商业银行经济资本计量：理论与实践
发布时间：2018-10-05 06:48
【摘要】：随着银行业运行环境的日益复杂以及全球金融监管改革的推进,银行在关心经营业绩的同时更要关注其管理风险的能力,在保持行业竞争力的前提下进一步加强和完善风险管理成为商业银行面临的重要课题。经济资本管理体系将银行的风险与收益结合起来考虑,有助于提高商业银行的经营质量进而实现股东利益最大化的终极目标,属于银行业风险管理领域相对前沿的理论,进一步完善这一管理体系逐渐成为商业银行发展过程中必须面对的问题。在整个经济资本管理的进程中,经济资本计量是前提条件,其准确性不仅能够反映银行可能承担的实际风险,还是有效配置资本资源的保证。因此,对经济资本计量方法和模型的系统分：析以及在商业银行实践中的应用研究显得尤为重要。目前,国内理论界对经济资本计量这一问题的探讨开始不久,本文在已有文献寥寥无几和实践刚刚起步的情况下,对目前国内外学术界相关文献进行了全面、系统的综述和评价,然后以巴塞尔资本监管要求(主要指巴塞尔资本协议)以及国内的资本监管办法(《商业银行资本管理办法(试行)》)对经济资本的计量要求为依据,经济资本计量的统计学原理和方法模型为理论基础,结合国内外经济资本理论和商业银行实践,针对目前国内商业银行经济资本计量实践过程中存在的问题提出有针对性的建议。
[Abstract]:With the increasing complexity of banking operating environment and the promotion of global financial regulatory reform, banks should pay more attention to their ability to manage risks while they are concerned about their business performance. It is an important task for commercial banks to strengthen and perfect risk management on the premise of keeping the competitiveness of the industry. The economic capital management system combines the risk and income of the bank, which is helpful to improve the management quality of the commercial bank and realize the ultimate goal of maximizing the interests of the shareholders. It belongs to the relatively frontier theory in the field of banking risk management. Further improvement of this management system has gradually become a problem that commercial banks must face in the process of development. In the whole process of economic capital management, economic capital measurement is a prerequisite. Its accuracy can not only reflect the actual risks that banks may bear, but also guarantee the effective allocation of capital resources. Therefore, it is very important to divide the econometric methods and models of economic capital into two parts: analysis and application in commercial bank practice. At present, the domestic theorists have begun to discuss the problem of economic capital measurement soon, this article has carried on the comprehensive research to the domestic and foreign academic circles related literature under the condition that the existing literature is very few and the practice is just beginning. The systematic review and evaluation are based on the measurement requirements of economic capital under the Basel capital supervision requirements (mainly referred to as the Basel Capital Accord) and the domestic capital supervision measures (the Commercial Bank Capital Management measures (try out). The statistical principles and method models of economic capital measurement are taken as the theoretical basis, combined with the domestic and foreign economic capital theory and the practice of commercial banks, In the light of the problems existing in the practice of economic capital measurement in domestic commercial banks, some suggestions are put forward.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33
本文编号：2252417
[Abstract]:With the increasing complexity of banking operating environment and the promotion of global financial regulatory reform, banks should pay more attention to their ability to manage risks while they are concerned about their business performance. It is an important task for commercial banks to strengthen and perfect risk management on the premise of keeping the competitiveness of the industry. The economic capital management system combines the risk and income of the bank, which is helpful to improve the management quality of the commercial bank and realize the ultimate goal of maximizing the interests of the shareholders. It belongs to the relatively frontier theory in the field of banking risk management. Further improvement of this management system has gradually become a problem that commercial banks must face in the process of development. In the whole process of economic capital management, economic capital measurement is a prerequisite. Its accuracy can not only reflect the actual risks that banks may bear, but also guarantee the effective allocation of capital resources. Therefore, it is very important to divide the econometric methods and models of economic capital into two parts: analysis and application in commercial bank practice. At present, the domestic theorists have begun to discuss the problem of economic capital measurement soon, this article has carried on the comprehensive research to the domestic and foreign academic circles related literature under the condition that the existing literature is very few and the practice is just beginning. The systematic review and evaluation are based on the measurement requirements of economic capital under the Basel capital supervision requirements (mainly referred to as the Basel Capital Accord) and the domestic capital supervision measures (the Commercial Bank Capital Management measures (try out). The statistical principles and method models of economic capital measurement are taken as the theoretical basis, combined with the domestic and foreign economic capital theory and the practice of commercial banks, In the light of the problems existing in the practice of economic capital measurement in domestic commercial banks, some suggestions are put forward.
【学位授予单位】：兰州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33
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