本文關(guān)鍵詞：基于逆周期調(diào)整的商業(yè)銀行經(jīng)濟(jì)資本管理方法研究　出處：《湖南大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 商業(yè)銀行 經(jīng)濟(jì)資本 違約概率 順周期性 逆周期調(diào)整

【摘要】：2008年爆發(fā)的國(guó)際金融危機(jī)暴露了《巴塞爾協(xié)議II》的順周期性。作為對(duì)《巴塞爾協(xié)議II》的修改和補(bǔ)充，巴塞爾委員會(huì)于2010年出臺(tái)了《巴塞爾協(xié)議III》，提出了逆周期緩沖資本的概念，將逆周期調(diào)整加入資本監(jiān)管框架。近年來(lái)，在《巴塞爾協(xié)議II》和《巴塞爾協(xié)議III》的推動(dòng)下，商業(yè)銀行的風(fēng)險(xiǎn)管理逐步向以風(fēng)險(xiǎn)計(jì)量和資本優(yōu)化配置為核心的全面風(fēng)險(xiǎn)管理轉(zhuǎn)變，經(jīng)濟(jì)資本管理逐漸成為商業(yè)銀行管理技術(shù)的核心。如何緩解金融體系的順周期性是當(dāng)前銀行風(fēng)險(xiǎn)管理的重要任務(wù)。因此，研究基于逆周期調(diào)整的商業(yè)銀行經(jīng)濟(jì)資本管理方法具有非常重要的現(xiàn)實(shí)意義。在《巴塞爾協(xié)議II》和《巴塞爾協(xié)議III》框架內(nèi)，本文從銀行業(yè)發(fā)展的角度，探討商業(yè)銀行實(shí)施逆周期調(diào)整的經(jīng)濟(jì)資本管理方法。 本文通過(guò)論述《巴塞爾協(xié)議III》關(guān)于銀行業(yè)監(jiān)管的重大變化及其對(duì)商業(yè)銀行資本管理的影響，闡明商業(yè)銀行實(shí)施經(jīng)濟(jì)資本逆周期調(diào)整的必要性，，為研究基于逆周期調(diào)整的商業(yè)銀行經(jīng)濟(jì)資本管理方法提供了依據(jù)和理論基點(diǎn)。 本文通過(guò)實(shí)證方法論證經(jīng)濟(jì)資本的順周期性。違約概率是經(jīng)濟(jì)資本計(jì)量的關(guān)鍵參數(shù)，以違約概率與經(jīng)濟(jì)資本相關(guān)性的實(shí)證研究為前提，通過(guò)進(jìn)一步論證違約概率的順周期性，證明經(jīng)濟(jì)資本順周期性的存在。本文選取單因素模型和CreditRisk+模型進(jìn)行實(shí)證，實(shí)證結(jié)果表明，采用兩種模型方法計(jì)量的經(jīng)濟(jì)資本都存在明顯的順周期效應(yīng)，且順周期效應(yīng)的顯著程度相似；在其他參數(shù)不變的條件下，違約概率的順周期性導(dǎo)致經(jīng)濟(jì)資本存在著明顯的順周期性。 本文提出了基于逆周期調(diào)整的經(jīng)濟(jì)資本管理的總體框架。在給定的總體框架下，本文分別研究基于逆周期調(diào)整的商業(yè)銀行經(jīng)濟(jì)資本計(jì)量方法、經(jīng)濟(jì)資本配置方法和經(jīng)濟(jì)資本績(jī)效考核方法。 經(jīng)濟(jì)資本計(jì)量是商業(yè)銀行開(kāi)展經(jīng)濟(jì)資本管理的前提和基礎(chǔ)。針對(duì)經(jīng)濟(jì)資本的順周期性，提出對(duì)違約概率進(jìn)行經(jīng)濟(jì)周期性調(diào)整和資本緩沖調(diào)整的方法，平滑違約概率的波動(dòng)，進(jìn)而實(shí)現(xiàn)經(jīng)濟(jì)資本逆周期調(diào)整的目的；將借款人分為公司類客戶、已有評(píng)級(jí)的零售類客戶和尚未評(píng)級(jí)的零售類客戶，在逆周期調(diào)整框架下，分別給出銀行估計(jì)違約概率均值和標(biāo)準(zhǔn)差的方法；針對(duì)違約損失率，給出了不同擔(dān)保品條件下違約損失率的測(cè)算路徑；針對(duì)國(guó)外CreditRisk+模型頻帶劃分上的缺陷，給出新的頻帶劃分方法，并在計(jì)算頻帶參數(shù)時(shí)，使用跨周期調(diào)整方法，平滑了參數(shù)的波動(dòng)性；針對(duì)國(guó)外CreditRisk+模型在計(jì)算違約損失分布上的缺陷，提出在貸款筆數(shù)較少時(shí)使用Panjer算法、加權(quán)平均頻帶劃分方法計(jì)量貸款組合的違約損失分布，在貸款筆數(shù)較多時(shí)使用鞍點(diǎn)逼近法計(jì)量貸款組合的違約損失分布；針對(duì)VaR缺乏次可加性的缺陷，提出將VaR和GES方法結(jié)合測(cè)算貸款組合占用的經(jīng)濟(jì)資本。實(shí)證研究結(jié)果表明，逆周期調(diào)整后的經(jīng)濟(jì)資本與GDP增長(zhǎng)率之間的相關(guān)系數(shù)為-0.29，遠(yuǎn)低于調(diào)整前的經(jīng)濟(jì)資本與GDP增長(zhǎng)率之間的相關(guān)系數(shù)-0.97，經(jīng)濟(jì)資本順周期性的緩釋效果明顯。 經(jīng)濟(jì)資本配置是經(jīng)濟(jì)資本管理的核心內(nèi)容。在逆周期調(diào)整框架下，通過(guò)合理的經(jīng)濟(jì)資本配置，商業(yè)銀行可實(shí)現(xiàn)持久的穩(wěn)定經(jīng)營(yíng)，防范系統(tǒng)性風(fēng)險(xiǎn)，爭(zhēng)取資本的價(jià)值最大化。