【作者】 董贺超；

【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。随着全球范围内公司破产现象的大幅增加,信用风险已成为银行业所面临的主要风险,对于我国的商业银行尤其如此。于是将贷款信用风险迁移引入到贷款收益率的计量,以及从多期资产组合的角度进行银行资产组合的优化问题的研究已成为目前学术界和银行业共同关注的焦点。因此,目前在我国研究资产组合优化模型可以为商业银行的风险控制以及资产结构优化配置提供决策支持,具有重要的现实意义。 本文的分为五章,第一章是介绍资产组合管理理论及工具;第二章时介绍本文使用的原理;第三章是基于多期动态优化的银行资产组合决策模型的建立;第四章是实例研究;第五章是结论。 本研究运用线性规划方法,以银行各项资产组合收益最大化为目标函数,以VaR风险收益率为约束,以法律、法规和经营管理约束为条件,建立基于多期动态优化的银行资产组合决策模型。并通过应用实例,验证了该模型对我国商业银行资产组合管理的适用性和可操作性。 本论文的特色与创新一是考虑了不同区段贷款效益对全部区段贷款总体效益的相互影响。在不同的区间段,引入了逆向递推原理,在考虑所有贷款区间全部收益最优化的前提下,优化配给区间段的贷款配给,反映了不同期限下不同的影响,沟通了各区段之间的联系,决策立足于不同区间的全局最优化,改变了现有研究资产分配比例只是在单期里求解而忽略了各期资产分配比例之间的联系与影响的问题。二是考虑到本期的贷款收益率期望值将受到上一期贷款信用等级迁移的影响。把企业信用风险迁移的思路引入到贷款收益率的计算中,反映了企业信用等级迁移对企业收益率的影响,更加客观地反映了贷款的真实收益与风险的关系,解决了现有研究仅简单求解各笔贷款的收益率期望值而忽略信用风险迁移的问题。更多还原

【Abstract】 The asset portfolio management level has great effect on the market competition ability and payoff ability. With the bankruptcy phenomena increasing, credit risk has been the major risk that banking confronts, especially for China’s commercial banks. Therefore, to introduce the loans’ credit risk into the computation of the earning yield and study the bank’s asset portfolio from the multi-period asset portfolio has become the focus of the academe and banking. Therefore, the research of optimized model of asset portfolio could provide the risk control and the decision foundation of the optimized allocation of assets of commercial banks, which has the important realistic meaning.The paper is organized as follows. Section 1 reviews the literature on theory and model of Asset-Liability-Management, and our principle is introduced in Section 2 Our model is set up in Section 3. The asset allocation results are reported in Section 4. Section 5 concludes.The research applies the linear programming and takes the maximum income of each asset portfolio of banks, and it also takes the VaR risk value and law and rules and management as the restraints to set up the portfolio decision model for banks based on multi-period dynamic optimization. Meanwhile through application, it tests the model is suitable and maneuverable for the China’s commercial asset portfolio management.The first characteristic and innovation of this paper is to consider the mutual effect of each period of loans and applies the Backward Induction Method to set up the optimized admeasure of the current loans which makes the total loans allocation of the whole section reach the best. And then such problems as the neglect or lack consideration of the interaction of each period can be solved. The second characteristic and innovation of this paper is to consider the previous loan credit level transferring will influence the current expected value of the loan yield. This paper is that introduces the credit risk migration mentality to in the loan’s yield calculation, had reflected the credit rank migration to the loan’s yield influence. It can objectively reflect the real yield and risk. As a result the problem of simply seeking the expected value of each loan’s yield or only considering it as constant and neglect the credit risk migration in the recent studies can be solved.更多还原