CAJ | 학술논문

本文以效益最大化、风险最小化为双重目标，依据统计学优化标准，构建了商业银行两阶段效益风险优化模型，对效益与风险的关系进行优化协调。第一阶段完成对资本结构、贷存款存量及流量分布、实际利率等因素及效益、风险的优化；第二阶段完成对总股本净回报率、总资产收益率、营业收入利润率、准备金覆盖率、资本充足率、流动性比率的优化及效益、风险的再优化。最后利用两阶段优化模型确定各类银行的资产规模优化边界和应对宏观投资过热或低迷状况的银行绩效优化策略。
본문이효익최대화、풍험최소화위쌍중목표，의거통계학우화표준，구건료상업은행량계단효익풍험우화모형，대효익여풍험적관계진행우화협조。제일계단완성대자본결구、대존관존량급류량분포、실제리솔등인소급효익、풍험적우화；제이계단완성대총고본정회보솔、총자산수익솔、영업수입리윤솔、준비금복개솔、자본충족솔、류동성비솔적우화급효익、풍험적재우화。최후이용량계단우화모형학정각류은행적자산규모우화변계화응대굉관투자과열혹저미상황적은행적효우화책략。
Based on some optimization criteria , this paper sets minimum risk and maximum benefits as a goal to construct the two-phase benefits and risk optimization models of commercial banks , and to con-duct the coordination and optimization of risk and benefit relations .The paper also use the model to ob-tain the optimization range of assets in different kinds of bank .Furthermore , we get the optimization ways of banking to cope with macro -economic situation as well .