基于风险价值导向的平安银行价值评估研究
发布时间：2019-04-02 07:21
【摘要】：自2013年以来,受利率市场化、互联网金融以及监管趋严等因素影响,商业银行利润增速断崖式下跌,不良“双升”。商业银行要实现价值最大化的经营管理目标,必须兼顾银行的风险管理和价值创造,而风险管理的核心在于对风险价值的准确厘定。本文研究的主要目的是在已有银行风险与风险管理研究的基础上,将风险因素纳入银行价值估值模型,以案例分析的方法探讨基于风险价值导向的商业银行估值问题,进而为管理者充分认识银行风险,在此基础上提升银行价值提供参考。本文通过梳理国内外学者有关银行风险与风险管理的研究成果,将综合反映商业银行各种风险的经济资本引入银行价值评估中;通过比较分析常用估值方法对本文研究的适用性,选择EVA三阶段估值模型为本文的评估方法;在充分认识经济资本内涵的基础上,改进了传统的EVA估值模型并对平安银行进行价值评估。本文评估的平安银行2015年12月31日的价值为3030.94亿元,通过与平安银行的市场表现、股价及其波动性的比较分析,论证了模型的有效性;并在深入分析本文研究成果的基础上,对平安银行的风险管理和市值管理提出建议。
[Abstract]:Since 2013, interest rate marketization, internet finance and regulatory tightening have led to a sharp drop in profit growth in commercial banks and a bad "double rise". In order to realize the management goal of value maximization, commercial banks must take into account the risk management and value creation of banks, and the core of risk management lies in the accurate determination of risk value. The main purpose of this paper is to incorporate the risk factors into the valuation model of bank value on the basis of the existing research on bank risk and risk management, and discuss the valuation problem of commercial banks based on value-at-risk with the method of case analysis. Furthermore, it provides a reference for managers to fully understand the bank risk and improve the bank value on this basis. By combing the research results of domestic and foreign scholars on bank risk and risk management, this paper introduces the economic capital which comprehensively reflects the various risks of commercial banks into the evaluation of bank value; By comparing and analyzing the applicability of commonly used valuation methods to this study, the EVA three-stage valuation model is chosen as the evaluation method of this paper. On the basis of fully understanding the connotation of economic capital, this paper improves the traditional EVA valuation model and evaluates the value of Ping an Bank. The value of Ping an Bank in this paper is three hundred and three billion ninety four million yuan on Dec. 31, 2015. The validity of the model is proved by comparing and analyzing the market performance, stock price and volatility of Ping an Bank. On the basis of in-depth analysis of the research results of this paper, suggestions on the risk management and market capitalization management of Ping an Bank are put forward.
【学位授予单位】：兰州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42
本文编号：2452375
[Abstract]:Since 2013, interest rate marketization, internet finance and regulatory tightening have led to a sharp drop in profit growth in commercial banks and a bad "double rise". In order to realize the management goal of value maximization, commercial banks must take into account the risk management and value creation of banks, and the core of risk management lies in the accurate determination of risk value. The main purpose of this paper is to incorporate the risk factors into the valuation model of bank value on the basis of the existing research on bank risk and risk management, and discuss the valuation problem of commercial banks based on value-at-risk with the method of case analysis. Furthermore, it provides a reference for managers to fully understand the bank risk and improve the bank value on this basis. By combing the research results of domestic and foreign scholars on bank risk and risk management, this paper introduces the economic capital which comprehensively reflects the various risks of commercial banks into the evaluation of bank value; By comparing and analyzing the applicability of commonly used valuation methods to this study, the EVA three-stage valuation model is chosen as the evaluation method of this paper. On the basis of fully understanding the connotation of economic capital, this paper improves the traditional EVA valuation model and evaluates the value of Ping an Bank. The value of Ping an Bank in this paper is three hundred and three billion ninety four million yuan on Dec. 31, 2015. The validity of the model is proved by comparing and analyzing the market performance, stock price and volatility of Ping an Bank. On the basis of in-depth analysis of the research results of this paper, suggestions on the risk management and market capitalization management of Ping an Bank are put forward.
【学位授予单位】：兰州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42
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