基于逆周期调整的商业银行经济资本管理方法研究

发布时间：2018-01-14 04:15

本文关键词：基于逆周期调整的商业银行经济资本管理方法研究　出处：《湖南大学》2013年博士论文　论文类型：学位论文

【摘要】：2008年爆发的国际金融危机暴露了《巴塞尔协议II》的顺周期性。作为对《巴塞尔协议II》的修改和补充，巴塞尔委员会于2010年出台了《巴塞尔协议III》，提出了逆周期缓冲资本的概念，将逆周期调整加入资本监管框架。近年来，在《巴塞尔协议II》和《巴塞尔协议III》的推动下，商业银行的风险管理逐步向以风险计量和资本优化配置为核心的全面风险管理转变，经济资本管理逐渐成为商业银行管理技术的核心。如何缓解金融体系的顺周期性是当前银行风险管理的重要任务。因此，研究基于逆周期调整的商业银行经济资本管理方法具有非常重要的现实意义。在《巴塞尔协议II》和《巴塞尔协议III》框架内，本文从银行业发展的角度，探讨商业银行实施逆周期调整的经济资本管理方法。本文通过论述《巴塞尔协议III》关于银行业监管的重大变化及其对商业银行资本管理的影响，阐明商业银行实施经济资本逆周期调整的必要性，，为研究基于逆周期调整的商业银行经济资本管理方法提供了依据和理论基点。本文通过实证方法论证经济资本的顺周期性。违约概率是经济资本计量的关键参数，以违约概率与经济资本相关性的实证研究为前提，通过进一步论证违约概率的顺周期性，证明经济资本顺周期性的存在。本文选取单因素模型和CreditRisk+模型进行实证，实证结果表明，采用两种模型方法计量的经济资本都存在明显的顺周期效应，且顺周期效应的显著程度相似；在其他参数不变的条件下，违约概率的顺周期性导致经济资本存在着明显的顺周期性。本文提出了基于逆周期调整的经济资本管理的总体框架。在给定的总体框架下，本文分别研究基于逆周期调整的商业银行经济资本计量方法、经济资本配置方法和经济资本绩效考核方法。经济资本计量是商业银行开展经济资本管理的前提和基础。针对经济资本的顺周期性，提出对违约概率进行经济周期性调整和资本缓冲调整的方法，平滑违约概率的波动，进而实现经济资本逆周期调整的目的；将借款人分为公司类客户、已有评级的零售类客户和尚未评级的零售类客户，在逆周期调整框架下，分别给出银行估计违约概率均值和标准差的方法；针对违约损失率，给出了不同担保品条件下违约损失率的测算路径；针对国外CreditRisk+模型频带划分上的缺陷，给出新的频带划分方法，并在计算频带参数时，使用跨周期调整方法，平滑了参数的波动性；针对国外CreditRisk+模型在计算违约损失分布上的缺陷，提出在贷款笔数较少时使用Panjer算法、加权平均频带划分方法计量贷款组合的违约损失分布，在贷款笔数较多时使用鞍点逼近法计量贷款组合的违约损失分布；针对VaR缺乏次可加性的缺陷，提出将VaR和GES方法结合测算贷款组合占用的经济资本。实证研究结果表明，逆周期调整后的经济资本与GDP增长率之间的相关系数为-0.29，远低于调整前的经济资本与GDP增长率之间的相关系数-0.97，经济资本顺周期性的缓释效果明显。经济资本配置是经济资本管理的核心内容。在逆周期调整框架下，通过合理的经济资本配置，商业银行可实现持久的稳定经营，防范系统性风险，争取资本的价值最大化。本文从总分行管理层级和业务条线两个方面分别探讨基于逆周期调整的经济资本配置方法。在对EVA、RAROC、经济资本贡献逆周期调整的基础上，以银行EVA最大化为目标函数，以修正的RAROC、监管要求约束、银行发展战略、风险集中度、经济资本贡献等约束条件，构建基于逆周期调整的HTB-ECA模型和BTL-NLECA模型。算例分析结果表明，逆周期调整前后，经济资本配置的结果差异很大，在逆周期调整前表现相对优异的分行，在逆周期调整后可能面临经济资本额度缩减的困境；基于逆周期调整的经济资本配置可以更好地反映银行面临的风险状况和大小，有利于做出正确的信贷决策。经济资本绩效考核管理是经济资本管理的主要内容之一。本文提出了基于逆周期调整的经济资本绩效考核的新理念，并分别探讨了员工和分支机构的经济资本绩效考核方法，提出了基于逆周期调整的BLP-ECPA模型和P-ECPA模型。在EVA、RAROC、经济资本贡献度等指标逆周期调整的基础上，BLP-ECPA模型以EVA为考核目标，以RAROC、经济资本贡献度、任务完成度、不良率等为计算指标，从贷款业务绩效、存款业务绩效、综合贡献度绩效和户数绩效等四个方面实现对银行内条线员工的绩效考核；P-ECPA模型将不良容忍率和逆周期调整后的经济资本量作为前提条件，以EVA为考核目标，以RAROC、经济资本贡献度、任务完成度等为计算指标，从贷款业务绩效、存款业务绩效、综合贡献度绩效等方面实现对分支机构的绩效考核。本文对商业银行逆周期调整框架下强化经济资本管理提出了对策建议。在逆周期调整的框架下，商业银行需要建立配套的经济资本计量体系、配置体系和绩效考核体系，需要建立经济资本管理的战略支撑体系以及推行新的资本战略。
[Abstract]:In 2008 the outbreak of the international financial crisis has exposed the "Pro cyclical Basel II>. As a modification and supplement of the" Basel protocol of II>, the Basel Committee issued a "Basel III> in 2010, put forward the concept of counter cyclical capital buffers, the counter cyclical adjustment with capital regulatory framework. In recent years, in the promotion of Basel" II> protocol and III> Protocol "Basel, risk management of commercial banks has gradually transformed into a comprehensive risk management to risk measurement and capital allocation is the core of economic capital management has gradually become the core management techniques of commercial banks. How to alleviate the pro cyclicality of the financial system is an important task for the bank risk management. Therefore, has very important practical significance to research method of economic capital management of commercial bank counter cyclical adjustment. Based on II> protocol and < < Basel Basel III> framework agreement From the perspective of the development of the banking industry, this paper discusses the economic capital management methods of the counter cyclical adjustment of commercial banks.
This paper discusses the "Basel protocol III> major changes on banking supervision and its impact on commercial bank capital management, expounding the necessity of the implementation of economic capital of commercial banks counter cyclical adjustment, as the research method of economic capital management of commercial banks based on counter cyclical adjustment provides the basis and theoretical basis.
This paper through empirical method to demonstrate the procyclicality of economic capital. The probability of default is a key parameter for the measurement of economic capital, empirical research on the probability of default and the correlation of economic capital as the premise, through the demonstration of default probability of procylicality, prove that the periodic CIS economic capital. This paper selects the single factor model and the CreditRisk+ model for empirical the empirical results show that, by measuring two methods of economic capital are procyclical effect is obvious, and the significant degree of procyclicality is similar; under the same parameters, procyclicality of probability of default lead to economic capital exist obviouspro cyclical.
In this paper, a general framework of economic capital management based on counter cyclical adjustment is put forward. Under a given overall framework, this paper studies the economic capital measurement method based on reverse cyclical adjustment, economic capital allocation method and economic capital performance appraisal method respectively.
