A银行信用风险经济资本配置策略优化研究

发布时间：2018-03-14 02:37

本文选题：信用风险　切入点：经济资本　出处：《北京工业大学》2012年硕士论文　论文类型：学位论文

【摘要】：经济资本可以有效地将风险与收益结合在一起，从而可以更加科学和敏感地描述银行面临的全面风险和获得的真实收益。伴随后金融危机时代及利率市场化的迫近，在监管当局对巴塞尔新资本协议的持续推进下，加强经济资本管理将成为银行日常经营过程中平衡风险与收益的最有力的手段。经济资本管理体系主要包括经济资本计量、经济资本配置和基于经济资本基础上的绩效考核三大部分。通过风险调整后收益率RAROC（Risk-Adjusted ReturnOn Capital）和经济增加值EVA(Economic Value Added)两大评价工具的合理运用，经济资本管理体系将在银行资源配置、交易定价和绩效考核等方面切实发挥作用，有助于商业银行在资本约束下不断自我改善业务结构，，持续提高股东回报率。本文主要分四部分。第一章，从研究背景、意义、内容和方法等几方面简单进行介绍，鉴于信用风险还是未来一定时期内国内商业银行面临的主要风险，因而研究重点侧重于信用风险方面的经济资本配置。第二章，完成了对国内股份制商业银行A行的现行资本配置方案的研究分析，发现其中的问题所在。第三章和第四章是本文的重点。第三章，主要针对现行方案中的不足提出了配置优化方案，即：引入非线性规划模型，实现对经济资本下的风险加权资产进行配置。并在相同模拟情景下对两方案进行数学推算，以证明优化方案较现行方案确实有助于提高资本配置效率。第四章，为切实提高优化方案的配置效率，结合经济资本的深度应用，继续从计量精度、管理粒度、业务操作等多方面提出更进一步的配套应用策略，拟通过构建完整的动态管理循环以持续提高经济资本配置效率。
[Abstract]:Economic capital can effectively combine risk with income, so that it can more scientifically and sensitively describe the overall risks faced by banks and the real benefits obtained, which are accompanied by the post-financial crisis era and the imminent marketization of interest rates. With the continuous promotion of the new Basel Capital Accord by the regulatory authorities, strengthening economic capital management will become the most effective means to balance risks and returns in the daily operation of banks. The economic capital management system mainly includes the measurement of economic capital, The allocation of economic capital and the performance appraisal based on economic capital are three parts. Through the rational use of the two evaluation tools, RAROC(Risk-Adjusted ReturnOn capital (after risk adjustment) and EVA(Economic Value added (added value of economy), the economic capital management system will be used in the allocation of bank resources. It is helpful for commercial banks to improve their business structure and improve the return rate of shareholders continuously under the constraint of capital by giving full play to the role of transaction pricing and performance appraisal. This paper is mainly divided into four parts. The first chapter introduces the background, significance, content and methods of the research. In view of the credit risk or the main risks faced by domestic commercial banks in a certain period of time, Therefore, the research focuses on the allocation of economic capital in the aspect of credit risk. Chapter two, completed the research and analysis of the current capital allocation scheme of Bank A of the domestic joint-stock commercial banks. Chapter 3 and chapter 4th are the focal points of this paper. In chapter 3, we propose a configuration optimization scheme, which is based on the nonlinear programming model, aiming at the shortcomings of the current scheme. To achieve the allocation of risk-weighted assets under economic capital, and to calculate the two schemes mathematically under the same simulation scenario, to prove that the optimization scheme is really helpful to improve the efficiency of capital allocation compared with the current scheme. Chapter 4th, In order to improve the allocation efficiency of the optimized scheme, combining with the deep application of economic capital, the further matching application strategies are put forward from the aspects of measurement precision, management granularity, business operation and so on. The purpose of this paper is to improve the efficiency of economic capital allocation by constructing a complete dynamic management cycle.
【学位授予单位】：北京工业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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