基于RAROC和集中度约束的信贷组合优化配置研究
发布时间：2018-08-07 14:01
【摘要】：随着我国利率市场化进程的日益加快以及资本充足率监管力度的不断加强,如何进行有效的资本配置,即为贷款业务确定合理的风险限额成为银行关注的重点问题。风险限额是在内部评级法量化信用风险的基础上,通过资产组合模型,并根据风险调整后的资本收益率最大化原则,确定的风险敞口上限；同时,巴塞尔委员会明确指出,信贷组合的集中度风险是造成银行危机的一个主要原因,是监管资本及经济资本的重要影响因素。因此,构建基于RAROC (即经风险调整后的资本收益率)和集中度约束的信贷组合优化配置模型,具有重要的现实意义和理论价值。 虽有不少学者在相关方面取得了有价值的研究成果,但仍存在一些有待进一步完善之处,如：信贷组合相关性的估计,受制于数据不足、期限长度不够及代理变量取值难等现状；经济资本的计量,存在假设条件多、精确性较差等不足；组合集中度的计量,存在部分参数只能由模拟产生等不足；信贷限额的配置,存在视角过于微观、前瞻性不足等缺陷。 在借鉴现有研究成果的基础上,本文主要取得了如下研究成果： (1)通过构建RAROC因子模型来计量信贷组合相关性,以体现宏观经济环境对银行资产收益的影响。 基于RAROC涵义,将影响贷款利率的若干经济因素视为RAROC的系统风险因子,即根据凯恩斯和希克斯的经典理论,通过分析IS-LM模型,提炼出四个影响银行资产收益的系统风险因子：经济增长、物价水平、货币供给量和投资额度,据此构建了RAROC因子模型,并给出信贷组合协方差矩阵的计算公式。进一步,以S银行某分行数据进行实证分析,得到了信用评级、行业和企业规模三个维度下信贷组合的RAROC协方差矩阵及相关系数矩阵。 (2)利用S银行某分行的1448笔对公贷款数据和X银行总行的4113笔对公贷款数据,分别测度了它们在信用评级、行业和企业规模三个维度下的集中度,并构建了相应维度下考虑集中度约束的信贷组合优化配置模型。 使用VBA程序设计了一个组合集中度计量模块,测度了S银行某分行和X银行总行的信贷组合集中度及其变化状况,据此分别构建了信用评级、行业和企业规模三个维度下考虑集中度约束的信贷组合优化配置模型,并进行了压力测试。 (3)将上述构建的三个维度下的模型与不考集中度约束的模型进行实证比较,从一个侧面检验与对比分析了上述模型的改进效果。 主要结论为：①各维度下,无论是否考虑集中度约束,随着银行设定的收益目标的增加,组合集中度风险总是随之增加,意味着此时贷款资源的配置也趋于集中；同时,组合风险与收益目标呈正相关性。②各维度下,集中度约束会使银行收益适度变小。③无论是否考虑集中度约束,中间级别的信贷组合RAROC值最大,对银行最具吸引力；批发和零售、工业、房地产这三个行业类信贷组合的配置权重相对较大；值得一提的是：目前利率市场化时机尚未成熟,银行仍可享受息差保护政策的红利,导致大型企业贷款客户更受银行青睐,但从企业规模维度分析知：RAROC随企业规模的递减而递增,表明经营中小企业客户的资本效率远高于大企业,因此可以预计：伴随利率市场化和资本约束的加强以及政策的倾斜,银行的战略转型必将向中小企业倾斜。另外,④压力测试表明：信用评级为7的借款企业、房地产行业的借款企业或小型借款企业在遭遇极端危机时,给银行信贷组合带来的风险最大,应引起S银行特别关注,需结合风险偏好及差异化经营策略,对贷款资源进行优化配置。 总之,本文的创新点主要包括： (1)为刻画信贷组合收益的相关系数矩阵并考察银行资本效率的影响因素,构建了考虑若干宏观经济指标的RAROC因子模型,相应指标有：经济增长、物价水平、货币供给量和投资额度等。 (2)将RAROC和集中度风险作为约束条件引入信贷组合优化配置模型,并分别从信用评级、行业和企业规模三个维度对比分析了信贷组合最优配置方案,有力地保证了银行贷款不至于过度集中于某些信用级别的行业或某种规模的企业,同时保障银行贷款组合获得较好的收益。 (3)考虑了银行贷款对各行业经济增长的贡献率及与区域经济结构的差异性、协调性,据此给出了兼顾银行自身发展和有利于促进区域经济增长的银行贷款优化配置方法。
[Abstract]:With the acceleration of the process of interest rate marketization and the continuous strengthening of capital adequacy regulation, how to carry out effective capital allocation, that is, to determine a reasonable risk limit for the loan business has become the focus of the bank. The risk limit is based on the internal rating method to quantify the credit risk and through the portfolio model, At the same time, the Basel Committee clearly points out that the risk of the centralization of the credit portfolio is a major cause of the bank crisis and an important factor in the regulatory capital and economic capital. Therefore, the construction of the RAROC (i.e., after the risk adjustment) It is of great practical significance and theoretical value to optimize the allocation model of credit portfolios constrained by concentration ratio.
