欧美商业银行经济资本管理研究
发布时间：2018-09-03 12:22
【摘要】：20世纪70年代以来，随着金融全球化和自由化进程的不断推进，全球金融业跨国发展，金融活动按全球统一规则运行，同质的金融资产价格趋于等同，巨额国际资本通过金融中心在全球范围内迅速运转，从而形成全球一体化的趋势。金融业务、金融政策在世界各国、各地区相互渗透和扩张、相互竞争和制约，形成了密切联系、统一的全球金融整体格局 金融全球化同经济全球化一样，是一把双刃剑，在带来积极作用的同时也会产生消极的影响。积极的作用表现为金融全球化推动国际贸易和国际投资的发展，由此带来全球经济的高速增长。消极作用主要表现在加深了金融虚拟化程度，滋生了过度投机和经济泡沫。加快金融危机在全球范围内的传递，增加了国际金融体系的脆弱性。金融全球化的背景下商业银行面临越来越多的风险。如1992年意大利里拉和英镑大幅贬值；1994年墨西哥比索汇率狂跌；1995年英国巴林银行倒闭；1997年东南亚金融危机；2008年美国次贷危机引发全球金融危机。这充分说明，在以金融资本国际化为突出特征的金融全球化浪潮中，金融风险比过去任何历史时期都加大加重了。 上世纪90年代，美洲银行业率先实施经济资本管理。90年代后期，巴克莱银行、JP摩根和花旗银行等欧美商业银行都在不同程度上实施了经济资本管理。进入21世纪，欧美商业银行在整合数据、改进算法的基础上，实现了经济资本在全球范围的推广应用，并逐步使之成为战略决策的一项重要依据，建立了一套激励约束机制，使得风险管理和价值创造有机地结合起来，有效地促进了银行价值的提升。我国商业银行逐渐接受以资本约束为核心的风险管理理念，逐步把经济资本管理理念的引入我国商业银行管理中。目前，我国商业银行经济资本管理集中于工、农、中、建等大型国有商业银行，这些银行积极探索和逐步引入经济资本管理方法，进一步提升了银行管理水平。但是与欧美商业银行的先进实践相比，我国商业银行经济资本管理在计量、配置和绩效评估方面还存在一定的差距。 我国在金融全球化浪潮中不断走向开放，我国商业银行能否安全稳健运行及可持续发展，将显得尤为重要。随着我国金融银行业的全面开发，我国的政策保护将逐渐减弱。同时在全球范围内高速流动和转移的国际资本也加大了银行面临的风险。因此，我国商业银行研究和借鉴国际银行业的先进管理经验，构建和完善一整套与欧美商业银行先进实践相一致的经济资本管理体系，提升我国商业银行风险管理水平，在目前金融全球化的背景下具有长远的意义。我国银行业要在世界金融舞台上立稳脚跟并获得长足发展，就必须借鉴国际同业的成功经验，通过实施经济资本管理，实现全面风险管理，建立长效风险管理机制，并完善激励约束机制，进而增强其核心竞争力。 在此背景下，本论文在界定经济资本概念、梳理相关理论、回顾经济资本管理的演进历程基础上，重点分析欧美商业银行经济资本计量、经济资本配置和绩效评估体系等关键问题。在结合我国经济资本管理实践情况的基础上，旨在提出建设符合我国国情的经济资本管理体系的理论意义，这对我国银行实施经济资本管理以增强抵御风险能力具有重要的现实意义和深远的战略意义。 文章共分九个部分。第1章导论部分主要介绍研究的目的和意义、研究现状、研究内容方法等，其中研究文献不仅介绍学术研究机构的研究成果，还将介绍国内外监管机构，如巴塞尔委员会及中国银监会关于经济资本的研究成果及监管要求；第2章主要解释经济资本的基本知识，包括经济资本定义、经济资本与监管资本及可用资本的关系、经济资本管理概念及其主要内容、经济资本管理流程、以及经济资本管理作用等。通过经济资本产生背景的介绍，，阐述经济资本管理作为现代风险管理的重要工具，在其管理流程中实现了风险管理与资本管理的统一，对传统风险管理理念的提升产生了重大的影响；第3章主要对经济资本管理的相关理论进行阐述，主要包括风险在值（VAR）理论、莫顿（Merton）理论、蒙特卡洛模拟理论、以及组合最优化规划配置理论等。第2章和第3章是经济资本计量、配置和绩效评估的理论基础；第4章介绍欧美商业银行经济资本管理演进历程。梳理欧美商业银行经济资本管理演进历程，结合巴塞尔委员会协议的发展进行总结与归纳，将欧美商业银行经济资本管理演进历程分为萌芽、成长、发展和转型等四个阶段；第5、6、7章分别介绍欧美商业银行经济资本计量、经济资本配置，以及经济资本绩效评估三方面的管理现状，在每章最后一节总结其先进性及存在的主要问题，是本论文的核心内容；第8章是本文重点。基于目前金融全球化的背景，结合我国商业银行业务特点，提出我国商业银行经济资本存在的主要问题，提出建设符合我国商业银行特点的经济资本管理体系的建议；最后对研究成果进行了总结。
[Abstract]:Since the 1970s, with the continuous progress of financial globalization and liberalization, the global financial industry has developed transnational, financial activities operate according to the global uniform rules, homogeneous financial asset prices tend to be the same, huge amounts of international capital through the financial center in the global rapid operation, thus forming a trend of global integration. Business and financial policies permeate and expand each other, compete and restrict each other in various countries and regions of the world, forming a closely linked and unified global financial overall pattern.
