经济增长贡献率视角下的多目标信贷配置模型  

Multi-objected Loan Allocation Model from the Perspective of Contribution Rate to Economic Growth

作　　者：秦学志[1] 魏强[1] 胡友群[1] 

机构地区：[1]大连理工大学工商管理学院,辽宁大连116024

出　　处：《运筹与管理》2012年第6期189-196,共8页Operations Research and Management Science

基　　金：国家自然科学基金(71171032);教育部博士点基金(20090041110009);中央高校基本科研业务费专项资金(DUT11RW202;DUT10ZD107;DUT10RW107)

摘　　要：通过构建贷款利率因子模型和RAROC因子模型,以反映RAROC源自宏观经济因素等的波动风险;建立了经济增长贡献视角下多目标信贷配置因子模型,其目标为:(1)使RAROC波动率最小;(2)使贷款配置对经济增长贡献率最大;(3)信贷组合与区域经济结构差异较小,以期获得兼顾风险控制和推动区域经济发展的贷款配置方法。利用某银行数据实证分析并进行压力测试,给出了该行收益目标RAROC的合理区间,并发现:RAROC越大,贷款组合风险也越大,且贷款配置集中趋势越明显;房地产业对该行风险影响最大,而工业部门发展稳定,有助于提升经济增长的贡献率。This paper builds a loan interest rate factor model and a RAROC factor model to reflect RAROC＇ s vol- atility risk from macroeconomic factors. Thereafter, in order to realize a loan collocation method which combines controlling risk and promoting regional economic development, this paper builds a multi-objected loan allocation model from the perspective of contribution rate to economic growth, with the following objects ： （ 1 ） minimizing RAROC＇ s volatility; （2）maximizing the contribution rate of loan allocation to economic growth; （3）minimizing the difference between loan portfolio and regional economic structure. Finally, this paper utilizes the data of a bank to do an empirical research and stress tests, not only providing a reasonable interval of the bank＇ s targeted RAROC, but also finding that the higher the targeted RAROC, the greater the portfolio risk and the more obvious the concentration trend of capital allocation, on one hand. On the other one hand, real estate department has the biggest influence on the bank＇ s risk, and industrial department of stable development helps promote the contri- bution rate of loan allocation.

关 键 词：RAROC 因子模型 经济增长 信贷组合 压力测试 

分 类 号：F830[经济管理—金融学]