商业银行资金收益最大化模型的研究
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摘要
随着我国履行加入WTO的承诺和金融开放的趋势进一步扩大，我国国有商业银行所面临的是机遇与挑战并存。国有商业银行资产质量差、效率低下、国际竞争经验不足等现状，使其入世后必将在银行业务、人才竞争、优质客户、风险规避等方面面临巨大的冲击。同时，入世也将为其提供加快发展和参与国际竞争的良好机遇。另一方面，经济全球化正在形成，金融活动已经成为人们社会经济活动的主要方面。商业银行作为金融体系的主体部分，其活动日益广泛的渗透到社会生活的各个方面。国内商业银行作为经营性企业，要在竞争日趋激烈的国内外银行业市场中立于不败之地，那么如何使得银行资金配置最优以实现资金收益最大化就成为商业银行赖以生存的根本所在。
现代企业管理认为：企业资产的重点是资产管理，资产管理的核心就是资金管理。而资金管理质量的好坏直接关系到企业的盈利的多少。鉴于盈利对商业银行具有重要的意义，本人采用数学建模理论和层次分析法，利用现代计算机技术和先进的数学软件，从商业银行业务经营的实际情况出发，构造了商业银行资金收益最大化模型；并选取国内某信用社近两年的实际业务经营情况为例，通过运用所建立的收益最大化模型，使得其资金配置最佳，从而实现了该信用社的资金收益最大化。
论文对国内外关于商业银行资金收益最大化问题的研究状况进行了综述，就商业银行收益不高的原因进行了剖析，且在遵循商业银行经营的三大基本原则，即效益性原则、安全性原则和流动性原则的前提下，深入浅出的分析了商业银行经营的基本模型，即收入模型、安全模型和流动风险模型，再结合我国商业银行的两种决策模式，着重对其中一种模式进行分析和设计，最后建成一种商业银行资金收益最大化模型，从而实现了保证银行资金必要的流动性和安全性的的同时使得银行资金收益最大化的目标。
With performing the acceptance of the entry of WTO and the spreading trend of open financial policy, commercial bank in our country is facing chances as well as challenges. Of commercial bank, the poor quality of assets, the low efficiency, the shortage of worldwide competition experience and so on, make itself faced with great strikes in bank operating, talent competition, high quality customers and venture prevention. Meanwhile, the entry of WTO also provides great chances of accelerating development and attending worldwide competing. From another viewpoint, economy globalization is shaping and financial activities have become an main part of people's social economy activities. Commercial bank is the main component of financial system, the activities of which are permeating social activities. If home commercial bank ,as an profitable entrepreneur, wants to stand up in home and abroad bank market, the competition of which is becoming more and more intense, it is fundamental for commercial bank to survive that it make bank assets allocated best aiming to realize profit maximization.
Modern enterprise management takes the opinion that the key of enterprise assets is assets management while the core of assets management is treasury management. The level of treasury management is closely related to how much profit an enterprise can make. In view of the great sense of making profit to a commercial bank, this dissertation applys maths modeling theory and layer analysis, takes modern computer technology, uses advanced maths software and finally constructs a profit maxmization model for commercial bank according to the real situations of commercial bank operation; it also takes the operation of a certain home bank for example, applys the constructed profit model to its operation so as to make assets allocated best and realizes its assets profit maxmiazation.
The dissertation summarizes the situation of some research on making profit of commercial bank treasury maximized and analyzes the reason that the profit of commercial bank treasury is so low. With following the three basic principles, namely profitability principle, safety principle and liquidity principle, the dissertation focus on analyzing the basic models of commercial bank management which are income model, safety model and liquidity risk model. Meanwhile, one of the two decision models of commercial bank is taken in good consideration and it designs a model according to the
two decision models .In the end, a profit maximization model of commercial bank treasury is proposed and the research achieves the aim of maximizing commercial bank profit when assuring the necessary liquidity and safety of commercial bank benefit.
