商业银行贷款组合动态优化模型研究

发布时间：2018-01-19 18:33

本文关键词： 贷款组合优化 Copula函数均值-CVaR模型信用风险迁移原　出处：《河南师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：贷款作为商业银行传统经营业务以及银行的主要利润来源，其带来的信用风险一直是商业银行经营管理的重点，银行业的信用风险一旦发生，将会给金融机构乃至整个市场带来重大损失，更有可能引发金融危机，因此巴塞尔委员会对于金融机构的监管一直强调最低资本金的重要性，最低资本金要求作为金融机构风险管理的重要支柱，其要求防范信用风险的资本额度将占总资本额度的70%。贷款组合管理对银行的市场竞争力以及盈利水平有着举足轻重的影响，商业银行面临的贷款组合风险主要是由于资产配置的不合理产生的，大多数银行只注重贷款组合的收益而忽略本身存在的风险，而现实生活中这些被忽略的贷款风险已经严重制约商业银行的稳定和发展，因此从多维度分析商业银行贷款组合优化问题进行研究已成为目前学术界和金融机构关注的焦点。本论文以商业银行贷款组合优化为出发点，多角度分析贷款组合优化模型，在不考虑风险迁移下优化单期商业银行贷款组合配置，选择出相应的Copula函数，然后推广至多期贷款组合配置，优化整个期间段的贷款组合配置，最后在考虑风险迁移的情形下贷款组合配置优化问题，深化贷款组合模型，使其更加符合实际情况。本论文共为六章，分为三个层次，第一个层次为提出问题、分析问题，具体包括第一章绪论以及第二章商业银行贷款组合优化相关原理；第二个层次为层层递进研究贷款组合优化模型，具体包括第三章基于Copula函数的商业银行贷款组合优化模型、第四章商业银行多期贷款组合动态优化均值-CVaR模型以及第五章基于信用风险迁移的贷款组合优化模型，第三个层次为结论与研究展望，具体包括第六章结论与展望。本文主要解决三大问题：一是对于不同类型贷款企业服从不同的类型的贷款分布的条件下如何构建贷款风险的联合概率分布模型；二是鉴于VaR不满足次可加性和凸性从而不适用与贷款风险度量条件下如何进行风险度量；三是如何在不同区间段下配置资源，，从而使得整个贷款区间段损失最小化。
[Abstract]:As the traditional business of commercial banks and the main source of profits, the credit risk brought by the loan has always been the focus of the management of commercial banks. Once the credit risk occurs in the banking industry. It will bring great losses to financial institutions and even the whole market, and it is more likely to lead to financial crisis. Therefore, the Basel Committee has been emphasizing the importance of minimum capital for the supervision of financial institutions. As an important pillar of risk management of financial institutions, the minimum capital requirement for preventing credit risk will account for 70% of the total capital quota. Loan portfolio management plays an important role in the market competitiveness and profitability of banks. The risk of loan portfolio faced by commercial banks is mainly due to the irrational allocation of assets. Most banks only pay attention to the income of loan portfolio and ignore the risk of their own, but in real life these neglected loan risks have seriously restricted the stability and development of commercial banks. Therefore, the multi-dimensional analysis of commercial bank loan portfolio optimization has become the focus of academic and financial institutions. In this paper, the commercial bank loan portfolio optimization as a starting point, multi-angle analysis of loan portfolio optimization model, without taking into account the risk transfer of single-period commercial bank loan portfolio allocation. Select the corresponding Copula function, then extend the maximum term loan portfolio allocation, optimize the loan portfolio allocation in the whole period, and finally, consider the risk migration in the case of loan portfolio allocation optimization. Deepen the loan portfolio model to make it more in line with the actual situation. This paper is divided into six chapters, divided into three levels, the first level is to raise questions, analysis of the problem, including the first chapter of the introduction and the second chapter of commercial bank loan portfolio optimization related principles; The second level is the layer by layer progressive study of loan portfolio optimization model, including the third chapter of commercial bank loan portfolio optimization model based on Copula function. Chapter 4th commercial bank multi-period loan portfolio dynamic optimization mean-CVaR model and 5th chapter based on credit risk migration loan portfolio optimization model, the third level is the conclusion and research prospects. It includes the conclusion and prospect of 6th chapter. This paper mainly solves three problems: first, how to construct the joint probability distribution model of loan risk for different types of loan enterprises under the condition of different types of loan distribution; The second is how to measure the risk under the condition of loan risk measurement because VaR is not satisfied with subadditivity and convexity; Third, how to allocate resources in different intervals, so as to minimize the loss of the entire loan interval.
【学位授予单位】：河南师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F830.5

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