现代商业银行资金“三性”平衡的金融工程方法研究

【作者】 鄢斗；

【导师】 彭建刚；

【作者基本信息】 湖南大学 ， 金融学， 2003， 硕士

【摘要】 现代商业银行在资金来源和运用上的特殊性，决定其必然将资金的安全性、流动性和盈利性三者之间的动态均衡作为日常经营的基本目标。随着商业银行经营环境的不断变化，传统的金融工具和经营管理方法已越来越难以适应新的要求。伴随着金融创新浪潮，金融工程应运而生。金融工程将工程思维引入金融领域，综合地采用各种工程技术方法设计、开发和实施新型的金融产品，创造性地解决各种金融问题。 金融工程方法主要是通过识辨和利用金融机会来创造价值的，估值理论、投资组合理论、无套利均衡理论、期权定价理论等金融理论的发展对金融工程的发展起了奠基和指导性的作用。与之相对应，金融工程种类繁多的产品都是在一些基本实体工具的基础上组合发展而来。 正是在相关金融理论和基本实体工具的基础上，金融工程针对具体问题设计出具体的策略和方法，寻求最优解。金融工程方法在商业银行的应用以追求资金的“三性”平衡目标为原则，围绕着规避风险、发掘套利机会、解决流动性等问题来展开。通过运用新型的资产负债管理方法、套期保值技术以及信用衍生产品来防范和控制市场风险及信用风险；通过业务表外化、杠杆操作等方式来降低资金成本，并构筑多种套利机会来提高不断提高经营效益；通过设计开发多种新型的融资形式(如资产证券化等方式)来增强流动性水平。金融工程方法为商业银行更好地实现“三性”平衡提供了灵活有效的手段。 金融工程方法在我国商业银行的应用上尚存在一定的制约因素，但从长远来看，逐步实施金融工程方法有利于我国商业银行产品的多样化，有利于提高风险管理水平，增强创新意识，促使业务水平向国际化靠拢。更多还原

【Abstract】 Due to the particularity of the resources and applications of funds, Modern commercial banks have to consider the equilibrium among safety, liquidity and profitability as the basic ami in daily operations. There are continuously changes in the environment of commercial banking. Traditional financial instruments and management methods are not very suitable to deal with the new problems in the fields of commercial banking. As a result, financial engineering, which introduces engineering methods into the financial fields, develops in the past decades. Financial engineering involves the design, the development and the implementation of innovative financial instruments, and processes, and the formulation of creative solution to problems in finance.Just like any other engineering, financial engineering is based on some important modem financial theories, which mainly include the theory of value evaluation, asset pricing, portfolio management, risk management and so on. On the other hand, multiplex products of financial engineering come from some basic financial instruments. The design of financial engineering products, in fact, is to create new tools and process the present instruments. Changing, compounding and synthesizing are often the main ways to be used.By applying the theories and the instruments, financial engineering will design particular strategies and ways for the optimum solutions. In the fields of commercial banks, financial engineering’s operation are to purchase the aims in controlling risk, finding arbitrage opportunity and solving the liquidity problem. There are a serials of methods for the purpose of safety, profitability and liquidity ,such as new methods in asset-liability management hedging technology credit derivatives, arbitrage strategy, asset securitilization and so on.There are some barriers in the broad application of financial engineering methods in the banking of our country at present, in the long term, however, it will benefit china’s commercial banks in many respects, which involves the diversification of financial instruments, the promotion of risk management level, the development of innovation and creation, and the internationalization of banking businesses.更多还原