Although many scholars have obtained valuable research results in related aspects, there are still some problems to be further improved, such as the estimation of the correlation of the credit combination, the shortage of data, the lack of time limit and the difficulty of obtaining the value of the proxy variables, the measurement of economic capital, the many hypothetical conditions, the poor accuracy, and so on. In the measurement of portfolio concentration, there are some shortcomings, such as some parameters can only be generated by simulation, and the allocation of credit limits, there are some shortcomings, such as too microscopic perspective, lack of forward-looking.
On the basis of the existing research results, this paper has achieved the following research results:
(1) Establishing RAROC factor model to measure the correlation of credit portfolio to reflect the impact of macroeconomic environment on bank asset returns.
Based on the meaning of RAROC, some economic factors that affect the loan interest rate are considered as the systemic risk factor of RAROC. That is, according to the classical theory of Keynes and Hicks, through the analysis of the IS-LM model, four system risk factors are extracted, which are economic growth, price level, money supply and investment quota, and then the R is constructed. The AROC factor model and the calculation formula of the covariance matrix of the credit combination are given. Further, the empirical analysis of the data of a branch of S bank is carried out, and the RAROC covariance matrix and the correlation coefficient matrix of credit rating, industry and enterprise scale are obtained under the three dimensions of credit rating, industry and enterprise scale.
(2) using 1448 pairs of public loan data of a branch of S bank and 4113 pairs of public loan data of X bank general bank, the concentration degree of their credit rating, industry and enterprise scale in three dimensions is measured respectively, and the optimal allocation model of credit combination considering the degree of concentration constraint under the corresponding dimension is constructed.
A VBA program is used to design a combination concentration measurement module. The credit portfolio concentration and the change status of a branch of S bank and X bank are measured. According to this, the credit portfolio optimization allocation model with three dimensions of credit rating, industry and enterprise scale is constructed, and the pressure test is carried out.
(3) to compare the model of the three dimensions constructed above and the model which is not restricted by the degree of concentration, and analyze the improvement effect of the above model from a side test and comparison.
The main conclusions are as follows: (1) under each dimension, whether or not the concentration constraints are considered or not, the risk of combination concentration increases with the increase of the goal of the bank's income, which means that the allocation of loan resources tends to concentrate at this time; at the same time, there is a positive correlation between the portfolio risk and the income target. No matter whether the concentration constraints are considered or not, the maximum RAROC value of the intermediate level of credit combination is the most attractive to the bank; the allocation weight of the three sectors of the credit combination of wholesale and retail, industry and real estate is relatively large; it is worth mentioning that the current market timing is not ripe and the banks can still enjoy interest rates. The dividend of the policy of differential protection makes large enterprise loan customers more favored by the bank, but it is known from the scale of enterprises that RAROC increases with the decline of enterprise scale, which indicates that the capital efficiency of small and medium-sized enterprises is far higher than that of large enterprises. At the same time, the strategic transformation of the bank will be inclined to the small and medium enterprises. Besides, the pressure test shows that the credit rating is 7 of the borrowing enterprises, the loan enterprises of the real estate industry or the small loan enterprises have the greatest risk to the bank credit combination in the extreme crisis, which should cause the S bank to pay special attention to the risk preference and differentiation. Management strategy to optimize the allocation of loan resources.
In a word, the innovation of this article mainly includes:
(1) to describe the correlation coefficient matrix of the credit portfolio income and investigate the factors affecting the bank's capital efficiency, a RAROC factor model, which considers a number of macroeconomic indicators, is constructed. The corresponding indexes are economic growth, price level, money supply and investment quota.
(2) introducing RAROC and concentration risk as constraints into the optimal allocation model of credit portfolio, and comparing the optimal allocation of credit portfolio from three dimensions of credit rating, industry and enterprise scale, which effectively guarantees that bank loans are not overly concentrated in a certain credit level or a certain scale of enterprises. The bank loan portfolio is guaranteed to gain better returns.
(3) considering the contribution rate of bank loans to the economic growth of each industry and the difference between the regional economic structure and the regional economic structure, the method of optimal allocation of bank loans, which takes into account the development of the bank itself and is beneficial to the promotion of regional economic growth, is given.
