Research On Asset Protfoli Optimization Of Commercial Banks

Rapidly development of Chinese commercial banks in more than 20 years,is an important part of China's banking system,commercial banks ' portfolio allocation is directly related to banks ' profitability,related to the Bank's long-term development.As the economy enters a "new normal" interest under the market-oriented interest rate difference is shrinking,and the full opening of China's financial industry,makes the lower profitability of assets of commercial banks in China.Foothold in the competition,you must adjust the asset business channel's approach to development.In reality,commercial banks in terms of asset allocation changes have begun to appear,diversified assets structure,in the midst of some of the Bank's asset structure,credit is not the main configuration.In this context,in order to make asset management a more comprehensive and representative,the need for portfolio analysis of the new change of commercial banks in China.Banks assets risk nature of this article based on the model of CAPM and portfolio theory,starting with portfolio status quo of commercial bank,commercial bank portfolio optimization,and try to portfolio theory and ideas into commercial bank portfolio allocation,searching for an optimized configuration.This combination of theory and practice,with 16 listed commercial bank in China to study,and in accordance with the scale into large,medium and small categories.First reviews the development history and status of assets management of Chinese commercial banks,as well as economic "new normal" problem existing in China Commercial Bank portfolio since.And on different types of assets of commercial banks of our country benefits and risks were compared,comprehensive analysis of the overall portfolio return and risk of commercial banks and change.Using CAPM model and theoretical simulation calculation of the portfolios of the banks,on the basis of finding a best Bank portfolio performance,trying to get every bank on top of existing portfolio optimization adjustments can be made.Obtained of conclusion following:(1)"new normal" yilai,China commercial banks assets combination returns General obviouslydeclined,which large bank assets returns and risk relative more high,small bank exposed out than medium Bank more high of risk,while commercial in assets configuration Shang also occurred has larger of changes,large bank changes more stable,medium Bank favored other assets(to should collection items class investment mainly),small bank differences of larger,investment class assets occupy larger of share.(2)Through CAPM model on different type Bank of assets combination for simulation calculation,found CAPM model and theory thought applies Yu research China commercial banks assets combination,while China commercial banks by policy of effect is big.(3)Further,through compared China 16 home commercial banks of assets combination of performance,found large bank in construction bank assets combination performance optimal,medium Bank in Investment Bank of assets combination performance optimal,small bank due to differences of development too big,Cannot find a suitable reference for accurate template,according to its own strategic orientation reference configuration for large or mid-size,specific to each bank will be different according to the structure of their assets to the asset account adjustments.In this paper,16 listed commercial banks in China as the research object,based on the portfolio of commercial banks as the starting point,the asset structure refers to the relative size and the relationship between various commercial bank assets.Several aspects of the research content of this paper mainly focus on the following: first,the investment portfolio theory,CAPM model and the assets structure of commercial banks combine the optimization theory,reviews the related research on the portfolio theory and the assets structure of commercial banks at home and abroad,introduces the theory of portfolio and adjust the asset structure of commercial banks theory,to our country commercial bank's asset portfolio is studied according to research methods of portfolio investment.Second,through On the 16 listed commercial banks in accordance with the medium and small scale into large,three.From 2002 to 2016 as the time span,reviews the development of asset management of commercial banks in China's history and current situation,find out the economy since the "new normal" portfolio of commercial banks in China.The problems existed in third of revenue and the risk of China's commercial banks of different asset classes were compared,can be found in high returnassets are also accompanied by high risk,and then a comprehensive analysis of the commercial bank portfolio overall benefits and risks,to the "new normal" background division,the 2002-2016 is divided into before and after Two interval,the large,medium and small banks were compared in different periods of the portfolio yield and standard,found the "new normal" since the asset portfolio of commercial banks in China have generally decreased significantly.Fourth,calculated by portfolio CAPM model for different types of banks,found the CAPM model and the theory is applied to study the portfolio of commercial banks in China at the same time,China's commercial banks affected by the policy.Further,the 16 commercial banks in China's asset portfolio performance,this paper tries to find an optimal configuration of the direction,trying to make every one silver There is an optimal adjustment on the existing portfolio.Based on above conclusion,this research to assets combination optimization angle proposed has commercial banks assets combination configuration adjustment of countermeasures recommends: adjustment loan class assets configuration direction,appropriate reduced currency class assets configuration,increased distribution investment class assets;follow Government policy oriented,attention middle business,business innovation;specific to each a home bank assets child subjects of adjustment,large bank can reference Bank,medium Bank can reference Investment Bank,small bank can according to itself of situation reference corresponds to of large or medium Bank.