CAJ | 학술논문

以商业银行的经营性分支机构为研究对象,用信贷客户综合收益和经济资本占用系数确定银行的收益目标和约束条件,建立了基于风险调整后资本收益率（RAROC）最优的贷款组合优化配置模型,改进了以往贷款组合模型需要假设收益目标或风险承受度的缺陷.探讨了综合收益RAROC最大化目标下的贷款组合“软约束”市场化管理方法,有效补充了当前商业银行行政色彩浓厚的规模“硬约束”计划管理方式.
이상업은행적경영성분지궤구위연구대상,용신대객호종합수익화경제자본점용계수학정은행적수익목표화약속조건,건립료기우풍험조정후자본수익솔（RAROC）최우적대관조합우화배치모형,개진료이왕대관조합모형수요가설수익목표혹풍험승수도적결함.탐토료종합수익RAROC최대화목표하적대관조합“연약속”시장화관리방법,유효보충료당전상업은행행정색채농후적규모“경약속”계화관리방식.
Taking the operation organization as the research object,this paper uses the gross return of credit customer and the economic capitaluse coefficient to determine target income and constraint condition of commercial bank,and establishes the optimal allocation model of loan portfolio based on the soft constraint,namely optimal RAROC,which improves the former loan portfolio models which are need to assume earning target and risk tolerance.Furthermore,it discusses the commercial bank＇s internal marketization management based on ＇soft constraint＇ of loan portfolio model,which complements the management of commercial banks with hard constraints.