商业银行最优资本配置、股利分配策略与操作风险

Optimal capital allocation dividend strategy and operational risk of commercial banks

随着商业银行风险管理实践与理论的逐步发展，操作风险受到了越来越多的关注，已成为与信用风险、市场风险、流动性风险并列的第四大风险来源．但相对而言，该领域的理论研究还较为匮乏．本文在Jarrow的研究范式下，对商业银行操作风险进行了更进一步的理论研究．首先，本文建立随机过程模型，对当存在操作风险时的银行资产进行描述，并利用随机动态优化方法求解了银行最优资本配置和股利分配策略；在此基础上，本文对银行最优策略与风险资产期望收益、波动性以及操作风险强度和频率之间的关系进行了探讨．本文的研究对操作风险的理论框架起到了补充和完善的作用，并为商业银行在操作风险存在条件下的资本配置和股利分配方案制定提供了一定的理论参考．

With the gradual accumulation of practice and theory of risk management in commercial banks, operational risk has received more and more attention, and has become the fourth major risk sources with credit risk, market risk and liquidity risk. But the theoretical research in this field is still relatively scarce. Under the framework of Jarrow, this paper does a theoretical research into operational risk of commercial banks, one step further. The stochastic model for the asset process and operation risk of the bank is set up firstly; and the optimal asset allocation and dividend strategy for the bank is derived by means of the stochastic optimal dynamic method then; at last, the relationship between the optimal strategies and the expected return and volatility of the risky asset and the severity and intensity of the operational risk. This paper contributes to the theoretical framework of operational risk, and puts forward suggestions for commercial banks under the operation risk for their production and business activities.