基于RAROC的银行表内资产转让定价决策研究

发布时间：2018-04-13 14:13

本文选题：经济资本 + RAROC　；参考：《国际金融研究》2011年10期

【摘要】：巴塞尔协议Ⅲ的推出,进一步提高了商业银行的资本要求,对有限的资本进行优化配置,是商业银行提高经营绩效的核心。针对我国商业银行以表内资产收益为主要利润来源这一现实,本文提出了优化经济资本配置的一个重要手段就是加速表内资产的流动,这种流动必然涉及到表内资产的转让和定价问题。本文结合巴塞尔协议内部评级法,以风险调整后的资本收益率RAROC为基础,建立一个关于表内资产转让的保留价格模型,并辅之以其他定性定量指标,以此作为商业银行表内资产转让的定价决策参考。
[Abstract]:The introduction of Basel III further raises the capital requirements of commercial banks and optimizes the allocation of limited capital, which is the core of commercial banks to improve their operating performance.In view of the fact that China's commercial banks take the income of assets in the balance sheet as the main source of profits, this paper puts forward that an important means to optimize the allocation of economic capital is to accelerate the flow of assets in the statement.This flow inevitably involves the transfer and pricing of assets in the balance sheet.Based on the risk adjusted capital return rate (RAROC), this paper establishes a reserve price model for asset transfer on the basis of the Basel internal rating method, which is supplemented by other qualitative and quantitative indicators.This is used as a reference for the pricing decision of asset transfer in commercial bank's balance sheet.
【作者单位】：西南财经大学工商管理学院;西南财经大学会计学院;中国银行四川省分行;
【分类号】：F832.2

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