Like economic globalization, financial globalization is a double-edged sword, which brings positive effects and negative effects. The positive effects are shown in the fact that financial globalization promotes the development of international trade and investment, thus bringing about the rapid growth of the global economy. Commercial banks are facing more and more risks in the context of financial globalization. Bankruptcy; Southeast Asian Financial Crisis in 1997; Global Financial Crisis in 2008 triggered by the U.S. subprime mortgage crisis. This fully demonstrates that the financial risk has increased more than ever before in the wave of financial globalization characterized by the internationalization of financial capital.
In the late 1990s, Barclays Bank, JP Morgan, Citibank and other European and American commercial banks have implemented economic capital management to varying degrees. In the 21st century, European and American commercial banks have realized economic capital on a global scale by integrating data and improving algorithms. Promotion and application of risk management have gradually become an important basis for strategic decision-making, and a set of incentive and restraint mechanisms have been established to organically combine risk management with value creation, thus effectively promoting the promotion of bank value. At present, the economic capital management of commercial banks in China is concentrated on large state-owned commercial banks such as industrial, agricultural, medium-sized and construction. These banks actively explore and gradually introduce economic capital management methods, further improving the level of bank management. But compared with the advanced practice of European and American commercial banks, I There is still a certain gap in the measurement, allocation and performance evaluation of economic capital management of commercial banks in China.
With the development of China's financial banking industry, China's policy protection will gradually weaken. At the same time, the high-speed flow and transfer of international capital in the world have also increased the banks'face. Therefore, it is of long-term significance for China's commercial banks to study and learn from the advanced management experience of international banking industry, to construct and perfect a set of economic capital management system consistent with the advanced practice of European and American commercial banks, and to improve the risk management level of China's commercial banks under the current background of financial globalization. In order to gain a firm foothold in the world financial arena and achieve great development, we must learn from the successful experience of international counterparts, through the implementation of economic capital management, realize comprehensive risk management, establish a long-term risk management mechanism, and improve the incentive and restraint mechanism, thereby enhancing its core competitiveness.
In this context, this paper defines the concept of economic capital, combs the relevant theories, reviews the evolution of economic capital management, and focuses on the analysis of the key issues of economic capital measurement, economic capital allocation and performance evaluation system of European and American commercial banks. It is of great practical and far-reaching strategic significance to set up a management system of economic capital in line with China's national conditions.
Chapter 1 is an introduction to the purpose and significance of the study, the status quo, the contents and methods of the study. The research literature not only introduces the research results of academic research institutions, but also introduces the research results and regulatory essentials of domestic and foreign regulators, such as the Basel Committee and the China Banking Regulatory Commission on economic capital. Chapter 2 mainly explains the basic knowledge of economic capital, including the definition of economic capital, the relationship between economic capital and regulatory capital and available capital, the concept and main contents of economic capital management, the process of economic capital management, and the role of economic capital management. As an important tool of modern risk management, the unification of risk management and capital management has been realized in its management process, which has a significant impact on the promotion of traditional risk management concepts; Chapter 3 mainly expounds the relevant theories of economic capital management, including VAR theory, Merton theory, Monte Carlo theory. Chapter 2 and Chapter 3 are the theoretical basis of economic capital measurement, allocation and performance evaluation. Chapter 4 introduces the evolution of economic capital management in European and American commercial banks. In conclusion, the evolution of economic capital management in European and American commercial banks is divided into four stages: germination, growth, development and transformation; Chapter 5, 6 and 7 respectively introduces the management status of economic capital measurement, economic capital allocation and economic capital performance evaluation in European and American commercial banks, and summarizes its advancement and existence in the last section of each chapter. The main problems are the core content of this paper; Chapter 8 is the focus of this paper. Based on the current background of financial globalization and the business characteristics of commercial banks in China, this paper puts forward the main problems existing in the economic capital of commercial banks in China, and puts forward some suggestions on the construction of the economic capital management system in line with the characteristics of commercial banks in China; finally, it studies the problems. The results are summarized.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831.2
本文编号：2219968
[Abstract]:Since the 1970s, with the continuous progress of financial globalization and liberalization, the global financial industry has developed transnational, financial activities operate according to the global uniform rules, homogeneous financial asset prices tend to be the same, huge amounts of international capital through the financial center in the global rapid operation, thus forming a trend of global integration. Business and financial policies permeate and expand each other, compete and restrict each other in various countries and regions of the world, forming a closely linked and unified global financial overall pattern.
