信用風(fēng)險(xiǎn)約束下銀行最佳貸款結(jié)構(gòu)的確定.pdf

1、尚簡(jiǎn)犬溶Y812166碩士研究生畢業(yè)(學(xué)位)論文姓名：黃新春年級(jí)：二零零二級(jí)專業(yè)：金融學(xué)研究方向：金融分析論文題目：信用風(fēng)險(xiǎn)約束下銀行最佳貸款結(jié)構(gòu)的確定導(dǎo)師：戴金平教授完成日期：二零零四年十一月南開大學(xué)深圳金融工程學(xué)院二零零四年十一月AbstractThebankisafinancialinstitutionmanagingriskIthasbeentestifiedbypracticeandtheorythatcreditriskis

2、thelong—termandkeyfactorofmakingthebankbankruptMicro—originsofitareagentcostandthedifferencebetweentheriskadministrativedepartmentandthemarketopen—updepartmentsofbanksonmanageme’ntobjectivesandrealinterestsetcBesidesthat

3、，theevaluationindexofbanksperformanceusedbyregulators，investorsandshareholdersisNOtscientificIfoneindexisfoundthatcanunitethetwomajordepartmentsandhelpstomaximizethelongterminterestsofshareholders，theurgentprobleminpract

4、icemaybesolvedtOacertainextentInthepasttenyears，RAROC(riskadjustedreturnoncapital)hasbeenattachedimportancetobybankcircle，academiaetcInthispapercreditriskisanalyzedsystematicallyTheoptimalcreditstructureisconfirmedunderc

5、ertainconditionsbyanoptimalmodel，whichitstargetfunctioniswhatmaximizeRAROCAccordingtOstate—ownedbanks’conditions，piecesofproposalarepresentedThisdissertationisdividedinto4parts：InpartI，theimportanceofconfirmingtheoptimal

6、creditstructureisexpatiatedThosemodelsofoptimalcreditstructurepresentedoverpasttwentyyearsareclassifiedandcomparedto，andtheirdrawbacksareexplainedInpartII，theconcept，causesofformation，componentsetcofcreditriskareintroduc

7、ed，andSO，theconfirmingoftheoptimalcreditstructureofabankisbasedonunderthecreditriskCOnstraintInpartIII，accordingtothemeasureofcreditriskinpartII，amodeloptimalcreditstructureissetup。andsolutionsaregivenInpartIVtheeconomic