Research On Optimal Of Commercial Bank Asset Allocation Decision Under Capital Constraint

After the implementation of Basel II on a worldwide scale, subprime mortgage crisis of2007and2011the European debt crisis, fully exposed the defects of Basel II, allows the national regulatory authorities once again focused on commercial bank’s risk taking behavior, which depend to a large extent the risk of a commercial bank’s capital levels and asset allocation. In the increasing competition banking market and market-oriented interest rate trend, commercial bank this pure-deposit interest rate spreads will certainly not be sustainable. So commercial bank is necessary adjust assets and under control its risk to maximize margin.Paper take capital constraint and asset allocation as the main concepts, review and summary on relevant study literature; pure research on regulatory capital constraints impact on the risk exposure of commercial banks is pure directional research which just studies of a single loan asset. Combining capital regulation specialty, focus on commercial bank asset allocation and mechanism of capital constraints on commercial bank asset allocation. On that basis, respectively, build non-capital-constrained commercial banks asset allocation model and mathematical model of commercial bank assets under capital constraint configuration and give the solution. In order to further validate findings of mathematical models, empirical study the capital under the constraints of commercial bank asset allocation indirect investigation of commercial bank’s risk-behaviors. Among them, see how commercial banks act under the impact of external conditions; specifically solve the different contexts of asset allocation. For both commercial banks and regulators themselves have some reference value.This paper has three innovations:(1) Commercial bank of research capital constraint and asset allocation view, the research or capital constraints in the past, research on asset allocation, rarely talk about combining considerations;(2) Construction model of commercial bank asset allocation decision under capital constraint, a combination of mean-variance model with utility function models, regulatory capital constraints, deposit ratio, epidemics constraints, getting banking asset allocation optimal solutions;(3)The paper explored various asset allocation decision model, get rid of the former studies on single loans. Previous studies loan one asset to allocation, but the reality is commercial bank holding many kinds of assets.