Like economic globalization, financial globalization is a double-edged sword, which brings positive effects and negative effects. The positive effects are shown in the fact that financial globalization promotes the development of international trade and investment, thus bringing about the rapid growth of the global economy. Commercial banks are facing more and more risks in the context of financial globalization. Bankruptcy; Southeast Asian Financial Crisis in 1997; Global Financial Crisis in 2008 triggered by the U.S. subprime mortgage crisis. This fully demonstrates that the financial risk has increased more than ever before in the wave of financial globalization characterized by the internationalization of financial capital.
In the late 1990s, Barclays Bank, JP Morgan, Citibank and other European and American commercial banks have implemented economic capital management to varying degrees. In the 21st century, European and American commercial banks have realized economic capital on a global scale by integrating data and improving algorithms. Promotion and application of risk management have gradually become an important basis for strategic decision-making, and a set of incentive and restraint mechanisms have been established to organically combine risk management with value creation, thus effectively promoting the promotion of bank value. At present, the economic capital management of commercial banks in China is concentrated on large state-owned commercial banks such as industrial, agricultural, medium-sized and construction. These banks actively explore and gradually introduce economic capital management methods, further improving the level of bank management. But compared with the advanced practice of European and American commercial banks, I There is still a certain gap in the measurement, allocation and performance evaluation of economic capital management of commercial banks in China.
With the development of China's financial banking industry, China's policy protection will gradually weaken. At the same time, the high-speed flow and transfer of international capital in the world have also increased the banks'face. Therefore, it is of long-term significance for China's commercial banks to study and learn from the advanced management experience of international banking industry, to construct and perfect a set of economic capital management system consistent with the advanced practice of European and American commercial banks, and to improve the risk management level of China's commercial banks under the current background of financial globalization. In order to gain a firm foothold in the world financial arena and achieve great development, we must learn from the successful experience of international counterparts, through the implementation of economic capital management, realize comprehensive risk management, establish a long-term risk management mechanism, and improve the incentive and restraint mechanism, thereby enhancing its core competitiveness.
In this context, this paper defines the concept of economic capital, combs the relevant theories, reviews the evolution of economic capital management, and focuses on the analysis of the key issues of economic capital measurement, economic capital allocation and performance evaluation system of European and American commercial banks. It is of great practical and far-reaching strategic significance to set up a management system of economic capital in line with China's national conditions.
Chapter 1 is an introduction to the purpose and significance of the study, the status quo, the contents and methods of the study. The research literature not only introduces the research results of academic research institutions, but also introduces the research results and regulatory essentials of domestic and foreign regulators, such as the Basel Committee and the China Banking Regulatory Commission on economic capital. Chapter 2 mainly explains the basic knowledge of economic capital, including the definition of economic capital, the relationship between economic capital and regulatory capital and available capital, the concept and main contents of economic capital management, the process of economic capital management, and the role of economic capital management. As an important tool of modern risk management, the unification of risk management and capital management has been realized in its management process, which has a significant impact on the promotion of traditional risk management concepts; Chapter 3 mainly expounds the relevant theories of economic capital management, including VAR theory, Merton theory, Monte Carlo theory. Chapter 2 and Chapter 3 are the theoretical basis of economic capital measurement, allocation and performance evaluation. Chapter 4 introduces the evolution of economic capital management in European and American commercial banks. In conclusion, the evolution of economic capital management in European and American commercial banks is divided into four stages: germination, growth, development and transformation; Chapter 5, 6 and 7 respectively introduces the management status of economic capital measurement, economic capital allocation and economic capital performance evaluation in European and American commercial banks, and summarizes its advancement and existence in the last section of each chapter. The main problems are the core content of this paper; Chapter 8 is the focus of this paper. Based on the current background of financial globalization and the business characteristics of commercial banks in China, this paper puts forward the main problems existing in the economic capital of commercial banks in China, and puts forward some suggestions on the construction of the economic capital management system in line with the characteristics of commercial banks in China; finally, it studies the problems. The results are summarized.
【学位授予单位】：吉林大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F831.2
【引证文献】
相关期刊论文 前1条
1 赵明步;;马克思资本流通理论视角下的信息资本周转研究[J];经济研究导刊;2013年20期
本文编号：2219968
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