多目标行业贷款组合优化模型研究

发布时间：2018-01-03 12:07

本文关键词：多目标行业贷款组合优化模型研究　出处：《西南交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：将有限的贷款资源合理地分配,以期获得最大的收益和最小的风险,实现银行资本的价值最大化,是商业银行经营管理的基本原则。基于投资组合理论,银行贷款在具体的贷款客户、贷款行业等方面的组合研究是商业银行实现收益、健康可持续发展的主要路径。随着巴塞尔协议的不断深入和应用,商业银行的经营管理不再是停留在简单的理论层面,更深入银行经营管理的实质；不仅仅考虑定量指标的应用,而且考虑将定性指标定量化,精细化银行管理。利率市场化打破我国商业银行传统的收入格局,缩小了存贷利率差,减少了商业银行的收入,商业银行面临增加中间业务收入,调整收入结构的当务之急；同时,利率市场化加快了资本市场的流动,对商业银行的流动性提出挑战。如何保证稳定持续性的收益,同时加快银行流动性,保证银行“三性”平衡时我国商业银行面对金融环境的关键任务。本文以投资组合理论为基础,以国内外学者的研究为参考,将中间业务收入、商业银行流动性等定性因素,通过分析进行定量化并加入到以组合综合收益RAROC和风险为目标的行业贷款组合模型中,并通过模糊综合评价法、遗传算法等进行实证运算。本文以基础理论为依据,将理论与实证相结合,定性与定量相结合,从银行的经营实际研究贷款在行业之间的配置。本文的主要研究工作如下： 1.分析行业贷款组合的优化机制：从行业的角度,分析行业与经济形势的变化趋势,并运用现代投资组合理论,分析了行业贷款组合对非系统风险的对冲；说明行业贷款组合能够分散组合风险,保证收益； 2.建立收益与风险的多目标模型：以帕累托最优为依据,从银行经营的实际目的考虑,将收益与风险统一考虑,建立了以贷款组合的综合收益最大化和贷款组合风险最小化为目标的多目标规划模型； 3.中间业务收入考核作为约束条件：将银行整体的中间业务考核指标—中间业务收入占比应用到贷款行业的选择中,从贷款对象的选择上就注重中间业务的贡献,保证商业银行整体中间业务的收入； 4.行业流动性调整系数作为贷款组合的对比因子：对于商业银行的整体流动性,从其实质意义上很难进行度量；作为银行主营业务的贷款流动性对整体流动性的影响较大,将行业贷款的流动性作为模型的对比因子,对比考虑该因子前后的模型结果,说明考虑流动性有助于减小组合的风险；行业贷款的流动性用行业流行性调整系数表示,行业流动性调整系数的确定是从行业宏观层面和行业内企业的微观层面的影响因素入手,通过模糊综合评价法等方法定量化该系数； 5.实证分析验证模型：利用某商业银行近五年的数据作为基本数据,从相关的银行规定中确定约束标准,用遗传算法迭代获得实证结果,并通过结果分析验证模型的合理性。
[Abstract]:The limited loan resources reasonable allocation, in order to obtain the maximum profits and minimum risk, realize the maximization of bank capital value, is the basic principle of the management of commercial banks. Based on the theory of investment portfolio, bank loans in the specific loan portfolio of loan customers, industry and other commercial banks to achieve revenue, mainly the path of sustainable development.
With the deepening and application of the Basel agreement, the management of commercial banks no longer stays at a simple theoretical level, but also goes deep into the essence of bank management and management. It not only considers the application of quantitative indicators, but also considers the quantification of qualitative indicators and the refinement of bank management.
The interest rate market to break the traditional income pattern of commercial banks in China, narrowing the deposit interest rates, reducing the income of commercial banks, commercial banks increase intermediate business income, adjust the income structure at the same time, a pressing matter of the moment; market interest rates to accelerate the flow of capital market, put forward the challenge to the liquidity of commercial banks. How to ensure stable and continuous income, while speeding up the bank liquidity guarantee bank "three" balance of China's commercial banks face the key tasks of the financial environment.
This paper is based on portfolio theory, the research of scholars at home and abroad for reference, the intermediate business income, the liquidity of commercial banks and other qualitative factors, through quantitative analysis and added to the loan portfolio model with a combination of comprehensive income and risk as the goal of the RAROC industry, and through the fuzzy comprehensive evaluation method, genetic algorithm etc. the empirical calculation. In this paper, on the basis of basic theory, combined with theoretical and empirical, qualitative and quantitative, from the actual operation of the bank loans in the study between the industry configuration.
The main research work of this paper is as follows:
1. analysis of loan portfolio optimization mechanism: from the perspective of industry, the changing trend of the industry and the economic situation, and the application of modern portfolio theory, analysis of hedge loan portfolio of non system risk; industry loan portfolio can disperse risk, guarantee income;
2. to establish the benefits and risks of the multi object model: Based on Pareto optimality as the basis, considering the actual purpose of the banking business, the risks and benefits of unified consideration, multi goal programming model is established to maximize the total revenue of the loan portfolio and loan portfolio risk minimization in;
3. intermediate business income assessment as constraints: the overall bank intermediary business assessment index - intermediate business income accounted for application to the loan industry choice, pay attention to the intermediary business loans from the choice of target contribution, ensure the overall commercial bank intermediary business income;
4. industry liquidity adjustment coefficient as the contrast factor of loan portfolio for the overall liquidity of commercial banks, from the essence of it is very difficult to measure the liquidity of bank loans; as the main business of the larger effect on the overall mobility, comparing the factor model of liquidity loans to industries, compared to consider model the results of the factor before and after that, considering the liquidity helps to reduce the risk of portfolio; liquidity loans to industries that use popular industry adjustment coefficient, industry liquidity adjustment coefficient is determined based on the influence factors of industry macro level and micro level industry enterprises, through quantitative fuzzy comprehensive evaluation method. The coefficient;
5., empirical analysis and validation model: using the data of a commercial bank in recent five years as basic data, determining the constraint standard from relevant bank regulations, obtaining the empirical results by genetic algorithm iteration, and verifying the rationality of the model through the result analysis.

【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

【参考文献】