经济资本视角下商业银行资产负债比例管理研究

发布时间：2018-01-01 05:04

本文关键词：经济资本视角下商业银行资产负债比例管理研究　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：资产负债比例管理是商业银行实现安全性、流动性、盈利性三性平衡的重要管理工具之一。随着金融体制改革的深化和金融市场化进程的加快，传统的资产负债比例管理已经不能满足商业银行日新月异的管理要求。本文提出在经济资本视角下对资产负债比例管理进行调整与改进，以期更好地适应当前银行经营管理的现实要求。传统的资产负债比例管理从1996年全面实行至今取得了一定的成效，但当前商业银行的外部环境、运行机制、业务状况及风险管理等方面都发生了很大的变化，作为资产负债比例管理核心部分的传统指标体系已不太适应实际情况。本文从总体上分析了传统指标体系实施情况及存在的问题，之后主要针对指标体系中资本管理指标、贷款集中度指标及资本收益率三大类指标进行了深入研究，阐明了三大类指标的不足和局限性。经济资本管理近年来在商业银行管理中的重要性日趋显著。本文将经济资本理念引入资产负债比例管理在一定程度上弥补了传统指标体系存在的不足。首先，调整贷款集中度指标的考核方式，先采用综合评价方法将分支行划分不同档次，之后将指标计算方式调整为客户最大经济资本占用与分支行配置的经济资本总额之比，并根据各个档次分支行的不同标准值进行差异化管理，增强了指标对分支行的适用性。第二，针对资本管理指标体系缺乏对分支行资本运用效率的考核指标问题，构建了经济资本充足率即经济资本限额与分支行风险加权资产的比例，将其与单位资产经济资本进行综合考量，以考核分支行资本运用效率并指导其业务开展，使银行在满足资本充足的条件下实现最优资本配置。第三，，将风险调整后资本回报率引入比例指标体系，弥补了传统资本回报率忽略风险因素的不足，实现了风险与收益的平衡，丰富了指标体系。通过算例，比较分析了风险调整后资本回报率与传统资本回报率，阐明了前者相对后者具备的优势。然而，将融入经济资本理念的资产负债比例管理真正应用到商业银行管理中并发挥积极作用还需要深入研究与多方协作实践。本文最后提出了在经济资本视角下完善比例管理体系、建立有效资本约束与长效补充机制以及比例管理与经济资本管理统筹协同推进等加强资产负债比例管理的建议。
[Abstract]:Asset-liability ratio management is one of the important management tools for commercial banks to achieve security, liquidity and profitability. With the deepening of the financial system reform and the acceleration of the financial marketization process. Traditional asset-liability ratio management can not meet the ever-changing management requirements of commercial banks. This paper proposes to adjust and improve the asset-liability ratio management from the perspective of economic capital. In order to better adapt to the current bank management requirements. Traditional asset-liability ratio management from 1996 to now has achieved certain results, but the current external environment of commercial banks, operating mechanism. Great changes have taken place in terms of business status and risk management. As the core part of asset-liability ratio management, the traditional index system is not suitable for the actual situation. This paper analyzes the implementation of the traditional index system and the existing problems. After that, the capital management index, the loan concentration index and the capital return index in the index system are studied in depth, and the shortcomings and limitations of the three categories are clarified. Economic capital management is becoming more and more important in commercial bank management in recent years. This paper introduces the concept of economic capital into asset-liability ratio management to a certain extent to make up for the shortcomings of the traditional index system. In order to adjust the assessment mode of the loan concentration index, the comprehensive evaluation method is adopted to divide the branches into different grades. After that, the index calculation method is adjusted to the ratio of the maximum economic capital occupation to the total economic capital allocated by the sub-branch, and the differential management is carried out according to the different standard values of each grade sub-branch. Strengthen the applicability of the indicators to the sub-branch. Second, the capital management index system is short of the capital utilization efficiency of the sub-branch evaluation indicators. The paper constructs the ratio of economic capital adequacy, that is, the ratio of economic capital quota to the risk-weighted assets of branch banks, and synthetically considers the ratio of economic capital to unit assets, in order to assess the efficiency of the capital utilization of branch banks and guide their business development. Make the bank realize the optimal capital allocation under the condition of sufficient capital. Thirdly, introduce the risk-adjusted capital return into the proportional index system to make up for the deficiency of ignoring the risk factors in the traditional rate of return on capital. The balance of risk and income is realized, and the index system is enriched. Through an example, the paper compares and analyzes the rate of return of capital after risk adjustment and the rate of return of traditional capital, and clarifies the advantages of the former compared with the latter. But... The application of asset-liability ratio management into the management of commercial banks with the concept of economic capital needs further study and multi-cooperation practice. Finally, this paper puts forward the perfection ratio in the perspective of economic capital. Case management system. Some suggestions on how to strengthen the ratio of assets and liabilities are put forward, such as establishing effective capital constraint and long-term supplementary mechanism, and promoting the proportion management and economic capital management as a whole.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F224

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