河北建行客户选择的RAROC法应用分析

发布时间：2018-08-20 11:35

【摘要】：现阶段，传统信贷业务在国有商业银行业务领域中仍然处于不可替代的主导地位，作为信贷业务的基础——客户选择具有非常重要的意义。国内银行业由于发展历史较短，客户选择的能力和方法仍需有较大幅度的提升。随着近年来风险计量技术的发展，经济资本、RAROC(Risk-Adjusted Return On Capital，资本的风险调整收益率)技术在风险管理、绩效考评方面的应用正在逐步深入，使得基于RAROC技术进行客户选择成为可能，对国内银行业提升客户选择能力也尤为必要。本文首先对商业银行客户选择的方式进行了分析，并以建设银行为例，对现有客户选择的考量体系进行介绍，进而分析其存在的问题。接着，本论文在介绍RAROC相关概念的基础上，重点对RAROC法在客户选择方面，包括单客户RAROC值的计算、应用RAROC构建客户组合的原理进行阐述，进而将其与现有客户选择的方法进行对比分析，揭示其在实现收益与风险平衡、扩大客户基础等方面的优势。本文最后以河北建行为例，说明了单客户RAROC值的计算和运用RAROC法构建客户组合的过程，比较分析了RAROC方法选择出的客户组合较传统方法在经营绩效方面的差异；同时，针对目前推进RAROC方法应用过程中的现实问题，尝试性给出将RAROC法与现有体系有机结合的客户选择架构，对逐步推进RAROC法的应用提出了建议。本文的主要贡献在于将RAROC方法应用于客户选择的具体实践，实现了现有条件下单客户层面RAROC的计算，运用RAROC法构建更有利于提升经营效益的资产组合，并将RAROC法有机融入现有的客户选择体系，，解决了理论超前于业务实际、RAROC方法不能有效运用的问题。
[Abstract]:At present, the traditional credit business is still in the irreplaceable dominant position in the field of state-owned commercial bank business, as the basis of credit business-customer selection has a very important significance. Due to the short history of domestic banking, the ability and method of customer selection still need to be greatly improved. With the development of risk measurement technology in recent years, the application of Risk-Adjusted Return On Capital, (risk adjusted rate of return of Risk-Adjusted Return On Capital, capital) technology in risk management and performance evaluation is deepening step by step, which makes it possible to select customers based on RAROC technology. It is also necessary for domestic banks to enhance their customer selection ability. This paper first analyzes the ways of customer selection in commercial banks, and takes China Construction Bank as an example to introduce the existing system of customer selection, and then analyze the existing problems. Then, on the basis of introducing the related concepts of RAROC, this paper focuses on the RAROC method in customer selection, including the calculation of single customer RAROC value, and the principle of using RAROC to construct customer combination. Then it compares with the existing methods of customer selection and reveals its advantages in realizing the balance between profit and risk and expanding the customer base. In the end, the paper illustrates the calculation of RAROC value of single customer and the process of using RAROC method to construct customer combination, and compares and analyzes the difference of customer combination selected by RAROC method compared with the traditional method in the aspect of management performance. In view of the practical problems in the process of advancing the application of RAROC method, this paper tries to give a customer selection framework which combines the RAROC method with the existing system, and puts forward some suggestions for the application of the RAROC method to be pushed forward step by step. The main contribution of this paper is to apply the RAROC method to the concrete practice of customer selection, to realize the calculation of RAROC at customer level under existing conditions, and to use RAROC method to construct a portfolio that is more conducive to improving the operating efficiency. And the RAROC method is integrated into the existing customer selection system to solve the problem that the theory can not be used effectively than the business practice.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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