈利水平，同時對整個金融體系的穩(wěn)定和發(fā)展也有重要的影響，，因此對貸款組合管理優(yōu)化的研究就顯得至關(guān)重要。其中集中度風(fēng)險是商業(yè)銀行在貸款發(fā)放中面臨的主要風(fēng)險，結(jié)合以往在貸款組合優(yōu)化管理研究中對集中度風(fēng)險研究的匱乏，本文著重從控制集中度風(fēng)險的角度對貸款組合優(yōu)化管理進(jìn)行研究。 本文首先介紹了集中度風(fēng)險的內(nèi)涵，成因，理論根源，風(fēng)險效應(yīng)以及風(fēng)險測算的理論知識，指出現(xiàn)有研究缺乏對貸款集中度風(fēng)險的定量控制。而本文通過建立行業(yè)集中度最優(yōu)化的目標(biāo)函數(shù)，在包括客戶集中度約束在內(nèi)的約束條件下實現(xiàn)了貸款集中度的定量控制。然后對貸款組合優(yōu)化管理中相關(guān)風(fēng)險測算指標(biāo)進(jìn)行了簡要的介紹，指出各指標(biāo)在貸款組合風(fēng)險控制中的優(yōu)缺點和應(yīng)用，本文側(cè)重于對集中度風(fēng)險的控制,彌補(bǔ)了上述指標(biāo)缺乏對集中度風(fēng)險控制的缺陷。最后本文以商業(yè)銀行中長期貸款在各行業(yè)的集中度最優(yōu)為目標(biāo)，在單位風(fēng)險收益不小于商業(yè)銀行既定目標(biāo)值以及法律法規(guī)的約束條件下，建立了基于行業(yè)集中度最優(yōu)化的中長期貸款組合優(yōu)化模型。解決了我國商業(yè)銀行在發(fā)放中長期貸款時把貸款過度集中于某一行業(yè)而帶來的集中度風(fēng)險過大的問題。
[Abstract]:The loan portfolio management level of commercial banks not only determines the profitability of commercial banks, but also has an important impact on the stability and development of the entire financial system. Therefore, it is very important to study the optimization of loan portfolio management, in which the risk of concentration is the main risk faced by commercial banks in the loan issuance, combined with the lack of research on the risk of concentration in the previous research on optimal management of loan portfolio. This paper focuses on the optimal management of loan portfolio from the perspective of controlling the risk of concentration. This paper first introduces the connotation, cause of formation, theoretical origin, risk effect and theoretical knowledge of risk measurement of concentration risk. It is pointed out that the existing research lacks quantitative control of the risk of loan concentration. In this paper, the objective function of the optimization of industry concentration is established. The quantitative control of loan concentration is realized under the constraint of customer concentration degree, and then the risk measurement indexes in the optimal management of loan portfolio are briefly introduced. The advantages, disadvantages and applications of each index in the risk control of loan portfolio are pointed out. It makes up for the lack of risk control of the above indicators. Finally, this paper aims at the optimal concentration of medium- and long-term loans of commercial banks in various industries. If the return on unit risk is not less than the established target value of the commercial bank and the restriction of laws and regulations, Based on the optimization of industry concentration, a model of medium and long term loan portfolio optimization is established, which solves the problem of excessive concentration risk caused by excessive concentration of loans in a certain industry when Chinese commercial banks issue medium and long term loans.
【學(xué)位授予單位】：廣東財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33;F832.4

【參考文獻(xiàn)】

相關(guān)期刊論文 前4條

1 張永成;;利率市場化條件下我國商業(yè)銀行利率風(fēng)險實證分析[J];廣西大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2006年03期

2 李紅俠;;商業(yè)銀行貸款集中度風(fēng)險的計量模型與實證研究[J];海南金融;2010年02期

3 楊中原;許文;;基于VaR和集中度約束的貸款組合優(yōu)化模型[J];經(jīng)濟(jì)數(shù)學(xué);2011年02期

4 王富華;姜姍姍;;基于風(fēng)險與收益的上市銀行貸款集中度研究[J];經(jīng)濟(jì)經(jīng)緯;2012年05期

本文編號：1532919