中国商业银行运用经济资本管理风险的效果评价及对策

发布时间：2018-07-20 14:26

【摘要】：巴塞尔新资本协议颁布实施后，对商业银行风险管理的研究，，主要围绕巴塞尔新资本协议的三大支柱而展开，强调资本对风险的约束作用，树立全面风险管理理念，强化风险管理部门的独立性，建立完善相应的风险管理方法。我国国有商业银行能否在前期积累基础数据、建立内部评级模型和运用经济资本管理等方面初步取得成效的基础上，进一步落实《巴塞尔协议Ⅲ》中的新标准，适应监管要求和提高核心竞争力成为其风险管理的主要目标。本文依据经济资本管理商业银行风险的理论，联系国内外商业银行运用经济资本管理风险的实践，对以经济资本为核心管理银行风险的问题进行了比较全面的探讨，并对经济资本管理效果给予一定的评价，为进一步加强国有商业银行经济资本管理提出有关的对策。首先，本文指出经济资本是一种应对风险的虚拟资本，是估计银行所需资本的一把标尺，在数值上等于商业银行面临的风险值，它和账面资本、监管资本有着重要的联系与区别。为此，必须对经济资本进行全面而比较精确的计量。文章中分别介绍了信用风险、市场风险和操作风险的经济资本计量方法。其次，比较深入地探讨了商业银行运用经济资本进行组合风险管理的问题。本文认为作为衡量波动性的统一工具，经济资本不但建立了风险资产与资本之间的联系，还建立了不同风险之间可加性、可比较的联系，被银行用在组合风险管理中，并被用来衡量银行的总体风险。再次，对国内外银行运用经济资本管理效果进行了适当的评价。国外商业银行在运用经济资本管理风险方面取得了比较显著的效果，也面临一些新的问题。我国商业银行在将经济资本引入经营管理后，经济资本管理开始越来越多地成为商业银行决策的核心依据，为提升风险管理的精细化水平起到了很大作用，但与国外银行相比，仍有较大的管理差距。最后，在以上研究的基础上，提出了我国国有商业银行运用经济资本管理风险的若干对策，并力求提出的对策有一定的可操作性。
[Abstract]:After the promulgation and implementation of the Basel New Capital Accord, the research on the risk management of commercial banks is mainly carried out around the three pillars of the Basel New Capital Accord, which emphasizes the binding role of capital on risk and sets up the concept of comprehensive risk management. Strengthen the independence of risk management department, establish and perfect the corresponding risk management method. On the basis of the initial achievements in accumulating basic data, establishing internal rating models and using economic capital management, the state-owned commercial banks in China can further implement the new standards in Basel III. Adapting to regulatory requirements and improving core competitiveness are the main objectives of risk management. Based on the theory of economic capital management of commercial bank risk and the practice of domestic and foreign commercial banks using economic capital to manage risk, this paper makes a comprehensive discussion on the management of bank risk with economic capital as the core. The effect of economic capital management is evaluated, and some countermeasures are put forward to further strengthen the economic capital management of state-owned commercial banks. First of all, this paper points out that economic capital is a fictitious capital to deal with risks, and it is a yardstick to estimate the capital required by banks, which is equal to the value of risk faced by commercial banks, and it and book capital. Supervision capital has important relation and difference. Therefore, must carry on the comprehensive and more accurate measurement to the economic capital. This paper introduces the economic capital measurement methods of credit risk, market risk and operational risk. Secondly, the paper probes into the problem of using economic capital for portfolio risk management in commercial banks. This paper holds that as a unified tool to measure volatility, economic capital not only establishes a link between risk assets and capital, but also establishes an additive and comparable link between different risks, which is used by banks in portfolio risk management. And is used to measure the overall risk of banks. Thirdly, the effect of using economic capital management in domestic and foreign banks is evaluated properly. Foreign commercial banks have achieved remarkable results in using economic capital to manage risks, and also face some new problems. After the introduction of economic capital into the management of commercial banks in China, economic capital management has become more and more the core basis for the decision-making of commercial banks, which has played a great role in improving the level of refinement of risk management, but compared with foreign banks, economic capital management has become more and more important. There is still a big management gap. Finally, on the basis of the above research, this paper puts forward some countermeasures for the state-owned commercial banks to use economic capital to manage the risks, and tries to put forward some countermeasures to be operable.
【学位授予单位】：兰州理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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