行业组合视角下的银行信贷优化管理——基于中国商业银行的优化模型设计与实证分析

Optimal Management of Bank Credit from the Perspective of Industry Portfolio--Based on Optimization Model Design and Empirical Analysis of Chinese Commercial Banks

本文在经济下行周期的背景下,从行业组合的视角探讨商业银行如何根据国家政策及自身战略积极布局信贷资产,从被动调控向主动管理转变,实现收益、风险及资本的优化。本文提出两个优化模型——基于最优增长率的均值方差基准模型和专家判断的主动配置模型,通过加入风险相关性、风险容忍度、经济资本等约束,为银行在不同风险偏好下积极配置资产提供依据。本文通过中国商业银行的历史数据,验证上述两个优化模型,发现组合在提升收益、降低风险和提升资本使用效率方面均得到改善,模型具有有效性。

In the context of the economic downturn cycle and from the perspective of industry portfolio,this paper discusses how commercial banks actively arrange credit assets in accordance with national policies and their own strategies,change from passive regulation to active management,and realize the optimization of profit,risk and capital.This paper proposes two optimization models,one is the mean-variance model based on the optimal growth rate,and the other is the active allocation model based on expert judgment.By adding the constraints of risk correlation,risk tolerance and economic capital,the paper provides foundations for banks to actively allocate assets according to different risk preferences.Based on the historical data of China’s commercial banks,this paper verifies the above two optimization models,and finds that the portfolio model has been improved in terms of improving profit,reducing risk and improving capital utilization efficiency.The model is effective.