基于随机规划模型的我国商业银行资产配置问题研究

发布时间：2018-03-12 23:00

本文选题：商业银行　切入点：资产配置　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：商业银行作为间接融资的主体，在金融市场具有举足轻重的地位。商业银行能否将稀缺的资源投放到最具竞争力的项目上，不仅对商业银行自身的经营绩效具有重要影响，同时对整个社会的经济增长更具有显著意义。本研究从商业银行资产配置的理论入手，回顾国内外相关研究文献，介绍随机规划模型的建模思路、目标函数与约束条件、情景生成的理论、遗传算法求解原理，从资产配置结构、资产质量、存贷比等方面来分析我国商业银行资产配置的现状，再利用深圳发展银行的实际数据建立了一个带有简单补偿的随机规划模型，并运用遗传算法进行求解。研究表明，在资产配置结构、资产质量、存贷比方面，不同类型的商业银行具有较大差异。差异产生的原因不仅在于商业银行的定位、资源优势、资产管理水平，同时也跟商业银行主要客户所处的行业、经营状况具有较大关系。实证研究还表明，在目前的分业经营模式导致商业银行的资产配置种类仍较为单一的情形下，，随机规划模型能够较好地适用于我国商业银行的资产配置实践中，不仅给出了最优的配置比例，同时该结果也与实际情况是吻合的。模型指出，鉴于债券的良好的流动性以及风险分散能力，在目前的基础上，商业银行可以适当增加债券的持有量，而在短期贷款和中长期贷款的选择上，短期贷款期限短，风险低，其配置比重应高于中长期贷款。
[Abstract]:As the main body of indirect financing, commercial banks play an important role in the financial market. Whether commercial banks can put scarce resources into the most competitive projects will not only have an important impact on the performance of commercial banks themselves. At the same time, the economic growth of the whole society is more significant. This study begins with the theory of asset allocation of commercial banks, reviews the relevant research literature at home and abroad, introduces the modeling ideas of stochastic programming model, objective function and constraint conditions, the theory of scenario generation, and the principle of genetic algorithm. The present situation of asset allocation of commercial banks in China is analyzed from the aspects of asset allocation structure, asset quality, deposit / loan ratio and so on. Then a stochastic programming model with simple compensation is established by using the actual data of Shenzhen Development Bank. Genetic algorithm is used to solve the problem. The results show that different types of commercial banks have great differences in asset allocation structure, asset quality and deposit / loan ratio. At the same time also with the main customers of commercial banks in the industry, business conditions have a greater relationship. The empirical study also shows that the stochastic programming model can be well applied to the asset allocation practice of commercial banks in our country, under the condition that the current separated operation mode leads to the single asset allocation of commercial banks, and the stochastic programming model can be applied to the practice of asset allocation of commercial banks in China. Not only the optimal allocation ratio is given, but also the result is consistent with the actual situation. The model points out that, in view of the good liquidity and risk dispersion of bonds, on the current basis, Commercial banks can appropriately increase their holdings of bonds, but in the choice of short-term loans and medium- and long-term loans, short-term loans have short maturities and low risk, and their allocation ratio should be higher than that of medium- and long-term loans.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F224

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