【作者】 孙秀艳；

【导师】 迟国泰；

【作者基本信息】 大连理工大学 ， 产业经济学， 2006， 硕士

【摘要】 资产组合管理水平对银行的市场竞争能力和盈利能力有着相当大的影响。对信用风险进行有效的度量和控制,以及与此密切相关的银行资产组合的优化问题成为目前学术界和银行业共同关注的焦点。 本文分为五章,第一章阐述了资产组合理论的发展过程及研究现状;第二章阐述了银行资产组合优化模型建模的基本原理,为组合优化模型提供了理论基础;第三章为银行资产组合模型的建立,对我国商业银行的资产组合管理进行了应用设计;第四章运用所建模型进行了实例分析;第五章为结论。 本文的研究重点主要有两方面:一是对银行的信用风险进行修正,具体体现为用峰度和偏度对企业信用等级转移概率进行修正和引入半绝对离差对银行资产组合信用风险进行修正。二是建立在银行既定收益率和相关法律法规约束下以组合信用风险最小为目标的资产组合优化模型。 本文的创新与特色主要有三:一是用峰度和偏度对正态假定下企业信用等级转移对应的阈值进行了修正。这种做法改变了现有研究把本来是非正态分布的企业收益率按照正态分布规律确定其企业信用等级阈值的不合理现象,使其结果更接近企业收益率真实分布对应的阈值,提高了资产组合信用风险的计量精度。二是将半绝对离差方法引入到资产组合信用风险度量中。这种做法解决了现有研究以方差或绝对离差表征风险、将高于期望收益的超额收益部分当作风险处理的问题,使资产组合信用风险量化更为真实准确。三是对企业实际收益率进行Monte Carlo模拟。通过模拟得到各类贷款的未来期望收益率,改变了现有研究用过去的贷款收益率的历史均值计算资产组合信用风险的做法,解决了从未来角度出发反映不确定性问题,使资产组合信用风险的度量更加合理。更多还原

【Abstract】 The level of asset-liability portfolio management has sizable influence on the market competitiveness and profit ability of bank, so carrying on effective measurement and control to the credit risks, and the closely related optimization question of the bank’s assets portfolio become the focus of both academia and banking at present.This paper includes five chapters.The first chapter elaborates the developing process and the present research of assets portfolio; the second chapter elaborates the basic principle of a portfolio optimization model of banking which can provide the basic theory for the model; the third chapter is the establishment of the model, which is designed for our country commercial bank’s assets management; the fourth chapter carries on the application with the constructed model;the fifth chapter is the conclusion.This paper mainly has two research emphasis: the first is the adjust of credit risk, which manifest doing some adjusting on the critical to Risk Migration corresponding the distributing of annual earning rates whih Skewness and Kurtosis. The second is considering the constrain on the established earning, laws, regulations and sets up the optimal model of asset-portfolio.The characteristics of this paper lie on three aspects: Firstly, this paper does adjusting on the critical to Risk Migration corresponding abnormal distribution with Skewness and Kurtosis, so it change the existing research which taked variables as a specifical distribution, and the measure precision of loan portfolio risk is improved also. Secondly, this paper introduces the Semivariance Absolute Deviation to measure the credit risk. It can eliminate the "excess profit" which caused by the Deviation or Absolut Deviation which take the exceeding mean-earning rates as risk. Therefore, the Semivariance Absolute Deviation can measure the loan portfolio risk more accurately. Thirdly, this paper do the Monte Carlo simulation on actual annual earning rates, through which it discovers the future annual earning rates means instead of the historical ones, and also can solve the problem that the existing research cannot accurately reflect the uncertainty from the practical condition of future, and make the measurement of loan portfolio risk more rational.更多还原