【学位授予单位】：大连理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.4;F224
本文编号：2170250
[Abstract]:With the acceleration of the process of interest rate marketization and the continuous strengthening of capital adequacy regulation, how to carry out effective capital allocation, that is, to determine a reasonable risk limit for the loan business has become the focus of the bank. The risk limit is based on the internal rating method to quantify the credit risk and through the portfolio model, At the same time, the Basel Committee clearly points out that the risk of the centralization of the credit portfolio is a major cause of the bank crisis and an important factor in the regulatory capital and economic capital. Therefore, the construction of the RAROC (i.e., after the risk adjustment) It is of great practical significance and theoretical value to optimize the allocation model of credit portfolios constrained by concentration ratio.
Although many scholars have obtained valuable research results in related aspects, there are still some problems to be further improved, such as the estimation of the correlation of the credit combination, the shortage of data, the lack of time limit and the difficulty of obtaining the value of the proxy variables, the measurement of economic capital, the many hypothetical conditions, the poor accuracy, and so on. In the measurement of portfolio concentration, there are some shortcomings, such as some parameters can only be generated by simulation, and the allocation of credit limits, there are some shortcomings, such as too microscopic perspective, lack of forward-looking.
On the basis of the existing research results, this paper has achieved the following research results:
(1) Establishing RAROC factor model to measure the correlation of credit portfolio to reflect the impact of macroeconomic environment on bank asset returns.
Based on the meaning of RAROC, some economic factors that affect the loan interest rate are considered as the systemic risk factor of RAROC. That is, according to the classical theory of Keynes and Hicks, through the analysis of the IS-LM model, four system risk factors are extracted, which are economic growth, price level, money supply and investment quota, and then the R is constructed. The AROC factor model and the calculation formula of the covariance matrix of the credit combination are given. Further, the empirical analysis of the data of a branch of S bank is carried out, and the RAROC covariance matrix and the correlation coefficient matrix of credit rating, industry and enterprise scale are obtained under the three dimensions of credit rating, industry and enterprise scale.
(2) using 1448 pairs of public loan data of a branch of S bank and 4113 pairs of public loan data of X bank general bank, the concentration degree of their credit rating, industry and enterprise scale in three dimensions is measured respectively, and the optimal allocation model of credit combination considering the degree of concentration constraint under the corresponding dimension is constructed.
A VBA program is used to design a combination concentration measurement module. The credit portfolio concentration and the change status of a branch of S bank and X bank are measured. According to this, the credit portfolio optimization allocation model with three dimensions of credit rating, industry and enterprise scale is constructed, and the pressure test is carried out.
(3) to compare the model of the three dimensions constructed above and the model which is not restricted by the degree of concentration, and analyze the improvement effect of the above model from a side test and comparison.
The main conclusions are as follows: (1) under each dimension, whether or not the concentration constraints are considered or not, the risk of combination concentration increases with the increase of the goal of the bank's income, which means that the allocation of loan resources tends to concentrate at this time; at the same time, there is a positive correlation between the portfolio risk and the income target. No matter whether the concentration constraints are considered or not, the maximum RAROC value of the intermediate level of credit combination is the most attractive to the bank; the allocation weight of the three sectors of the credit combination of wholesale and retail, industry and real estate is relatively large; it is worth mentioning that the current market timing is not ripe and the banks can still enjoy interest rates. The dividend of the policy of differential protection makes large enterprise loan customers more favored by the bank, but it is known from the scale of enterprises that RAROC increases with the decline of enterprise scale, which indicates that the capital efficiency of small and medium-sized enterprises is far higher than that of large enterprises. At the same time, the strategic transformation of the bank will be inclined to the small and medium enterprises. Besides, the pressure test shows that the credit rating is 7 of the borrowing enterprises, the loan enterprises of the real estate industry or the small loan enterprises have the greatest risk to the bank credit combination in the extreme crisis, which should cause the S bank to pay special attention to the risk preference and differentiation. Management strategy to optimize the allocation of loan resources.
In a word, the innovation of this article mainly includes:
(1) to describe the correlation coefficient matrix of the credit portfolio income and investigate the factors affecting the bank's capital efficiency, a RAROC factor model, which considers a number of macroeconomic indicators, is constructed. The corresponding indexes are economic growth, price level, money supply and investment quota.
(2) introducing RAROC and concentration risk as constraints into the optimal allocation model of credit portfolio, and comparing the optimal allocation of credit portfolio from three dimensions of credit rating, industry and enterprise scale, which effectively guarantees that bank loans are not overly concentrated in a certain credit level or a certain scale of enterprises. The bank loan portfolio is guaranteed to gain better returns.
(3) considering the contribution rate of bank loans to the economic growth of each industry and the difference between the regional economic structure and the regional economic structure, the method of optimal allocation of bank loans, which takes into account the development of the bank itself and is beneficial to the promotion of regional economic growth, is given.
【学位授予单位】：大连理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.4;F224
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