本文關(guān)鍵詞： 經(jīng)濟(jì)資本 經(jīng)濟(jì)利潤(rùn) 商業(yè)銀行 考核機(jī)制　出處：《南京大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：經(jīng)濟(jì)資本管理作為一種先進(jìn)的資本管理方法,近年來(lái)已成為科學(xué)評(píng)價(jià)商業(yè)銀行綜合風(fēng)險(xiǎn)抵御能力的重要評(píng)價(jià)標(biāo)準(zhǔn),也是當(dāng)前銀行業(yè)適應(yīng)國(guó)際監(jiān)管要求而產(chǎn)生的全新管理理念。經(jīng)濟(jì)資本是指在一個(gè)給定的水平下,用來(lái)吸收或緩沖所有風(fēng)險(xiǎn)帶來(lái)的非預(yù)期損失的資本。通過(guò)對(duì)經(jīng)濟(jì)資本的有效管理,首先可以有機(jī)平衡資本、風(fēng)險(xiǎn)和收益,使風(fēng)險(xiǎn)管理和收益考核更好地服從和服務(wù)于資本長(zhǎng)期價(jià)值最大化的目標(biāo)。其次可以將經(jīng)營(yíng)目標(biāo)和管理者業(yè)績(jī)考核有機(jī)統(tǒng)一,最大限度地調(diào)動(dòng)后者的積極性。再次可以促進(jìn)業(yè)務(wù)結(jié)構(gòu)的優(yōu)化,促使銀行盡量發(fā)展較低資本消耗的業(yè)務(wù)。為了在經(jīng)濟(jì)資本的數(shù)量約束之內(nèi),實(shí)現(xiàn)價(jià)值創(chuàng)造最大化,近年來(lái),商業(yè)銀行紛紛將覆蓋經(jīng)濟(jì)資本成本的經(jīng)濟(jì)利潤(rùn)考核納入綜合考核評(píng)價(jià)體系當(dāng)中。 交通銀行早在2005年就在績(jī)效考核辦法中引入了經(jīng)濟(jì)資本的理念,一是將考核撥備前利潤(rùn)改為考核撥備后利潤(rùn)。二是將經(jīng)濟(jì)利潤(rùn)和經(jīng)濟(jì)資本回報(bào)率等指標(biāo)作為對(duì)分行考核的重要內(nèi)容,加大對(duì)經(jīng)濟(jì)資本占用較低的中間業(yè)務(wù)等的考核力度,以資本約束機(jī)制的完善推動(dòng)業(yè)務(wù)結(jié)構(gòu)的優(yōu)化和增長(zhǎng)方式的轉(zhuǎn)變。 但從實(shí)踐來(lái)看,由于起步較晚,商業(yè)銀行對(duì)于經(jīng)濟(jì)資本計(jì)量方式以及經(jīng)濟(jì)利潤(rùn)考核的方式大多停留在比較粗放的階段,用貸款指標(biāo)來(lái)決定經(jīng)濟(jì)資本分配的現(xiàn)象比較突出,不能真實(shí)有效地從業(yè)務(wù)發(fā)起環(huán)節(jié)實(shí)施真正資本約束作用與激勵(lì)作用,從而影響到商業(yè)銀行的改革與轉(zhuǎn)型。 在此背景下,本文以經(jīng)濟(jì)資本的理論為起點(diǎn),從經(jīng)濟(jì)資本的計(jì)量、經(jīng)濟(jì)資本的配置和績(jī)效考核三個(gè)方面分析了交通銀行當(dāng)前的經(jīng)濟(jì)資本管理體系。結(jié)合交通銀行江蘇省分行的實(shí)際情況,對(duì)信用風(fēng)險(xiǎn)經(jīng)濟(jì)資本的三種計(jì)量模型,即內(nèi)部系數(shù)法、權(quán)重法和資產(chǎn)波動(dòng)法進(jìn)行了比較研究。分析了交行目前在經(jīng)濟(jì)資本配置和績(jī)效考核方面的現(xiàn)狀和存在的問(wèn)題,結(jié)合IRB高級(jí)法在交行的啟動(dòng)和推廣,對(duì)交行經(jīng)濟(jì)資本計(jì)量工作以及在配置和考核中應(yīng)用提出了探索建立以RAROC'為核心的貸款定價(jià)與考核機(jī)制,以及差異化的經(jīng)濟(jì)利潤(rùn)考核模式提出了相關(guān)建議。
[Abstract]:As an advanced capital management method, economic capital management has become an important evaluation standard for the comprehensive risk resistance of commercial banks in recent years. It is also a new management concept that the banking industry meets the requirements of international supervision. Economic capital refers to a given level. Capital that absorbs or buffers unexpected losses from all risks. Through effective management of economic capital, capital, risk, and income can first be organically balanced. Make the risk management and income assessment better serve and serve the goal of maximizing the long-term value of capital. Secondly, the management objectives and managers' performance assessment can be integrated organically. Third, it can promote the optimization of the business structure and promote the banks to develop the business with low capital consumption as far as possible, in order to limit the quantity of economic capital. In recent years, commercial banks have brought the economic profit assessment which covers the cost of economic capital into the comprehensive assessment system. As early as 2005, Bank of Communications introduced the concept of economic capital in the performance appraisal method. The first is to change the profit before the examination to the profit after the provision, and the other is to take the economic profit and the rate of return on economic capital as the important content of the appraisal of the branch. In order to optimize the business structure and change the growth mode, we should strengthen the assessment of the intermediate business, which has a low occupation of economic capital, and promote the optimization of the business structure and the transformation of the growth mode with the perfection of the capital constraint mechanism. But from the practical point of view, due to the late start, commercial banks for the measurement of economic capital and economic profit assessment mostly stay in a relatively extensive stage. The phenomenon of determining the distribution of economic capital by the loan index is more prominent, and the real capital constraint and incentive function can not be effectively implemented from the business initiation link, thus affecting the reform and transformation of commercial banks. Under this background, this article takes the economic capital theory as the starting point, from the economic capital measurement. This paper analyzes the current economic capital management system of the Bank of Communications in three aspects: the allocation and performance evaluation of economic capital. Combined with the actual situation of Jiangsu Branch of Bank of Communications, three econometric models of economic capital of credit risk are presented. That is, the internal coefficient method, the weight method and the asset fluctuation method are compared, and the current situation and problems in the economic capital allocation and performance evaluation of the Bank of Communications are analyzed. Combined with the initiation and popularization of IRB advanced method in the Bank of Communications, this paper puts forward the exploration and establishment of loan pricing and assessment mechanism with RAROC' as the core of the measurement of economic capital and its application in the allocation and assessment of the Bank of Communications. And the differentiated economic profit assessment model put forward the relevant suggestions.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.33;F830.42

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