中国商业银行贷款组合规模的风险分散化效应  

The Risk Diversification Effectiveness of Loan Portfolio Size for Chinese Commercial Banks

作　　者：周圣[1] 文忠平[1,2] 史本山[1] 

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]中国建设银行四川省分行,成都610016

出　　处：《系统管理学报》2013年第2期217-222,共6页Journal of Systems & Management

基　　金：国家自然科学基金资助项目(70771096);国家社科基金青年项目(12CGL020);教育部人文社科项目(12YJA790110)

摘　　要：足够数量的投资组合具有充分分散非系统性风险的功能,但是否符合贷款组合领域目前尚未有相关研究。通过以具体经营贷款的国有银行分支机构作为研究对象,运用商业银行经营管理中的重要指标——风险调整后的资本收益率(RAROC)研究了贷款组合规模与风险分散的关系:一般10家经营机构大约能减少贷款组合60%左右的风险,19家左右的经营机构大约分散70%的风险并可视为最佳组合规模,超过19家不再有减小组合风险的明显功效;同时分析了与证券市场研究结果的异同,并从商业银行中观管理角度提出了相关建议。Sufficient number in a portfolio is efficient to achieve the non-systemic risk dlversmcanon, out mere is little research in loan portfolio field. Using operation units of state-owned banks as the studying subjects, the relationship between the size of loan portfolio and risk diversification based on the risk-adjusted return on capital （RAROC）, which is one of the most important indicators in commercial bank, is discussed. About 60% of the average risk of loan portfolio can be eliminated by 10 sub-branches, and 70% of the average risk of loan portfolio can be eliminated by 19 sub-branches, which can be regarded as the proper size of portfolio. Furthermore, the similarities and differences between loan portfolio and stock investment are analyzed, and suggestions are provided for internal management of commercial bank at the meso-leveL

关 键 词：贷款组合 风险分散 综合收益 内部管理 

分 类 号：F830.91[经济管理—金融学]