现代企业管理认为：企业资产的重点是资产管理，资产管理的核心就是资金管理。而资金管理质量的好坏直接关系到企业的盈利的多少。鉴于盈利对商业银行具有重要的意义，本人采用数学建模理论和层次分析法，利用现代计算机技术和先进的数学软件，从商业银行业务经营的实际情况出发，构造了商业银行资金收益最大化模型；并选取国内某信用社近两年的实际业务经营情况为例，通过运用所建立的收益最大化模型，使得其资金配置最佳，从而实现了该信用社的资金收益最大化。
论文对国内外关于商业银行资金收益最大化问题的研究状况进行了综述，就商业银行收益不高的原因进行了剖析，且在遵循商业银行经营的三大基本原则，即效益性原则、安全性原则和流动性原则的前提下，深入浅出的分析了商业银行经营的基本模型，即收入模型、安全模型和流动风险模型，再结合我国商业银行的两种决策模式，着重对其中一种模式进行分析和设计，最后建成一种商业银行资金收益最大化模型，从而实现了保证银行资金必要的流动性和安全性的的同时使得银行资金收益最大化的目标。
With performing the acceptance of the entry of WTO and the spreading trend of open financial policy, commercial bank in our country is facing chances as well as challenges. Of commercial bank, the poor quality of assets, the low efficiency, the shortage of worldwide competition experience and so on, make itself faced with great strikes in bank operating, talent competition, high quality customers and venture prevention. Meanwhile, the entry of WTO also provides great chances of accelerating development and attending worldwide competing. From another viewpoint, economy globalization is shaping and financial activities have become an main part of people's social economy activities. Commercial bank is the main component of financial system, the activities of which are permeating social activities. If home commercial bank ,as an profitable entrepreneur, wants to stand up in home and abroad bank market, the competition of which is becoming more and more intense, it is fundamental for commercial bank to survive that it make bank assets allocated best aiming to realize profit maximization.
Modern enterprise management takes the opinion that the key of enterprise assets is assets management while the core of assets management is treasury management. The level of treasury management is closely related to how much profit an enterprise can make. In view of the great sense of making profit to a commercial bank, this dissertation applys maths modeling theory and layer analysis, takes modern computer technology, uses advanced maths software and finally constructs a profit maxmization model for commercial bank according to the real situations of commercial bank operation; it also takes the operation of a certain home bank for example, applys the constructed profit model to its operation so as to make assets allocated best and realizes its assets profit maxmiazation.
The dissertation summarizes the situation of some research on making profit of commercial bank treasury maximized and analyzes the reason that the profit of commercial bank treasury is so low. With following the three basic principles, namely profitability principle, safety principle and liquidity principle, the dissertation focus on analyzing the basic models of commercial bank management which are income model, safety model and liquidity risk model. Meanwhile, one of the two decision models of commercial bank is taken in good consideration and it designs a model according to the
two decision models .In the end, a profit maximization model of commercial bank treasury is proposed and the research achieves the aim of maximizing commercial bank profit when assuring the necessary liquidity and safety of commercial bank benefit.
引文
[1] 希拉·赫弗兰．商业银行战略管理．海天出版社．2000年．
[2] 华南金融研究所．跨世纪的中国金融业．广东经济出版社．2000年．
[3] 杨力主编．商业银行风险管理．上海财经大学出版社．1998年11月．
[4] 潘英丽．西方商业银行管理．华东师范大学出版社．1996年．
[5] 陆世敏，赵晓菊．现代商业银行经营与管理．上海财大出版社．1998年．
[6] 刘振亚，姚文雄．现代商业银行的经营原则与流动性管理．中国人民大学中国财政金融政策研究中心．2003年3月．
[7] 李梦琳．中国银行业经营战略的选择．现代商业银行．2003年3月．
[8] 何秉孟．亚洲金融危机最新分析与对策．社会科学文献出版社．1998年7月．
[9] 朱建江．负债经营与债务清偿．上海科学普及出版社．1992年．
[10] 萨缪尔森．经济学．北京经济学院出版社．1996年6月第1版．
[11] 马克思恩格斯全集．第49卷．人民出版社．1982年12月第1版．
[12] 凌江怀．现代商业银行经营与管理．广州旅游出版社．1995年9月第1版．
[13] [美]帕特·乔特著，林晨辉等译．银弹攻势．中国经济出版社．1991年5月版．
[14] 侯书森，陈宜主编．《企业超速发展理论·模式·案例》．中国物价出版社．1998年．
[15] 范家骧，高天虹著．西方经济学．中国经济出版社．1992年12月．
[16] 刘书年主编．国际金融．对外经济贸易大学出版社．1991年5月．
[17] 鲁毅主编．商业银行防范化解金融风险案例研究．海天出版社．1997年12月．
[18] 褚葆一，杨思正主编．当代美国经济新编．中国财政经济出版社．1989年7月版．
[19] 关建军，张振刚主编．现代货币银行经济论．东北财经大学出版社．1996年10月版．
[20] 高程德．经济法．上海人民出版社．1993年5月版．
[21] 陈顺殷．入世：中国银行业面临的挑战与对策[M]．北京：中国金融出版社，2000．
[22] 周道许，亓丕华．加入世贸组织与中国金融[M]．北京：时事出版社，2000．
[23] 李欣，王颖．对国有商业银行上市途径的现实思考[J]．金融论坛，2001，(5)．
[24] 张志柏．金融控股公司—中国金融业的现实选择[J]．上海投资，2001，(7)．
[25] J. E. Ettlie and E. M. Reza, "Organizational integration and process innovation,"Acad. Manage. J., vol. 35, pp. 795-827, 1992.
