贷款收益与综合收益RAROC优化组合的比较分析

有效匹配稀缺的贷款资源以创造银行的最大价值是商业银行提升经营和精细化管理能力的关键.本文立足于商业银行信贷经营实际,采用综合收益(包括贷款收益、存款收益和中间业务收益)下的RAROC指标来代替传统的贷款收益指标,并且从商业银行贷款客户选择的角度,构建了基于RAROC最优的客户组合优化决策模型.运用该模型,通过对以贷款风险收益最大化和以客户综合风险收益最大化为目标的贷款优化组合的比较分析,研究贷款组合目标函数选择的科学性和有效性.研究表明,以贷款风险收益最大化为目标去匹配贷款将产生资源错配,银行无法得到最优经营结果,以客户综合风险收益最大化为目标匹配贷款资源才是商业银行信贷经营的最优选择.

Comparative Analysis of Optimal Portfolio based on RAROC of Loan Return and Gross Return

Effective allocation of loan resource to maximize the commercial bank’s return is the key method to improve its ability of refined management.According to the actual operation of commercial bank,the optimal portfolio model which uses RAROC of gross return(including loan return,deposit return and intermediary business return) instead of traditional loan return is established based on the loan customers.And the selection of objective function based on the maximum loan return and gross return is analyzed through the optimization model of loan portfolio.The result shows that it will bring credit misallocation and low effectiveness to commercial banks based on loan return.Thus,the optimum choice of bank’s credit management is to consider the maximum gross return as its management objective.