本文從總分行管理層級(jí)和業(yè)務(wù)條線兩個(gè)方面分別探討基于逆周期調(diào)整的經(jīng)濟(jì)資本配置方法。在對(duì)EVA、RAROC、經(jīng)濟(jì)資本貢獻(xiàn)逆周期調(diào)整的基礎(chǔ)上，以銀行EVA最大化為目標(biāo)函數(shù)，以修正的RAROC、監(jiān)管要求約束、銀行發(fā)展戰(zhàn)略、風(fēng)險(xiǎn)集中度、經(jīng)濟(jì)資本貢獻(xiàn)等約束條件，構(gòu)建基于逆周期調(diào)整的HTB-ECA模型和BTL-NLECA模型。算例分析結(jié)果表明，逆周期調(diào)整前后，經(jīng)濟(jì)資本配置的結(jié)果差異很大，在逆周期調(diào)整前表現(xiàn)相對(duì)優(yōu)異的分行，在逆周期調(diào)整后可能面臨經(jīng)濟(jì)資本額度縮減的困境；基于逆周期調(diào)整的經(jīng)濟(jì)資本配置可以更好地反映銀行面臨的風(fēng)險(xiǎn)狀況和大小，有利于做出正確的信貸決策。 經(jīng)濟(jì)資本績(jī)效考核管理是經(jīng)濟(jì)資本管理的主要內(nèi)容之一。本文提出了基于逆周期調(diào)整的經(jīng)濟(jì)資本績(jī)效考核的新理念，并分別探討了員工和分支機(jī)構(gòu)的經(jīng)濟(jì)資本績(jī)效考核方法，提出了基于逆周期調(diào)整的BLP-ECPA模型和P-ECPA模型。在EVA、RAROC、經(jīng)濟(jì)資本貢獻(xiàn)度等指標(biāo)逆周期調(diào)整的基礎(chǔ)上，BLP-ECPA模型以EVA為考核目標(biāo)，以RAROC、經(jīng)濟(jì)資本貢獻(xiàn)度、任務(wù)完成度、不良率等為計(jì)算指標(biāo)，從貸款業(yè)務(wù)績(jī)效、存款業(yè)務(wù)績(jī)效、綜合貢獻(xiàn)度績(jī)效和戶數(shù)績(jī)效等四個(gè)方面實(shí)現(xiàn)對(duì)銀行內(nèi)條線員工的績(jī)效考核；P-ECPA模型將不良容忍率和逆周期調(diào)整后的經(jīng)濟(jì)資本量作為前提條件，以EVA為考核目標(biāo)，以RAROC、經(jīng)濟(jì)資本貢獻(xiàn)度、任務(wù)完成度等為計(jì)算指標(biāo)，從貸款業(yè)務(wù)績(jī)效、存款業(yè)務(wù)績(jī)效、綜合貢獻(xiàn)度績(jī)效等方面實(shí)現(xiàn)對(duì)分支機(jī)構(gòu)的績(jī)效考核。 本文對(duì)商業(yè)銀行逆周期調(diào)整框架下強(qiáng)化經(jīng)濟(jì)資本管理提出了對(duì)策建議。在逆周期調(diào)整的框架下，商業(yè)銀行需要建立配套的經(jīng)濟(jì)資本計(jì)量體系、配置體系和績(jī)效考核體系，需要建立經(jīng)濟(jì)資本管理的戰(zhàn)略支撐體系以及推行新的資本戰(zhàn)略。
[Abstract]:In 2008 the outbreak of the international financial crisis has exposed the "Pro cyclical Basel II>. As a modification and supplement of the" Basel protocol of II>, the Basel Committee issued a "Basel III> in 2010, put forward the concept of counter cyclical capital buffers, the counter cyclical adjustment with capital regulatory framework. In recent years, in the promotion of Basel" II> protocol and III> Protocol "Basel, risk management of commercial banks has gradually transformed into a comprehensive risk management to risk measurement and capital allocation is the core of economic capital management has gradually become the core management techniques of commercial banks. How to alleviate the pro cyclicality of the financial system is an important task for the bank risk management. Therefore, has very important practical significance to research method of economic capital management of commercial bank counter cyclical adjustment. Based on II> protocol and < < Basel Basel III> framework agreement From the perspective of the development of the banking industry, this paper discusses the economic capital management methods of the counter cyclical adjustment of commercial banks.
