摘要
以最小的成本和风险获取最大收益一直是商业银行贷款资源配置遵循的基本原则。在贷款资源有限约束下,研究贷款的优化配置以获取最佳经营效果成为商业银行信贷经营和风险管理的重点之一,而以马科威茨(Markowitz)1952年发表的“证券投资组合选择”为基础发展起来的现代投资组合理论为商业银行实现这一经营目标提供了坚实的理论基础。
本文以Markowitz的投资组合理论为基础,将信用风险理论、经济资本管理和风险收益理论有机结合在一起,理论研究和应用分析并重,运用均值方差模型、非线性规划、多目标规划、最优化理论和矩阵理论等工具,开展商业银行信用风险管理中的贷款组合优化配置管理的研究。主要成果如下：
1.针对现有信用风险计量模型的缺陷,提出了基于公司违约模型的联合预测方法。信用风险的计量作为推行商业银行内部评级中的核心内容,是信贷风险管理中十分重要的基础工作。但从现有模型的实际运用看,模型的解释功能较强而预测功能不足。论文对这一现象进行了理论解析,并根据Altman模型的核心思想,通过研究非财务因素对财务状况的作用机理和大小,尝试建立基于非财务因素和财务因素的联合模型来实现预测功能。
2.研究了RARoC在商业银行实务中的计量及系统构建。从商业银行在业务拓展过程中均衡风险和收益的思想,重点研究风险调整后的资本收益率(RAROC)在中国商业银行实务中的计量方法,并对测算中面临的数据提取、匹配、分摊和拨备确定等方面问题进行探讨,进而从计量模型、基础数据库和业务部门支持等方面提出RAROC系统建设的关键要素,为商业银行的绩效考核体系和RAROC系统建设提供参考。
3.贷款组合优化配置的目标函数选择研究。首先,以贷款客户为研究对象,构建了基于RAROC最优的客户组合优化决策模型；其次,根据构建的客户组合优化模型,通过对以贷款风险收益最大化和以客户综合风险收益最大化为目标的贷款组合的比较分析,研究目标函数选择的科学性和有效性。依据商业银行的历史数据,从实务角度论证采用综合风险收益最大化作为贷款组合管理目标的科学性和合理性。
4.基于商业银行长期价值最大化的管理需求,构建了多目标行业贷款组合优化管理模型,属于论文的应用研究。以贷款行业作为研究对象,将具有相同行业属性的贷款集成于同一行业内,并加入资本效率约束来构建多目标下多个行业的信贷组合决策模型。模型能兼顾收益、风险和资本运用效率等多种关系,将以贷款为对象的微观组合贷款管理转变为以行业为载体的中观组合贷款管理,尝试运用粒子群优化算法进行迭代求解,得到整体综合收益RAROC最大和组合风险最小的贷款最优分配比例。
5.关于贷款损失保险及其组合管理的研究。根据巴塞尔新资本协议(BaselⅢ)要求,从目前的监管标准和近年来商业银行融资情况看,未来银行资本需求巨大且消耗速度快,传统的资本补充渠道对长期性的银行巨量资本补充需求已经明显难以为继,银行业的长期发展己严重受制于经济资本的短缺。论文从贷款占用经济资本的角度提出银保联合创新,研究通过购买贷款损失保险释放部分经济资本从而获得发展新信贷业务所需资本的创造机制,探索银行资本补充的新途径,并研究相关组合管理。
6.针对我国商业银行忽视各经营机构自然禀赋、客户资源、人员素质和管理文化差异的行政化“硬约束’’管理过多而出现信贷资源错配、效率低下的现象,进行商业银行信贷经营的内部市场化管理研究。依据构建的贷款组合优化模型,提出建立信贷经营“软约束”管理体系的新思路,并给出相关政策建议。
The fundamental principle of loan resource allocation for commercial bank is to maximize the commercial bank's return with minimum cost and risk. Because the loans of commercial bank are scarce and valuable, the optimization of loan portfolio is the key method to improve its ability of credit operations and risk management. The famous mean-variance (M-V) model which was introduced by Markowitz in1952provided the basis for the modern investment theory. Furthermore, it supplied the theoretical basis for commercial bank to realize the operation goals.
Based on the modern investment theory, this paper considers the credit risk theory, economic capital management and risk return model. The methods such as mean-variance model, structural equation model, nonlinear programming, multi-objective programming, optimization theory and matrix theory are used to study the optimization of loan portfolio for the credit risk management of commercial bank. The main results are in the following:
1. Due to the drawback of existing models, a new default probability model is established based on joint prediction method. As the core content of IRB for commercial banks, the credit risk measurement is the very important basic work in credit risk management. With the present results of a stronger ability to explain and a weak ability to predict, this paper gives detailed analysis of the modeling idea and core principles of Altman's system. Through the performance of non-financial factors, a new default probability model is established based on non-financial factors and financial factors.
2. The measurement and structure of RAROC model for commercial bank are studied. From the perspective of how to balance the risk and earning in business development process, the different RAROC (Risk Adjusted Return on Capital) measurement models are detailed for Chinese commercial bank under different management purposes. The problems in calculating RAROC such as data extraction, matching, apportionment and provisioning are discussed. Furthermore, the key factors of the system constructing are presented based on measurement model, foundation database and the business sector support.
3. The objective function of optimizing selecting for loan portfolio model is analyzed. First, with the credit customer as the studying objective, the optimization model of loan portfolio is established. Then, based on the maximum loan return and gross return, the selection of objective function is analyzed through the optimization model of loan portfolio. According to actual operation data of commercial bank, the result shows that the optimum choice of bank's credit management is to consider the maximum gross return as its management objective.
4. A multi-objectives optimization management model of industry loan portfolio is studied based on long-term value maximization of commercial bank. In view of the commercial bank's risk tolerance and the capital utilization ratio, capital efficiency is used to build a multi-objectives optimization management model of industry loan portfolio. This model takes account of the comprehensive income of loan portfolio, risk and capital efficiency by setting some constraints, and particle swarm optimization is presented to analyze this management model. A numerical example is given to obtain the optimal weight with the maximum risk adjusted return on capital and the minimum risk.
5. The loan loss insurance and its application in loan portfolio. According to the New Basel Capital Committee commends (BⅢ), the domestic listed banks need to finance frequently from capital market as it will restrict the new loans of bank if there is no added capital. The loans of commercial bank are scarce and valuable because of the hard constraints of capital adequacy ratio. A new way of releasing economic capital based on the cooperation of bank and insurance company is presented. The economic capital which is released by loan loss insurance can be recycled, and the bank will obtain new virtual capital to develop the credit business. Furthermore, this method is applied to the management of loan portfolio.
6. The branch institutions of Chinese commercial banks have their own natural endowment, customer resources, personnel quality and management culture. Because of hard constraint such as administrative measures, there exists the phenomenon of resources misallocation and low effectiveness inside commercial banks. From the view of soft constraint, this paper studies the internal marketization management of commercial banks to optimize corporation loan portfolio, and it also can promote the delicacy management of commercial banks.
引文
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