[26] B. S. Everitt, Cluster Analysis, U.K.: Halsted Press, 1974.
[27] D. E. Farley, "Competition among hospitals: Market structure and its relation to utilization costs and financial position," in Research Note7: DHHS Publication [PHS] 85-3353. Washington, DC: U.S. Department of Health and Human Services, National Center for Health
Services Research and Health Care Technology Assessment, 1985.
[28] A. Fiegenbaum and H. Thomas, "Strategic groups and performance: The U.S. insurance industry," Strategic Manage. J., vol. 11, pp. 197-215, 1990. 1970-1984.
[29] C. M. Fiol, "Squeezing harder doesn't always work: Continuing the search for consistency in innovation research," Acad. Manage. Rev, vol. 21, pp. 1012-1021, 1996.
[30] S. W. Floyd, S. A. Zahra, and W. Wooldridge, "Information technology and financial performance in three strategic groups," presented at the TIMS/ORSA Joint National Meeting, Apr. 25-26, 1988.
[31] J. R. Galbraith, Organization Design. Reading, MA: Addison-Wesley, 1977.
[32] M. E. Gaske, M. S. Godfrey, E. J. Rooney, A. J. Schneider, and P. R.Worthington, "Competitiveness in retail banking markets in international competitiveness of U.S. financial firms," Federal Reserve Bank: A Staff Study, 1990.
[33] "Special constraints on commercial banks—Geographical limitations,"C. H. Golembe, in The Bankers Handbook, W. H. Baughn, T. I. Storrs,and C. E. Walker, Eds. New York: Dow Jones Irwin, 1988.
[34] S. Gopalakrishnan and F. Damanpour, "A review of innovation research in economics, sociology and technology management," Omega, Int. J. Manage. Sci., vol. 25, pp. 15-28, 1997.
[35] W. T. Gregor and J. P. Mara, "Containing costs through distribution systems,"Bankers Mag., pp. 22-28, May-June 1993.
[36] V. Grover and M. D. Goslar, "The initiation, adoption and implementation of Telecommunications in U.S. organizations," J. Manage. Inform.Syst., vol. 10, pp. 141-163, 1993.
[37] M. A. Hitt, R. E. Hoskisson, and R. D. Ireland, "Mergers and acquisitions and managerial commitment to innovation in M-form organization,"Strategic Manage. J., vol. 11 (S), pp. 29-47,1990.
[38] L. R. James, R. G. Demarcee, and G. Wolf, "Estimating within-group interrater reliability with and without response bias," J. Appl. Psychol.,vol. 69, pp. 85-98, 1984.
[39] E. H. Kessler and A. K. Chakrabarti, "Innovation speed: A conceptual model of context, antecedents, and outcomes," Acad. Manage. Rev., vol. 21. pp. 1143-1191. 1996.
[40] J. R. Kimberly and M. Evanisko, "Organizational innovation: The influence of individual, organizational and contextual factors," Acad. Manage. J., vol. 24, pp. 689-713, 1981.
[41] Bilson, John F O, and Jacob A Frenkel, International Reserves: Adjustment Dynamics, Economic Letters, Vol.4,1980.
[42] Witteveen, H Johannes,The Control of International Liguidity, IMF Survey, October 28, 1975.
[43] Heller, H Robert, Optimal International Reserves, Economic Journal, June 1966.
