中国建设银行经济资本配置分析

发布时间：2018-06-02 17:09

本文选题：经济资本 + EVA模型　；参考：《南京农业大学》2014年硕士论文

【摘要】：2008年金融危机和2010年欧洲债务危机给全球金融市场带来了巨大的冲击,我国商业银行也受到了巨大的影响,两次经济危机以后,商业银行风险管理成为一个热门话题。资本是商业银行经营和发展的基础,资本的大小决定了商业银行抵御风险的能力,各家银行越来越重视对资本的管理,传统的单一衡量盈利性的会计指标已经不能适应当今银行的管理要求了。随着EVA方法和RAROC方法的出现,在商业银行资本管理实践中,经济资本管理越来越受到各家银行的重视。以EVA为核心的经济资本管理将打破传统会计指标局限性,将盈利性和风险性结合起来,使得银行资本在考虑风险的状况下达到帕累托效应。我国商业银行虽然已引入经济资本理念近10年,但是经济资本配置在我国银行业仍然处于初级的阶段,大部分国内商业银行在实践中还是优先选取会计指标进行资金的配置。本文首先对经济资本计量、经济资本配置以及经济资本配置的绩效考核体系进行理论阐述；然后简单概括了国内商业银行经济资本现状；最后运用EVA模型,结合我国商业银行实际操作情况,以中国建设银行为例,对中国建设银行2008年到2012年主要业务经济资本配置效率进行分析。发现中国建设银行经济资本配置效率不高,而且从2008年到2012年的趋势来看,各项业务的EVA回报率总体来说没有趋于一致,反而有分散的趋势,说明中国建设银行经济资本配置效率呈下降的趋势。最后提出我国商业银行应该加快业务调整,不断完善经济资本配置体系。主要内容：第一章是导论,这一章主要阐述了研究背景、研究目的、研究意义和研究方法,介绍了本文采用的技术路线图以及文献综述。第二章是理论部分,按照实例分析的过程,将整个经济资本配置流程分为三个步骤,按照计量、配置和配置效率分析三个步骤对相关的理论和方法进行了详细的阐述,为下面的具体实例分析奠定了理论基础。第三章先从国有银行和股份制银行两个角度对我国商业银行经济资本配置现状做一个简单的概述；然后,结合国内商业银行经济资本配置现状,对国内商业银行经济资本配置进行分析；最后,通过对国内商业银行经济资本配置的分析,设计出本文实例研究方案。第四章对中国建设银行进行分析,整个过程包括经济资本计量、配置以及绩效考核三个部分。发现中国建设银行各项业务的EVA基本都大于0,但是其各业务间EVA回报率相差较大,公司银行业务的EVA回报率、个人银行业务的EVA回报率以及其他业务的EVA回报率明显低于资金业务的EVA回报率,经济资本配置的效率较低；从整个发展趋势来看,经济资本配置效率呈现下降的趋势。第五章对我国商业银行提出对策建议,通过对中国建设银行实证分析,提出我国商业银行应加快业务调整,全面深入推广经济资本理念,不断完善经济资本配置体系。
[Abstract]:The financial crisis of 2008 and the European debt crisis in 2010 have brought great impact to the global financial market, and the commercial banks of our country have also been greatly affected. After the two economic crises, the risk management of commercial banks has become a hot topic. Capital is the basis for the management and development of commercial banks. The size of capital determines the ability of commercial banks to resist risks. Banks pay more and more attention to the management of capital. The traditional accounting index to measure profitability has not been able to meet the requirements of bank management. With the appearance of EVA method and RAROC method, the economic capital management has been paid more and more attention in the practice of commercial bank capital management. The economic capital management with EVA as the core will break the limitation of the traditional accounting index, combine profitability with risk, and make the bank capital reach Pareto effect under the condition of considering the risk. Although China's commercial banks have introduced the concept of economic capital for nearly 10 years, the allocation of economic capital is still in the primary stage in China's banking sector, and most domestic commercial banks still give priority to the allocation of funds by selecting accounting indicators in practice. In this paper, the measurement of economic capital, the allocation of economic capital and the performance appraisal system of economic capital allocation are described theoretically. Then, the present situation of economic capital of domestic commercial banks is briefly summarized. Finally, the EVA model is used. Taking China Construction Bank as an example, this paper analyzes the efficiency of economic capital allocation of China Construction Bank from 2008 to 2012. It is found that the economic capital allocation efficiency of China Construction Bank is not high, and from 2008 to 2012, the EVA return rate of various businesses has not tended to be consistent, but has a trend of dispersion. It shows that the economic capital allocation efficiency of China Construction Bank is declining. Finally, commercial banks should speed up business adjustment and improve the economic capital allocation system. Main content: the first chapter is the introduction, this chapter mainly elaborated the research background, the research goal, the research significance and the research method, introduced this article to adopt the technical roadmap as well as the literature summary. The second chapter is the theoretical part, according to the process of case analysis, the whole process of economic capital allocation is divided into three steps, according to the measurement, allocation and allocation efficiency analysis of the three steps of the relevant theories and methods are described in detail. It lays a theoretical foundation for the following concrete examples. The third chapter first makes a brief overview of the present situation of economic capital allocation of commercial banks in China from the two angles of state-owned banks and joint-stock banks; then, combining with the present situation of economic capital allocation of domestic commercial banks, Finally, through the analysis of the allocation of economic capital of domestic commercial banks, the author designs a case study scheme of this paper. The fourth chapter analyzes China Construction Bank, the whole process includes three parts: economic capital measurement, allocation and performance evaluation. It is found that the EVA of every business of China Construction Bank is more than 0, but the return rate of EVA is quite different among different businesses, and the rate of return of EVA of the company's banking business is higher than that of China Construction Bank. The EVA rate of return of personal banking business and the return rate of EVA of other businesses are obviously lower than that of capital business, and the efficiency of economic capital allocation is low, and the efficiency of economic capital allocation shows a downward trend from the whole development trend. The fifth chapter puts forward the countermeasures and suggestions to the commercial banks of our country. Through the empirical analysis of the China Construction Bank, the author points out that the commercial banks of our country should speed up the business adjustment, promote the concept of economic capital in an all-round way, and constantly improve the system of economic capital allocation.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.42;F832.33

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