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Study on China Commercial Banks Assets Allocation

Author: GongYi
Tutor: LiuDongRong
School: Central South University
Course: Management Science and Engineering
Keywords: commercial bank assets allocation financial ecologic environment efficiency of the assets allocation
CLC: F832.2
Type: PhD thesis
Year: 2006
Downloads: 1229
Quote: 3
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The proposition of the allocation of commercial banks assets in our country’s theoretical circle has still been the thing of last few years, however, abroad theoretical field have already experienced a long process of evolution theory, this is not to say that there is no allocation of the assets of China’s banking industry practice just because our country have carried out the long-planed management system of bank credit fund, didn’t realize to take the allocation of bank assets as an economic theories to study.This article after proposing the commercial bank property disposition basic concept, takes the property disposition theory evolution as the research beginning, reviews the overseas theorists to this question research path, and based on the property disposition model request, introduces the property combination rationale, the Markowitz model and the VaR method. The efficiency is the commercial bank the goal which pursues in the assets allocation process. The bank efficiency performance is the bank own management achievements, which is the assets allocation level centralized manifestation. In the long-range view, the bank development finally is decided by the efficiency. Finally introduces the bank efficiency theory for this in the entire theoretical analysis. The theory’s elaboration has already established the comerstone for the research, also further formed for the research mentality has provided the essential enlightenment.Following this, the article has carried on the evaluation to the commercial bank assets allocation basic system pattern, Inspects specifically real state of American, English, Japan, Germany’s assets allocation. then, sums up a common feature of the important experiences. International Comparative Study of asset allocation system for our asset allocation is to search for valuable experience, But it does not mean that a better system moving well in foreign can be transplanted directly to china because the technology is more than a "Special Assets," a new system of communication or transplant is constrainted not only by established interests, but also by the conflicting values and ideologies etc. Based on this kind of consideration, Since the founding of the nation, Our country Commercial bank property disposition system vicissitude course has been carried on comprehensive inspection, Through the commercial bank property disposition system vicissitude process’s inspection, realize that the credit resources allocation marketability orientation is our country Commercial bank property disposition system reform inevitably choice.Based on the international comparison and the system vicissitude inspection, recognizing that the system is the basis for the distribution of commercial bank assets, as a potential asset allocation, the impact of this factor on the distribution of the assets is a continuous process, Because the intrinsic system is the source of the foundation of bank’s supporting assets allocation behavior and effective allocation and has one kind of intercoordination relations with the ability of the realistic assets allocation. Its main task and objective is to create a platform for sustainable development in the distribution of the assets of the banks. From this, the paper has discussed the commercial bank assets allocation and the property fight efficiency and has pointed out the property right arrangement fundamentally is stipulating commercial bank’s policy-making mechanism, the operational mechanism, the drive and the restraint mechanism, thus it is stipulating the commercial bank property disposition behavior goal and the behavior way, and is profoundly affecting commercial bank’s disposition efficiency and the competitive power.Compared to the financial system the finance ecological environment is a more widespread concept, its change has decided the bank asset relative returns ratio change. Recognition of the deep-seated financial ecological environment is the cornerstone of the success of asset allocation decisions, therefore, this paper has elaborated the finance ecological environment constitution, has carried on the concrete analysis in view of various factors, and has carried on the forecast to the finance ecological environment trend of development.Due to the speciality of the financial system and financial environment, in which the commercial bank is the axis business enterprise. has the special property that is different from those business enterprises’ that is in other industry sections. The description of commercial bank’s theoretical model, must be able to explain well commercial bank’s fluid management, the property combination choice, the capital price (interest rate) decides, the risk circumvention, the uncertainty forecast and so on the different bank asset disposition behavior way. Based on this kind of situation, takes the commercial bank property disposition model management as the breakthrough point has systematically studied the developing process and the method of the property disposition model management, has studied the established thought, the method and the concrete application of each model.The simulated management is aims at the management of all assets at the banks. in which loans account for the largest assets, asset allocation is an important decision which is necessary to optimize the structure of loan portfolios. At present for the system of divided business, it is more important for banks to have the highest possible rate of return and a minimal risk of the loan portfolio. In considering these factors, based on the use of Lagrange multipliers method of quadratic programming model portfolio, giving the portfolio efficient frontier, In addition by establishing a model. Obtain the effective boundary of the combination of the load under the restraint of VaR and has extracted the corresponding loan weight.No matter selects what asset allocation method, it finally must manifest in the commercial bank efficiency enhancement and how they are evaluated is a question worth considering. The commercial bank is a system that under the security, the fluidity, and the compliance restraints, takes the profit making as an ultimate objective. Evaluation of the efficiency of the allocation of assets mainly take commercial bank’s fund flow as the controlled member, thus the evaluation of the efficiency of the allocation of assets is the basic tool to achieve the goal of the system. this article utilizes the principles of the analytic hierarchy in systematic method to design the comprehensive evaluation model has discovered scientific sorting concrete method in comprehensive evaluation and has solved the difficult that comprehensive evaluation of the bank’s assets can not sort reasonably, this will help the appraisal of the efficiency of the allocation of assets, raising the level of asset allocation.The purpose of studying the allocation of commercial bank assets is to discuss the relationships between the economic environment and the allocation of commercial bank assets in a broader field of vision, for enhancing Our country Commercial bank assets allocation, it provide a theoretical ideas and policy options, therefore, in the theory discussion, the historical inspection, in the real diagnosis analysis foundation, as the foothold, it has summarized the countermeasure that improves the quality of our country’s commercial bank assets allocation. Needs to explain, this is not the operation plan which is exhaustive and can implement directly. but makes great efforts enable the countermeasure standard research possess certain forward looking in the reality feasible foundation, thus it provides the practical theory reference for optimizing the assets allocation of Our country Commercial bank.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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