组合风险管理视角下信贷结构的优化

The Optimizing of the Credit Structure Based on the Portfolio Risk Management

本文通过构建组合管理模型,对信贷资产组合结构进行实证研究,计算各行业的组合损失分布和经济资本。研究表明,信贷资产组合损失呈现对数状态分布;各行业贷款的经济资本结构和贷款规模结构、收益结构之间存在巨大的差异。商业银行应该基于贷款的经济资本、贷款规模和收益等要素来制定信贷结构优化调整策略;商业银行在开展信贷结构调整的过程中,不仅要考虑各个行业的回报率和资产规模,还应该从风险调整收益角度进行"投入—产出"的对比分析,应按照风险收益相匹配的原则,增加风险调整收益较高的"高效能"领域信贷资产的规模水平。

By building a portfolio management model, this paper empirically researches the portfolio structure of credit assets and calculates the lose distribution of the portfolios and the economic capitals of different industries. The results show that the lose of credit asset portfolio demonstrates a logarithmic distribution; there is great difference between the economic capital structures, size structures and income structures of the loans of different industries. Commercial banks should make their strate- gies to optimize credit structure according to the economic capital, size, income, etc. of the loans. In the process of adjusting credit structure, the commercial banks should not only consider the return rate and the asset size, but also compare the input- output from the perspective of risk-adjusted return, and increase the size of the credit assets from the＂highly effective fields＂, in which the risk-adjusted return is high, according to the principle of matching risk and return.