基于我国商业银行行业集中度最优化的中长期贷款组合研究

发布时间：2018-02-25 04:05

本文关键词： 资产负债管理集中度风险中长期贷款组合　出处：《广东财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：商业银行的贷款组合管理水平不仅决定着商业银行的盈利水平，同时对整个金融体系的稳定和发展也有重要的影响，，因此对贷款组合管理优化的研究就显得至关重要。其中集中度风险是商业银行在贷款发放中面临的主要风险，结合以往在贷款组合优化管理研究中对集中度风险研究的匮乏，本文着重从控制集中度风险的角度对贷款组合优化管理进行研究。本文首先介绍了集中度风险的内涵，成因，理论根源，风险效应以及风险测算的理论知识，指出现有研究缺乏对贷款集中度风险的定量控制。而本文通过建立行业集中度最优化的目标函数，在包括客户集中度约束在内的约束条件下实现了贷款集中度的定量控制。然后对贷款组合优化管理中相关风险测算指标进行了简要的介绍，指出各指标在贷款组合风险控制中的优缺点和应用，本文侧重于对集中度风险的控制,弥补了上述指标缺乏对集中度风险控制的缺陷。最后本文以商业银行中长期贷款在各行业的集中度最优为目标，在单位风险收益不小于商业银行既定目标值以及法律法规的约束条件下，建立了基于行业集中度最优化的中长期贷款组合优化模型。解决了我国商业银行在发放中长期贷款时把贷款过度集中于某一行业而带来的集中度风险过大的问题。
[Abstract]:The loan portfolio management level of commercial banks not only determines the profitability of commercial banks, but also has an important impact on the stability and development of the entire financial system. Therefore, it is very important to study the optimization of loan portfolio management, in which the risk of concentration is the main risk faced by commercial banks in the loan issuance, combined with the lack of research on the risk of concentration in the previous research on optimal management of loan portfolio. This paper focuses on the optimal management of loan portfolio from the perspective of controlling the risk of concentration. This paper first introduces the connotation, cause of formation, theoretical origin, risk effect and theoretical knowledge of risk measurement of concentration risk. It is pointed out that the existing research lacks quantitative control of the risk of loan concentration. In this paper, the objective function of the optimization of industry concentration is established. The quantitative control of loan concentration is realized under the constraint of customer concentration degree, and then the risk measurement indexes in the optimal management of loan portfolio are briefly introduced. The advantages, disadvantages and applications of each index in the risk control of loan portfolio are pointed out. It makes up for the lack of risk control of the above indicators. Finally, this paper aims at the optimal concentration of medium- and long-term loans of commercial banks in various industries. If the return on unit risk is not less than the established target value of the commercial bank and the restriction of laws and regulations, Based on the optimization of industry concentration, a model of medium and long term loan portfolio optimization is established, which solves the problem of excessive concentration risk caused by excessive concentration of loans in a certain industry when Chinese commercial banks issue medium and long term loans.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F832.4

【参考文献】