我国商业银行资产负债管理的实证研究

华中科技大学博士学位论文我国商业银行资产负债管理的实证研究姓名：冯鹏熙申请学位级别：博士专业：企业管理指导教师：龚朴20060430IALMFlanneryCVaRVasicekMonteCarloCVaRIIIIIAbstractAsset-LiabilityManagement(ALM)ofcommercialbanksincludesaseriousofcomplexquantitativetechnologyandtools,anditbecomesanimportantsystemaboutthefinancialstrategyplanningandriskmanagementinmanygreatwesternbanks.Duringrecentyears,thetopmanagersofbanksandtheresearcherspaymoreattentiontothecomprehensivecontrolandmanagementoftheriskmanagementandextendtheirsightintothearea,andmoreandmoremodelsandtoolsareused.TheresearchcontentandthewayofthinkingintheALMofbanksexperienceprofoundchanges.TheworkpresentedinthisdissertationmainlyfocusesontheempericalstudyabouttheALMofbanksinChina.BythegapanalysisandfinancialparametermodelwestudytheperformanceoftheALMoflistedbanksinChina.TheresultshowsthattheALMisnotbeneficialtotheprofit-makingabilityofbanksdespitethemarketinterestraterecentlykeepsdecliningforalongtimeinChina.Thereisnodoubtthattherearemanyproblemsinforecastingtheinterestrate,riskmanagementandthetradingstrategyinfinancialmarketsamongthebanks.AndthedissertationgivesfurtherevidencethattheALMratiosupervisionsystemleadstosomeseriousproblemsintheALMtermstructuremanagementanddoesnotpromotetheefficiencyoffundoperationinbankswhenwestudythefactorsthatcaninfluencetheinterestratesensitivegapbybuildingacomplexmodel.Alongwiththehighgrowthofthefinancingneedofthebank,theadverseselectionfromtheoutsidecapitalmarketwillgreatlyinfluencetheALMofthebanks.Thisdissertationintroducestheadverse-selectioneffecttotheALMofthebanksintermsofthecharacterofALMandasymmetrybetweentheoutsideinvestorsandthebank.Webuildaempiricalmodeltotestadverse-selectioneffecttotheALMinChinesebanksbyusesomesuitablevariablesuchascumulativeabnormalreturns.Thestudyalsoempiricallyemploysdifferentwaystoshowifthereistheadverse-selectioneffecttotheALMofthelistedbanksinChina,andweconcludethatitispossiblethattheadverse-selectioneffecttotheALMamongthesamplebanksexists.AnALMmodelsystemisbuiltasastrategyfinanceplanningandriskIVmanagementtoolinthedissertation,whichincludestwolevels,thefirstoneisastrategyALMoptimizationmodelwhichisconstructedbythedifferentsceneanalysisandamulti-objectprogrammingtechnique.Theempiricalinvestigationgainsawonderfulachievementthantheactualoperationofthesamplebank.ThesecondmodelisbuiltforassetoptimizationbasedonCVaRtechniqueandVasicekmodel.WiththehelpofMonteCarlosimulation,weutilizethemodeltohedgethemarketrisk,andpromotethetreasurybillsprofitwiththesmallestexposuretoloss.TheresultshowsthatwecangethigherprofitinassetsallocationontreasurybillsbytheCVaRoptimizationmodelsthanthemarketindex.Theresearcheshaveimportantreferencevalueforstrategybalancesheetallocationandassetoptimizationdecisioninbanks.KeyWords:CommercialBankAsset-LiabilityManagement(ALM)GapanalysisAdverseselection2006430_____200643020064301120901998ALMALM1.11.1.121970KMVKMVJ.PMorganCreditmetrics3PenzaandBansal(1999)GupandBrooks(1993)506070412080BaselCommittee19888%8%1995199619996199820016/(++)2151-1234240.0%0.5%1.0%1.5%2.0%2.5%713616312344balancesheetmanagementstrategiesoffbalancesheetmanagementstrategiesForwardContractFinancialFuturesInterestRateSwaps7InterestRateOption99-0419.7%1-210BISQuarterlyReviewSeptember2005BIS2/381-110BISQuarterlyReviewSeptember20052004901-210BISQuarterlyReviewSeptember2005591-31997MckinnonandShaw1973????????????•??•????•????•?????•??10Stein(1998)Luzio-Antezana(2001)ALMALM20012004ALM200412ALM3111.1.212ALMALM3ALM121.2VaRthecurrentearningapproach(theeconomicvalueapproach)VaR1.2.11GapanalysisVanSonlaiandKabirHassan1997NIM13MadhuVij2001Segerstrom(1990)Taylor(1991)PenzaandBansal(1999)RSARSLFlannery(1983)Angbazo,Lazarus1997ThomasandSaunder(1981)142Wolf(1999)DimitriosVasiliou(1996)FlanneryFlannery(1981,1983)2002kYhiiAjiL;k;hibjC15kiikJjkkYbACLhhhhae=+++∑∑1.1ibjCDimitriosVasiliou(1996)Haron,Sudin(1996)Graddy&Karna1984982SLSWetmore&Brick1990()Wetmore&Brick1990674161.2.2DurationanalysisPenzaandBansal(1999)FooladiandGordon(2004)MadhuVij2001Wolf(1999)AcharyaandCarpenter(2002)FooladiandGordon(2004)theFDICIAof19911993171.2.3VaRValueatRiskVaR90VaRVaRVaRVaRPhilippeJorion(2001)VaRPenzaandBansal(1999)VaRVaR1.2.4181.2.5AkellaandGreenbaum(1992)MasaruKonishi,YukihiroYasuda2004481.31.3.1ALM80CD19Akerlof1970Rothchild-Stiglitz1976Stein(1998)LucasandMcdonald(1992)Stein(1998)ALMhTlTlThTϕAhlTTA-=1AFrootandStein(1998)20Luzio-Antezana(2001)ALMLucasandMcdonald(1992)Fama(1985)CDKashyapandStein1995BernankeandBlinder(1992)IS/LMAmadouSy200521Luzio-Antezana(2001)1.3.2ALMChiapporiandSalanie(2000)2090BernankeandBlinder(1992)ALMKashyapandStein(19951997)ALMPuelzandSnow(1994)ChiapporiandSalanie(2000)Rothchild-Stiglitz1976Ausubel1998Luzio-Antezana(2001)221itritritaitXiZ),e,Z,XF(aritiititi,t=1.2itaitbitQiZ),,,(itithaiititZQbG=1.3iteithLuzio-Antezana(2001)1.4123MulveryandZiemba(1998)ALMMALMMALMM543211.4.1VonNeumann-MorgensternPyle(1971)Kallberg.andZiemba(1981)24JohnMorgan(1993)Altman(1997)sharpratioMulveryandZiemba(1998)LiandNg(2000)-VaR1.4.21KwastandRose(1982)VanSonlaiandM.KabirHassan1997NIM2ENPVGraham,C