基于随机规划模型的融资模式研究

发布时间：2018-06-26 05:53

本文选题：开发性金融 + 随机规划　；参考：《华中科技大学》2013年硕士论文

【摘要】：作为我国的开发性金融机构，国家开发银行在为国家基础设施、基础产业和支柱产业提供长期资金支持，引导社会资金投向，缓解经济发展瓶颈制约等方面做出了重大贡献。然而，随着其信贷规模的进一步扩大，资金来源单一、期限结构不匹配等资产负债结构不合理的问题日益凸显，这对银行的资产负债管理和风险控制提出了巨大挑战。资产负债管理随机规划模型对于分析长期财务计划非常有效，并在国外商业银行管理中有实际运用。基于此，本文结合我国的经济实际，通过商业银行资产负债随机规划模型，对国家开发银行的债券期限结构进行了研究。在考虑了利率、新增贷款需求这两个不确定因素的情况下，，并参考银监会对于我国商业银行的监管要求以及开发性金融的特点，引入带惩罚因子的目标函数和流动性比例、中长期负债比例等约束条件，构建了债券期限结构优化的模型。利用该模型，进一步计算得出国家开发银行2011年不同期限下新增债券的最优比例，并与实际的新增贷款规模和债务结构数据进行了对比。结果表明，通过向量自回归预测的利率和贷款需求与实际值较为相近，但模型计算得出的债券结构与实际情况有一定区别，这与无法获得数据明细，债务期限结构与资产期限结构没有匹配等有直接联系。最后，文中指明了模型存在的问题，以及进一步研究的具体方向。
[Abstract]:As a developing financial institution in our country , the State Development Bank has made great contributions in providing long - term financial support for the national infrastructure , basic industries and pillar industries , guiding social capital investment and alleviating the bottleneck of economic development . However , with the further expansion of its credit scale , the unreasonable structure of assets and liabilities such as single fund source and non - matching period structure , this poses a great challenge to the management of assets and liabilities and risk control of banks .

The stochastic programming model of asset liability management is very effective for the analysis of long - term financial plan , and has practical application in the management of foreign commercial banks . Based on this , the paper studies the structure of bond term structure of the state development bank through the stochastic programming model of asset liability of commercial banks .

The results show that the interest rate and loan demand predicted by the vector auto - regression are close to the actual value , but the bond structure calculated by the model is different from the actual situation , which is in direct connection with the failure to obtain the data details , the maturity structure of the debt maturity and the maturity structure of the asset .

Finally , the problems existing in the model and the concrete direction of further research are pointed out .
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4;F224

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