本文選題：經(jīng)濟(jì)資本 + RAROC��； 參考：《國(guó)際金融研究》2011年10期

【摘要】：巴塞爾協(xié)議Ⅲ的推出,進(jìn)一步提高了商業(yè)銀行的資本要求,對(duì)有限的資本進(jìn)行優(yōu)化配置,是商業(yè)銀行提高經(jīng)營(yíng)績(jī)效的核心。針對(duì)我國(guó)商業(yè)銀行以表內(nèi)資產(chǎn)收益為主要利潤(rùn)來(lái)源這一現(xiàn)實(shí),本文提出了優(yōu)化經(jīng)濟(jì)資本配置的一個(gè)重要手段就是加速表內(nèi)資產(chǎn)的流動(dòng),這種流動(dòng)必然涉及到表內(nèi)資產(chǎn)的轉(zhuǎn)讓和定價(jià)問(wèn)題。本文結(jié)合巴塞爾協(xié)議內(nèi)部評(píng)級(jí)法,以風(fēng)險(xiǎn)調(diào)整后的資本收益率RAROC為基礎(chǔ),建立一個(gè)關(guān)于表內(nèi)資產(chǎn)轉(zhuǎn)讓的保留價(jià)格模型,并輔之以其他定性定量指標(biāo),以此作為商業(yè)銀行表內(nèi)資產(chǎn)轉(zhuǎn)讓的定價(jià)決策參考。
[Abstract]:The introduction of Basel III further raises the capital requirements of commercial banks and optimizes the allocation of limited capital, which is the core of commercial banks to improve their operating performance.In view of the fact that China's commercial banks take the income of assets in the balance sheet as the main source of profits, this paper puts forward that an important means to optimize the allocation of economic capital is to accelerate the flow of assets in the statement.This flow inevitably involves the transfer and pricing of assets in the balance sheet.Based on the risk adjusted capital return rate (RAROC), this paper establishes a reserve price model for asset transfer on the basis of the Basel internal rating method, which is supplemented by other qualitative and quantitative indicators.This is used as a reference for the pricing decision of asset transfer in commercial bank's balance sheet.
【作者單位】： 西南財(cái)經(jīng)大學(xué)工商管理學(xué)院;西南財(cái)經(jīng)大學(xué)會(huì)計(jì)學(xué)院;中國(guó)銀行四川省分行;
【分類號(hào)】：F832.2

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本文編號(hào)：1744867