基于投资组合理论的商业银行信贷业务运营效率研究  

Research on credit business operation efficiency of commercial banks based on portfolio theory

作　　者：许诺 袁潮清 XU Nuo;YUAN Chaoqing(College of Economics and Management,Nanjing University of Aeronautics and Astronautics,Nanjing 211106,China)

机构地区：[1]南京航空航天大学经济与管理学院

出　　处：《系统工程理论与实践》2019年第7期1643-1650,共8页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71573120)~~

摘　　要：运用投资组合理论中有效前沿和资本市场线模型,基于商业银行不良贷款率和NIM(net interest margin)对商业银行信贷业务运营效率进行测算;采用2011-2016年中国16家上市商业银行的面板数据研究了不良贷款率对商业银行信贷业务收益造成的损失;通过对上述结果对比,发现本文提出的基于投资组合理论的商业银行信贷业务运营效率,能更好揭示商业银行信贷业务的风险和收益关系.未来商业银行在贷款业务中应考虑参考和使用投资组合理论.Using the efficient frontier and capital market model of portfolio theory,this paper calculates the operational efficiency of commercial banks’credit business based on the non-performing loan ratio and NIM(net interest margin)of commercial banks;Using the loss of non-performing loan ratio on commercial banks’credit business income by using panel data of 16 listed commercial banks in China from 2011 to2016.Through the comparison of the above results,we find that the operational efficiency of commercial banks’credit business based on portfolio theory proposed in this paper can better reveal the relationship between risk and return of commercial banks’,credit business.In the future,commercial banks should consider and use portfolio theory in loan business.

关 键 词：有效前沿 资本市场线 信贷业务 面板数据 不良贷款率 净息差 

分 类 号：F832[经济管理—金融学]