[2] 华南金融研究所．跨世纪的中国金融业．广东经济出版社．2000年．
[3] 杨力主编．商业银行风险管理．上海财经大学出版社．1998年11月．
[4] 潘英丽．西方商业银行管理．华东师范大学出版社．1996年．
[5] 陆世敏，赵晓菊．现代商业银行经营与管理．上海财大出版社．1998年．
[6] 刘振亚，姚文雄．现代商业银行的经营原则与流动性管理．中国人民大学中国财政金融政策研究中心．2003年3月．
[7] 李梦琳．中国银行业经营战略的选择．现代商业银行．2003年3月．
[8] 何秉孟．亚洲金融危机最新分析与对策．社会科学文献出版社．1998年7月．
[9] 朱建江．负债经营与债务清偿．上海科学普及出版社．1992年．
[10] 萨缪尔森．经济学．北京经济学院出版社．1996年6月第1版．
[11] 马克思恩格斯全集．第49卷．人民出版社．1982年12月第1版．
[12] 凌江怀．现代商业银行经营与管理．广州旅游出版社．1995年9月第1版．
[13] [美]帕特·乔特著，林晨辉等译．银弹攻势．中国经济出版社．1991年5月版．
[14] 侯书森，陈宜主编．《企业超速发展理论·模式·案例》．中国物价出版社．1998年．
[15] 范家骧，高天虹著．西方经济学．中国经济出版社．1992年12月．
[16] 刘书年主编．国际金融．对外经济贸易大学出版社．1991年5月．
[17] 鲁毅主编．商业银行防范化解金融风险案例研究．海天出版社．1997年12月．
[18] 褚葆一，杨思正主编．当代美国经济新编．中国财政经济出版社．1989年7月版．
[19] 关建军，张振刚主编．现代货币银行经济论．东北财经大学出版社．1996年10月版．
[20] 高程德．经济法．上海人民出版社．1993年5月版．
[21] 陈顺殷．入世：中国银行业面临的挑战与对策[M]．北京：中国金融出版社，2000．
[22] 周道许，亓丕华．加入世贸组织与中国金融[M]．北京：时事出版社，2000．
[23] 李欣，王颖．对国有商业银行上市途径的现实思考[J]．金融论坛，2001，(5)．
[24] 张志柏．金融控股公司—中国金融业的现实选择[J]．上海投资，2001，(7)．
[25] J. E. Ettlie and E. M. Reza, "Organizational integration and process innovation,"Acad. Manage. J., vol. 35, pp. 795-827, 1992.
[26] B. S. Everitt, Cluster Analysis, U.K.: Halsted Press, 1974.
[27] D. E. Farley, "Competition among hospitals: Market structure and its relation to utilization costs and financial position," in Research Note7: DHHS Publication [PHS] 85-3353. Washington, DC: U.S. Department of Health and Human Services, National Center for Health
Services Research and Health Care Technology Assessment, 1985.
[28] A. Fiegenbaum and H. Thomas, "Strategic groups and performance: The U.S. insurance industry," Strategic Manage. J., vol. 11, pp. 197-215, 1990. 1970-1984.
[29] C. M. Fiol, "Squeezing harder doesn't always work: Continuing the search for consistency in innovation research," Acad. Manage. Rev, vol. 21, pp. 1012-1021, 1996.
[30] S. W. Floyd, S. A. Zahra, and W. Wooldridge, "Information technology and financial performance in three strategic groups," presented at the TIMS/ORSA Joint National Meeting, Apr. 25-26, 1988.
[31] J. R. Galbraith, Organization Design. Reading, MA: Addison-Wesley, 1977.
[32] M. E. Gaske, M. S. Godfrey, E. J. Rooney, A. J. Schneider, and P. R.Worthington, "Competitiveness in retail banking markets in international competitiveness of U.S. financial firms," Federal Reserve Bank: A Staff Study, 1990.
[33] "Special constraints on commercial banks—Geographical limitations,"C. H. Golembe, in The Bankers Handbook, W. H. Baughn, T. I. Storrs,and C. E. Walker, Eds. New York: Dow Jones Irwin, 1988.
[34] S. Gopalakrishnan and F. Damanpour, "A review of innovation research in economics, sociology and technology management," Omega, Int. J. Manage. Sci., vol. 25, pp. 15-28, 1997.
[35] W. T. Gregor and J. P. Mara, "Containing costs through distribution systems,"Bankers Mag., pp. 22-28, May-June 1993.
[36] V. Grover and M. D. Goslar, "The initiation, adoption and implementation of Telecommunications in U.S. organizations," J. Manage. Inform.Syst., vol. 10, pp. 141-163, 1993.
[37] M. A. Hitt, R. E. Hoskisson, and R. D. Ireland, "Mergers and acquisitions and managerial commitment to innovation in M-form organization,"Strategic Manage. J., vol. 11 (S), pp. 29-47,1990.
[38] L. R. James, R. G. Demarcee, and G. Wolf, "Estimating within-group interrater reliability with and without response bias," J. Appl. Psychol.,vol. 69, pp. 85-98, 1984.
[39] E. H. Kessler and A. K. Chakrabarti, "Innovation speed: A conceptual model of context, antecedents, and outcomes," Acad. Manage. Rev., vol. 21. pp. 1143-1191. 1996.
[40] J. R. Kimberly and M. Evanisko, "Organizational innovation: The influence of individual, organizational and contextual factors," Acad. Manage. J., vol. 24, pp. 689-713, 1981.
[41] Bilson, John F O, and Jacob A Frenkel, International Reserves: Adjustment Dynamics, Economic Letters, Vol.4,1980.
[42] Witteveen, H Johannes,The Control of International Liguidity, IMF Survey, October 28, 1975.
[43] Heller, H Robert, Optimal International Reserves, Economic Journal, June 1966.