资本约束下商业银行资产配置优化决策研究

发布时间：2018-03-22 10:15

本文选题：资本约束　切入点：商业银行　出处：《大连理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：巴塞尔协议II在全球广泛实施后,2007年的次贷危机和2011年的欧债危机,充分暴露了巴塞尔协议II的缺陷,使得各国监管当局再一次将目光聚焦到商业银行风险承担行为上,而商业银行的风险很大程度上取决于其资本水平和资产配置情况。在商业银行市场竞争自由化和利率市场化的大趋势下,商业银行单纯靠存贷利差的营业模式必定不能持久。因此,商业银行很有必要对其资产进行调整,在控制风险的基础上,使得银行的收益最大化。论文以资本约束和资产配置为主要概念,回顾和总结已有相关研究—单纯研究资本监管约束对银行风险承担的影响,纯粹的是方向性的研究,单一贷款资产的研究。论文结合资本监管的特殊性,重点分析了商业银行资产配置的资产组合理论和资本约束对商业银行资产配置影响机理。在此基础上,分别构建无资本约束和资本约束下商业银行资产配置的数理模型,设置相应的约束条件求解。然后,为了进一步验证数理模型的结论,实证检验资本约束下,商业银行资产配置的行为,间接考察银行的风险行为。其中,为了考察银行在外界条件冲击下的资产配置行为,特地设置三种情境进行求解。根据结论,对商业银行自身和监管者两个角度给出政策建议。论文主要有三个方面的创新： (1)研究资本约束与商业银行资产配置关系的视角创新,以往的研究要么研究资本约束,要么研究资产配置,很少将二者结合起来考虑； (2)构建资本约束下商业银行资产配置决策模型,将均值方差模型与效用函数模型相结合,在资本约束、存贷比约束、流行性约束等约束下,求商业银行资产配置最优解； (3)论文研究多种资产配置决策模型,摆脱了过去单一只考虑贷款的研究。以往的研究往往将贷款一种资产进行资产配置,而现实中的情况是银行持有多种资产。
[Abstract]:Basel II in the wide implementation of the global after the subprime crisis in 2007 and 2011 of the European debt crisis has fully exposed the defects of the Basel protocol of II, the national regulatory authorities once again to focus on commercial banks' risk-taking behavior, and the risk of commercial banks depends on the level of capital and asset allocation. The trend in the commercial bank market competition liberalization and marketization of interest rate, commercial banks only rely on deposit spreads business model will not last. Therefore, it is necessary for commercial banks to adjust their assets on the basis of risk control, maximize the profit of the bank.
Based on the capital constraint and asset allocation as the main concept, review and summary of related research, simply on the regulatory capital constraints on the impact of bank risk, pure research direction is the study of single loan assets. Combining with the particularity of capital supervision, analyzes the influence mechanism of portfolio theory and capital asset constraint the allocation of commercial bank asset allocation for commercial banks. On this basis, the mathematical model of the allocation of commercial bank assets without capital constraint and capital constraints were constructed, set the corresponding constraints to solve. Then, in order to further verify the conclusions of mathematical model, empirical test of capital constraints, asset allocation behavior of commercial banks, indirect inspection bank the risk of behavior. Among them, in order to investigate the asset allocation behavior of banks in the external conditions under the impact, specially set up three kinds of situations are solved. According to the conclusion, policy suggestions are given for two perspectives of commercial banks themselves and supervisors.
There are three main innovations in this paper.
(1) to study the innovation of the relationship between capital constraints and the asset allocation of commercial banks, previous studies either studied capital constraints or studied asset allocation, and seldom considered the two elements.
(2) build a capital allocation decision model of commercial banks under capital constraints, combine the mean variance model with utility function model, and find the optimal solution of commercial bank asset allocation under the constraints of capital constraint, loan to deposit ratio and epidemic constraint.
(3) papers have studied a variety of asset allocation decision models and got rid of the past single consideration of loans. Previous studies often used loans to configure assets, but in reality, banks hold multiple assets.

【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F831.2;F830.42

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