The measurement of economic capital is the premise and foundation of economic capital management of commercial banks. According to economic capital procyclicality, proposes the method of economic cyclical adjustment and adjustment of capital buffers on the probability of default, the default probability of smooth fluctuations, and to realize the economic capital counter cyclical adjustment to the borrower; will be divided into corporate customers. The rating of the retail customers and Unrated retail customers in the counter cyclical adjustment framework, were given the bank estimation method of mean and standard deviation of the probability of default; the default loss rate, measuring path is given with the collateral under the default loss rate; for the CreditRisk+ model on the defect frequency division. Given the new band classification, and in the calculation of band parameters, using the adjustment method of cross period, the volatility smoothing parameter for foreign CreditRisk + model; In the calculation of default loss distribution of defects, put forward using Panjer algorithm in a small number of loans, the weighted average frequency division method of measurement of loan portfolio default loss distribution, using the saddle point in the loan number more approximation method of loan portfolio default loss distribution measurement; for VaR times with the lack of defects, put forward VaR and GES combined with the method of calculating the loan portfolio occupied economic capital. The empirical results show that the inverse correlation coefficient between economic capital and GDP growth period after the adjustment rate is -0.29, the correlation coefficient is far lower than the economic capital and GDP before the adjustment between the growth rate of -0.97, the economic capital Shun periodic obvious sustained release effect.
Economic capital allocation is the core content of economic capital management. In the counter cyclical adjustment framework, through the rational allocation of economic capital, commercial banks can achieve stable operation lasting, guard against systemic risk, strive to maximize the value of capital. The total branch management level and business line two aspects of economic capital allocation based on the method of counter cyclical adjustment. In EVA, RAROC, foundation of economic capital contribution counter cyclical adjustment, bank EVA maximization as the objective function based on the modified RAROC, regulatory requirements constraints, bank development strategy, risk concentration, economic capital contribution as constraints. The construction of HTB-ECA model and BTL-NLECA model of inverse cycle based on the adjustment. The results show that before and after the counter cyclical adjustment, the economic capital allocation of great differences in the results, performance for relatively excellent in counter cyclical adjustment before in counter cyclical adjustment After that, we may face the dilemma of reducing the economic capital size. The allocation of economic capital based on the counter cyclical adjustment can better reflect the risk situation and size of banks, and help to make the right credit decisions.
The economic capital management of performance appraisal is one of the main content of economic capital management. This paper puts forward a new concept of economic capital performance evaluation based on counter cyclical adjustments, and study the method of assessing economic capital performance of employees and branches, put forward the counter cyclical adjustment of BLP-ECPA model and P-ECPA model. Based on EVA, RAROC. Based on economic capital contribution index counter cyclical adjustment on the BLP-ECPA model with EVA as the evaluation target, RAROC, economic capital contribution, the task is completed, the adverse rate for the calculation of indicators from the loan deposit business performance, business performance, the four aspects of comprehensive contribution performance and performance of banks within households line employee performance evaluation; P-ECPA model will tolerate adverse rate and reverse the amount of economic capital cycle adjusted as a precondition, using EVA as the evaluation target, to RAROC, the economic capital contribution, The task completion degree is the calculation index, which realizes the performance appraisal of the branch from the loan business performance, the deposit business performance, the comprehensive contribution performance and so on.
The commercial bank counter cyclical adjustment under the framework of strengthening the economic capital management and puts forward some countermeasures and suggestions. In the framework of counter cyclical adjustment, the measurement system of economic capital of commercial banks need to set up and configure system and performance appraisal system, strategic support system needs to establish the economic capital management and the implementation of the new capital strategy.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F831.1

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