This paper discusses the "Basel protocol III> major changes on banking supervision and its impact on commercial bank capital management, expounding the necessity of the implementation of economic capital of commercial banks counter cyclical adjustment, as the research method of economic capital management of commercial banks based on counter cyclical adjustment provides the basis and theoretical basis.
This paper through empirical method to demonstrate the procyclicality of economic capital. The probability of default is a key parameter for the measurement of economic capital, empirical research on the probability of default and the correlation of economic capital as the premise, through the demonstration of default probability of procylicality, prove that the periodic CIS economic capital. This paper selects the single factor model and the CreditRisk+ model for empirical the empirical results show that, by measuring two methods of economic capital are procyclical effect is obvious, and the significant degree of procyclicality is similar; under the same parameters, procyclicality of probability of default lead to economic capital exist obviouspro cyclical.
In this paper, a general framework of economic capital management based on counter cyclical adjustment is put forward. Under a given overall framework, this paper studies the economic capital measurement method based on reverse cyclical adjustment, economic capital allocation method and economic capital performance appraisal method respectively.
The measurement of economic capital is the premise and foundation of economic capital management of commercial banks. According to economic capital procyclicality, proposes the method of economic cyclical adjustment and adjustment of capital buffers on the probability of default, the default probability of smooth fluctuations, and to realize the economic capital counter cyclical adjustment to the borrower; will be divided into corporate customers. The rating of the retail customers and Unrated retail customers in the counter cyclical adjustment framework, were given the bank estimation method of mean and standard deviation of the probability of default; the default loss rate, measuring path is given with the collateral under the default loss rate; for the CreditRisk+ model on the defect frequency division. Given the new band classification, and in the calculation of band parameters, using the adjustment method of cross period, the volatility smoothing parameter for foreign CreditRisk + model; In the calculation of default loss distribution of defects, put forward using Panjer algorithm in a small number of loans, the weighted average frequency division method of measurement of loan portfolio default loss distribution, using the saddle point in the loan number more approximation method of loan portfolio default loss distribution measurement; for VaR times with the lack of defects, put forward VaR and GES combined with the method of calculating the loan portfolio occupied economic capital. The empirical results show that the inverse correlation coefficient between economic capital and GDP growth period after the adjustment rate is -0.29, the correlation coefficient is far lower than the economic capital and GDP before the adjustment between the growth rate of -0.97, the economic capital Shun periodic obvious sustained release effect.
Economic capital allocation is the core content of economic capital management. In the counter cyclical adjustment framework, through the rational allocation of economic capital, commercial banks can achieve stable operation lasting, guard against systemic risk, strive to maximize the value of capital. The total branch management level and business line two aspects of economic capital allocation based on the method of counter cyclical adjustment. In EVA, RAROC, foundation of economic capital contribution counter cyclical adjustment, bank EVA maximization as the objective function based on the modified RAROC, regulatory requirements constraints, bank development strategy, risk concentration, economic capital contribution as constraints. The construction of HTB-ECA model and BTL-NLECA model of inverse cycle based on the adjustment. The results show that before and after the counter cyclical adjustment, the economic capital allocation of great differences in the results, performance for relatively excellent in counter cyclical adjustment before in counter cyclical adjustment After that, we may face the dilemma of reducing the economic capital size. The allocation of economic capital based on the counter cyclical adjustment can better reflect the risk situation and size of banks, and help to make the right credit decisions.
The economic capital management of performance appraisal is one of the main content of economic capital management. This paper puts forward a new concept of economic capital performance evaluation based on counter cyclical adjustments, and study the method of assessing economic capital performance of employees and branches, put forward the counter cyclical adjustment of BLP-ECPA model and P-ECPA model. Based on EVA, RAROC. Based on economic capital contribution index counter cyclical adjustment on the BLP-ECPA model with EVA as the evaluation target, RAROC, economic capital contribution, the task is completed, the adverse rate for the calculation of indicators from the loan deposit business performance, business performance, the four aspects of comprehensive contribution performance and performance of banks within households line employee performance evaluation; P-ECPA model will tolerate adverse rate and reverse the amount of economic capital cycle adjusted as a precondition, using EVA as the evaluation target, to RAROC, the economic capital contribution, The task completion degree is the calculation index, which realizes the performance appraisal of the branch from the loan business performance, the deposit business performance, the comprehensive contribution performance and so on.
The commercial bank counter cyclical adjustment under the framework of strengthening the economic capital management and puts forward some countermeasures and suggestions. In the framework of counter cyclical adjustment, the measurement system of economic capital of commercial banks need to set up and configure system and performance appraisal system, strategic support system needs to establish the economic capital management and the implementation of the new capital strategy.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F831.1

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