本文選題：信用風(fēng)險　切入點：經(jīng)濟(jì)資本　出處：《北京工業(yè)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：經(jīng)濟(jì)資本可以有效地將風(fēng)險與收益結(jié)合在一起，從而可以更加科學(xué)和敏感地描述銀行面臨的全面風(fēng)險和獲得的真實收益。伴隨后金融危機(jī)時代及利率市場化的迫近，在監(jiān)管當(dāng)局對巴塞爾新資本協(xié)議的持續(xù)推進(jìn)下，加強(qiáng)經(jīng)濟(jì)資本管理將成為銀行日常經(jīng)營過程中平衡風(fēng)險與收益的最有力的手段。 經(jīng)濟(jì)資本管理體系主要包括經(jīng)濟(jì)資本計量、經(jīng)濟(jì)資本配置和基于經(jīng)濟(jì)資本基礎(chǔ)上的績效考核三大部分。通過風(fēng)險調(diào)整后收益率RAROC（Risk-Adjusted ReturnOn Capital）和經(jīng)濟(jì)增加值EVA(Economic Value Added)兩大評價工具的合理運用，經(jīng)濟(jì)資本管理體系將在銀行資源配置、交易定價和績效考核等方面切實發(fā)揮作用，有助于商業(yè)銀行在資本約束下不斷自我改善業(yè)務(wù)結(jié)構(gòu)，，持續(xù)提高股東回報率。 本文主要分四部分。第一章，從研究背景、意義、內(nèi)容和方法等幾方面簡單進(jìn)行介紹，鑒于信用風(fēng)險還是未來一定時期內(nèi)國內(nèi)商業(yè)銀行面臨的主要風(fēng)險，因而研究重點側(cè)重于信用風(fēng)險方面的經(jīng)濟(jì)資本配置。第二章，完成了對國內(nèi)股份制商業(yè)銀行A行的現(xiàn)行資本配置方案的研究分析，發(fā)現(xiàn)其中的問題所在。第三章和第四章是本文的重點。第三章，主要針對現(xiàn)行方案中的不足提出了配置優(yōu)化方案，即：引入非線性規(guī)劃模型，實現(xiàn)對經(jīng)濟(jì)資本下的風(fēng)險加權(quán)資產(chǎn)進(jìn)行配置。并在相同模擬情景下對兩方案進(jìn)行數(shù)學(xué)推算，以證明優(yōu)化方案較現(xiàn)行方案確實有助于提高資本配置效率。第四章，為切實提高優(yōu)化方案的配置效率，結(jié)合經(jīng)濟(jì)資本的深度應(yīng)用，繼續(xù)從計量精度、管理粒度、業(yè)務(wù)操作等多方面提出更進(jìn)一步的配套應(yīng)用策略，擬通過構(gòu)建完整的動態(tài)管理循環(huán)以持續(xù)提高經(jīng)濟(jì)資本配置效率。
[Abstract]:Economic capital can effectively combine risk with income, so that it can more scientifically and sensitively describe the overall risks faced by banks and the real benefits obtained, which are accompanied by the post-financial crisis era and the imminent marketization of interest rates. With the continuous promotion of the new Basel Capital Accord by the regulatory authorities, strengthening economic capital management will become the most effective means to balance risks and returns in the daily operation of banks. The economic capital management system mainly includes the measurement of economic capital, The allocation of economic capital and the performance appraisal based on economic capital are three parts. Through the rational use of the two evaluation tools, RAROC(Risk-Adjusted ReturnOn capital (after risk adjustment) and EVA(Economic Value added (added value of economy), the economic capital management system will be used in the allocation of bank resources. It is helpful for commercial banks to improve their business structure and improve the return rate of shareholders continuously under the constraint of capital by giving full play to the role of transaction pricing and performance appraisal. This paper is mainly divided into four parts. The first chapter introduces the background, significance, content and methods of the research. In view of the credit risk or the main risks faced by domestic commercial banks in a certain period of time, Therefore, the research focuses on the allocation of economic capital in the aspect of credit risk. Chapter two, completed the research and analysis of the current capital allocation scheme of Bank A of the domestic joint-stock commercial banks. Chapter 3 and chapter 4th are the focal points of this paper. In chapter 3, we propose a configuration optimization scheme, which is based on the nonlinear programming model, aiming at the shortcomings of the current scheme. To achieve the allocation of risk-weighted assets under economic capital, and to calculate the two schemes mathematically under the same simulation scenario, to prove that the optimization scheme is really helpful to improve the efficiency of capital allocation compared with the current scheme. Chapter 4th, In order to improve the allocation efficiency of the optimized scheme, combining with the deep application of economic capital, the further matching application strategies are put forward from the aspects of measurement precision, management granularity, business operation and so on. The purpose of this paper is to improve the efficiency of economic capital allocation by constructing a complete dynamic management cycle.
【學(xué)位授予單位】：北京工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.2

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