RAROC模型在商业银行风险管理中的应用

发布时间：2018-05-13 17:51

本文选题：风险管理 + RAROC　；参考：《辽宁师范大学》2014年硕士论文

【摘要】：当今社会,随着经济的快速发展，金融行业得到了前所未有的壮大机遇，但是与此同时其中也存在着许多隐患。金融行业的风险管理在近几年一直都是一个热门话题，风险管理的问题在银行业中体现的较为明显。由于银行业本身的性质决定了，它有着自有资本占比较低的弊端，因此银行业主要是利用客户存款，企业等其他借入资金来进行运营管理，现在个人和企业的贷款活动也日益增多，这些都属于金融风险业务。这样就使得商业银行在经营过程中承担着很大风险。虽然银行业者在不断开发新的金融产品，为客户提供新的金融服务，但是这样也不能完全规避风险。所以就需要一个较为成熟的银行风险管理技术来有效的改善这些问题。 RAROC（Risk Adjusted Return on Capital）即风险调整后资本收益率，是上个世纪70年代美国信孚银行（Banker Trust）提出来的，它最早被应用于度量银行信贷资产组合的信用风险。商业银行经过30多年对RAROC模型的开发和应用，已经形成了一套完善的风险管理体系。针对我国目前银行业发展的现状来看，这种模型能较为明确的表示出银行业各个服务链接的损失分布，而且，对于度量较为复杂的资产组合风险来说，具有更好的优势。RAROC风险管理模型还可以利用资本预算进行合理的资本配置，将绩效考核与风险成本同期反应，，并根据经济资本对贷款进行定价，最终达到风险管理与商业银行相结合的目的。本文首先分析了商业银行面临的风险，引出RAROC模型在风险管理中的优越性。以ZS银行为例，列举了RAROC风险管理技术在银行业的实际应用，指出了RAROC模型在我国商业银行风险管理中的可行性和必要性。同时也提出在我国银行业推行RAROC风险管理技术需要大量的银行内部历史数据以及较为完善的IT系统支持等问题。
[Abstract]:Nowadays, with the rapid development of economy, the financial industry has got unprecedented opportunities, but at the same time, there are many hidden dangers. Risk management in financial industry has been a hot topic in recent years, and the problem of risk management is obvious in the banking industry. Because of the nature of the banking industry itself, it has the drawback of low share of its own capital. Therefore, the banking industry mainly uses customer deposits, enterprises and other borrowed funds for operation management. Now the individual and the enterprise's loan activity also increases day by day, these all belong to the financial risk business. In this way, commercial banks are taking great risks in the course of operation. While bankers continue to develop new financial products and provide new financial services to their customers, they are not entirely risk-averse. So we need a more mature bank risk management technology to effectively improve these problems. RAROC(Risk Adjusted Return on Capital), the risk-adjusted capital return rate, was put forward by RAROC(Risk Adjusted Return on Capital) in the 1970s. It was first used to measure the credit risk of the bank's credit portfolio. After more than 30 years of development and application of RAROC model, commercial banks have formed a set of perfect risk management system. In view of the current situation of banking development in China, this model can clearly show the loss distribution of each service link in the banking industry, and for measuring the more complex portfolio risk, The RAROC risk management model can also make use of the capital budget to allocate the capital reasonably, react the performance appraisal with the risk cost in the same time, and price the loan according to the economic capital. Finally, the purpose of combining risk management with commercial banks is achieved. This paper first analyzes the risks faced by commercial banks, and leads to the superiority of RAROC model in risk management. Taking ZS Bank as an example, this paper enumerates the practical application of RAROC risk management technology in the banking industry, and points out the feasibility and necessity of RAROC model in the risk management of commercial banks in China. At the same time, it also points out that the implementation of RAROC risk management technology in Chinese banking requires a large amount of internal historical data and more perfect IT system support.
【学位授予单位】：辽宁师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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