XX银行A省分行基于RAROC经济资本考核计量的分析与应用

发布时间：2017-12-31 07:23

  本文关键词：XX银行A省分行基于RAROC经济资本考核计量的分析与应用　出处：《福州大学》2014年硕士论文　论文类型：学位论文

  更多相关文章： 经济资本 风险管理 绩效考核 RAROC模型

【摘要】：经济资本是指根据银行实际承担的风险,使用自定方法计算的用以覆盖非预期损失的资本。经济资本包括信用风险经济资本、市场风险经济资本和操作风险经济资本。随着BASEL ⅡⅢ对银行资本充足率的要求大幅提高,资本作为银行核心资源的稀缺性进一步加剧,XX银行总行强调必须走“算了再做,轻资本”的发展道路。2012年开始XX银行将风险调整资本回报率RAROC、经济资本占用EC作为年末的主要的绩效考核指标,分值权重呈现逐年上升的趋势。为了贯彻XX银行转型发展的要求,为了xx银行A省分行适应绩效导向的变化,笔者通过本文主要就初级内评法下基于RAROC的经济资本计量的分析与应用对如何准确测算信用风险经济资本,优化RAROC和经济资本进行讨论和说明。本文通过理论与实证相结合的方法,简单概述了商业银行风险管理基本理论及其主要的风险测量模型。由于当前XX银行正处于从新资本协议内部评级法中的初级方法向高级方法过渡的阶段(外部监管部门规定2018年XX银行要开始执行新资本协议内部评级高级方法,期间内部评级高级方法与初级方法并行),使得XX银行目前存在年末绩效考核(RAROC、经济资本)采用的标准是内部评级法中的初级方法,下发给全国省级分行使用的RAROC测算工具采用的却是内部评级法中的高级方法的现状,因此XX银行A省分行辖内分支机构存在授信方案设计之初通过总行RAROC测算工具1.0版预测的RAROC值与年末XX银行总行考核值吻合度低,其中主要原因之一即为无法准确测算RAROC、产品经济资本占用以及经济资本优化率低的问题,为此笔者解析了XX银行总行RAROC绩效考核模型,在此基础上开发了RAROC测算工具、核心财务考核指标测算工具和新协议信贷组合考核资本计量工具,随后在实际经营过程中验证了上述工具的准确性和可行性,有效解决了贷前缺乏相应手段测算授信方案的RAROC和经济资本占用,优化了经济资本,同时满足了贷后后评价的需求,落实了XX银行总行提出的“算了再做、轻资本”的经营理念。另外,还针对实际运用中存在的不足,提出了相应措施,目的是为了进一步提高XX银行A省分行的风险管理水平。
[Abstract]:Economic capital is defined according to the actual risk of bank bear, calculated using the custom method to cover unexpected losses capital. Economic capital economic capital including credit risk, market risk and operational risk economic capital economic capital. With the requirement of BASEL II III on the capital adequacy ratio of banks increased substantially, the scarcity of capital as the core resources of the bank further, XX bank stressed the need to go "well to do, light capital" development path since.2012 XX bank risk adjusted return on capital RAROC, economic capital as the main performance index of EC at the end of the year, scores of weight has increased year by year. In order to carry out the transformation of the development of XX bank requirements. In order to change the XX bank A branch to the performance oriented, based on the analysis of economic capital measurement RAROC and under this article, mainly on the primary assessment method The application of how to accurately measure the credit risk economic capital, economic capital and optimization of RAROC are discussed and illustrated. Through the combined method of theoretical and empirical studies, a brief overview of the commercial bank risk management theory and risk measurement model. Due to the current XX bank is in a transition from the primary method of IRB. To the senior stage method (external regulatory requirements of XX bank in 2018 to start the execution of the New Capital Accord IRB advanced approach, internal rating method and advanced during the primary method of parallel) makes XX existing at the end of the year, the bank performance appraisal (RAROC, economic capital) the standard is the primary method of internal rating method, the status quo of advanced methods it is the internal rating method RAROC measuring tools to the use of the provincial branch of the XX, so the A branch Xianei points A mechanism of credit scheme at the beginning by the head office RAROC measurement tool version 1 predicted RAROC values coincide with the end of the XX bank assessment value is low, which is one of the main reasons is unable to accurately measure the RAROC products, economic capital and economic capital optimization of low rate of problem, the author analyzes the performance of RAROC XX bank the assessment model is developed based on RAROC measurement tools, measurement tools and financial evaluation index of core agreement credit portfolio assessment of capital measurement tools, then in the actual operating process to verify the accuracy and feasibility of these tools, effectively solve the loan before the lack of appropriate means for calculating credit occupied RAROC and economic capital optimization. The economic capital, at the same time to meet the loan after the evaluation of the implementation of the proposed requirements, XX bank ". Then, the capital of light" business philosophy also, In order to further improve the risk management level of the A provincial branch of XX bank, the corresponding measures are put forward in view of the shortcomings in the practical application.

【学位授予单位】：福州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33
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本文编号：1358752