交通银行经济资本的管理研究

发布时间：2018-01-21 16:01

本文关键词： 经济资本经济利润商业银行考核机制　出处：《南京大学》2012年硕士论文　论文类型：学位论文

【摘要】：经济资本管理作为一种先进的资本管理方法,近年来已成为科学评价商业银行综合风险抵御能力的重要评价标准,也是当前银行业适应国际监管要求而产生的全新管理理念。经济资本是指在一个给定的水平下,用来吸收或缓冲所有风险带来的非预期损失的资本。通过对经济资本的有效管理,首先可以有机平衡资本、风险和收益,使风险管理和收益考核更好地服从和服务于资本长期价值最大化的目标。其次可以将经营目标和管理者业绩考核有机统一,最大限度地调动后者的积极性。再次可以促进业务结构的优化,促使银行尽量发展较低资本消耗的业务。为了在经济资本的数量约束之内,实现价值创造最大化,近年来,商业银行纷纷将覆盖经济资本成本的经济利润考核纳入综合考核评价体系当中。交通银行早在2005年就在绩效考核办法中引入了经济资本的理念,一是将考核拨备前利润改为考核拨备后利润。二是将经济利润和经济资本回报率等指标作为对分行考核的重要内容,加大对经济资本占用较低的中间业务等的考核力度,以资本约束机制的完善推动业务结构的优化和增长方式的转变。但从实践来看,由于起步较晚,商业银行对于经济资本计量方式以及经济利润考核的方式大多停留在比较粗放的阶段,用贷款指标来决定经济资本分配的现象比较突出,不能真实有效地从业务发起环节实施真正资本约束作用与激励作用,从而影响到商业银行的改革与转型。在此背景下,本文以经济资本的理论为起点,从经济资本的计量、经济资本的配置和绩效考核三个方面分析了交通银行当前的经济资本管理体系。结合交通银行江苏省分行的实际情况,对信用风险经济资本的三种计量模型,即内部系数法、权重法和资产波动法进行了比较研究。分析了交行目前在经济资本配置和绩效考核方面的现状和存在的问题,结合IRB高级法在交行的启动和推广,对交行经济资本计量工作以及在配置和考核中应用提出了探索建立以RAROC'为核心的贷款定价与考核机制,以及差异化的经济利润考核模式提出了相关建议。
[Abstract]:As an advanced capital management method, economic capital management has become an important evaluation standard for the comprehensive risk resistance of commercial banks in recent years. It is also a new management concept that the banking industry meets the requirements of international supervision. Economic capital refers to a given level. Capital that absorbs or buffers unexpected losses from all risks. Through effective management of economic capital, capital, risk, and income can first be organically balanced. Make the risk management and income assessment better serve and serve the goal of maximizing the long-term value of capital. Secondly, the management objectives and managers' performance assessment can be integrated organically. Third, it can promote the optimization of the business structure and promote the banks to develop the business with low capital consumption as far as possible, in order to limit the quantity of economic capital. In recent years, commercial banks have brought the economic profit assessment which covers the cost of economic capital into the comprehensive assessment system. As early as 2005, Bank of Communications introduced the concept of economic capital in the performance appraisal method. The first is to change the profit before the examination to the profit after the provision, and the other is to take the economic profit and the rate of return on economic capital as the important content of the appraisal of the branch. In order to optimize the business structure and change the growth mode, we should strengthen the assessment of the intermediate business, which has a low occupation of economic capital, and promote the optimization of the business structure and the transformation of the growth mode with the perfection of the capital constraint mechanism. But from the practical point of view, due to the late start, commercial banks for the measurement of economic capital and economic profit assessment mostly stay in a relatively extensive stage. The phenomenon of determining the distribution of economic capital by the loan index is more prominent, and the real capital constraint and incentive function can not be effectively implemented from the business initiation link, thus affecting the reform and transformation of commercial banks. Under this background, this article takes the economic capital theory as the starting point, from the economic capital measurement. This paper analyzes the current economic capital management system of the Bank of Communications in three aspects: the allocation and performance evaluation of economic capital. Combined with the actual situation of Jiangsu Branch of Bank of Communications, three econometric models of economic capital of credit risk are presented. That is, the internal coefficient method, the weight method and the asset fluctuation method are compared, and the current situation and problems in the economic capital allocation and performance evaluation of the Bank of Communications are analyzed. Combined with the initiation and popularization of IRB advanced method in the Bank of Communications, this paper puts forward the exploration and establishment of loan pricing and assessment mechanism with RAROC' as the core of the measurement of economic capital and its application in the allocation and assessment of the Bank of Communications. And the differentiated economic profit assessment model put forward the relevant suggestions.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33;F830.42

【相似文献】