歐美商業(yè)銀行經(jīng)濟資本管理研究
發(fā)布時間：2018-09-03 12:22
【摘要】：20世紀70年代以來，隨著金融全球化和自由化進程的不斷推進，全球金融業(yè)跨國發(fā)展，金融活動按全球統(tǒng)一規(guī)則運行，同質(zhì)的金融資產(chǎn)價格趨于等同，巨額國際資本通過金融中心在全球范圍內(nèi)迅速運轉(zhuǎn)，從而形成全球一體化的趨勢。金融業(yè)務(wù)、金融政策在世界各國、各地區(qū)相互滲透和擴張、相互競爭和制約，形成了密切聯(lián)系、統(tǒng)一的全球金融整體格局 金融全球化同經(jīng)濟全球化一樣，是一把雙刃劍，在帶來積極作用的同時也會產(chǎn)生消極的影響。積極的作用表現(xiàn)為金融全球化推動國際貿(mào)易和國際投資的發(fā)展，由此帶來全球經(jīng)濟的高速增長。消極作用主要表現(xiàn)在加深了金融虛擬化程度，滋生了過度投機和經(jīng)濟泡沫。加快金融危機在全球范圍內(nèi)的傳遞，增加了國際金融體系的脆弱性。金融全球化的背景下商業(yè)銀行面臨越來越多的風險。如1992年意大利里拉和英鎊大幅貶值；1994年墨西哥比索匯率狂跌；1995年英國巴林銀行倒閉；1997年東南亞金融危機；2008年美國次貸危機引發(fā)全球金融危機。這充分說明，在以金融資本國際化為突出特征的金融全球化浪潮中，金融風險比過去任何歷史時期都加大加重了。 上世紀90年代，美洲銀行業(yè)率先實施經(jīng)濟資本管理。90年代后期，巴克萊銀行、JP摩根和花旗銀行等歐美商業(yè)銀行都在不同程度上實施了經(jīng)濟資本管理。進入21世紀，歐美商業(yè)銀行在整合數(shù)據(jù)、改進算法的基礎(chǔ)上，實現(xiàn)了經(jīng)濟資本在全球范圍的推廣應(yīng)用，并逐步使之成為戰(zhàn)略決策的一項重要依據(jù)，建立了一套激勵約束機制，使得風險管理和價值創(chuàng)造有機地結(jié)合起來，有效地促進了銀行價值的提升。我國商業(yè)銀行逐漸接受以資本約束為核心的風險管理理念，逐步把經(jīng)濟資本管理理念的引入我國商業(yè)銀行管理中。目前，我國商業(yè)銀行經(jīng)濟資本管理集中于工、農(nóng)、中、建等大型國有商業(yè)銀行，這些銀行積極探索和逐步引入經(jīng)濟資本管理方法，進一步提升了銀行管理水平。但是與歐美商業(yè)銀行的先進實踐相比，我國商業(yè)銀行經(jīng)濟資本管理在計量、配置和績效評估方面還存在一定的差距。 我國在金融全球化浪潮中不斷走向開放，我國商業(yè)銀行能否安全穩(wěn)健運行及可持續(xù)發(fā)展，將顯得尤為重要。隨著我國金融銀行業(yè)的全面開發(fā)，我國的政策保護將逐漸減弱。同時在全球范圍內(nèi)高速流動和轉(zhuǎn)移的國際資本也加大了銀行面臨的風險。因此，我國商業(yè)銀行研究和借鑒國際銀行業(yè)的先進管理經(jīng)驗，構(gòu)建和完善一整套與歐美商業(yè)銀行先進實踐相一致的經(jīng)濟資本管理體系，提升我國商業(yè)銀行風險管理水平，在目前金融全球化的背景下具有長遠的意義。我國銀行業(yè)要在世界金融舞臺上立穩(wěn)腳跟并獲得長足發(fā)展，就必須借鑒國際同業(yè)的成功經(jīng)驗，通過實施經(jīng)濟資本管理，實現(xiàn)全面風險管理，建立長效風險管理機制，并完善激勵約束機制，進而增強其核心競爭力。 在此背景下，本論文在界定經(jīng)濟資本概念、梳理相關(guān)理論、回顧經(jīng)濟資本管理的演進歷程基礎(chǔ)上，重點分析歐美商業(yè)銀行經(jīng)濟資本計量、經(jīng)濟資本配置和績效評估體系等關(guān)鍵問題。在結(jié)合我國經(jīng)濟資本管理實踐情況的基礎(chǔ)上，旨在提出建設(shè)符合我國國情的經(jīng)濟資本管理體系的理論意義，這對我國銀行實施經(jīng)濟資本管理以增強抵御風險能力具有重要的現(xiàn)實意義和深遠的戰(zhàn)略意義。 文章共分九個部分。第1章導論部分主要介紹研究的目的和意義、研究現(xiàn)狀、研究內(nèi)容方法等，其中研究文獻不僅介紹學術(shù)研究機構(gòu)的研究成果，還將介紹國內(nèi)外監(jiān)管機構(gòu)，如巴塞爾委員會及中國銀監(jiān)會關(guān)于經(jīng)濟資本的研究成果及監(jiān)管要求；第2章主要解釋經(jīng)濟資本的基本知識，包括經(jīng)濟資本定義、經(jīng)濟資本與監(jiān)管資本及可用資本的關(guān)系、經(jīng)濟資本管理概念及其主要內(nèi)容、經(jīng)濟資本管理流程、以及經(jīng)濟資本管理作用等。通過經(jīng)濟資本產(chǎn)生背景的介紹，，闡述經(jīng)濟資本管理作為現(xiàn)代風險管理的重要工具，在其管理流程中實現(xiàn)了風險管理與資本管理的統(tǒng)一，對傳統(tǒng)風險管理理念的提升產(chǎn)生了重大的影響；第3章主要對經(jīng)濟資本管理的相關(guān)理論進行闡述，主要包括風險在值（VAR）理論、莫頓（Merton）理論、蒙特卡洛模擬理論、以及組合最優(yōu)化規(guī)劃配置理論等。第2章和第3章是經(jīng)濟資本計量、配置和績效評估的理論基礎(chǔ)；第4章介紹歐美商業(yè)銀行經(jīng)濟資本管理演進歷程。梳理歐美商業(yè)銀行經(jīng)濟資本管理演進歷程，結(jié)合巴塞爾委員會協(xié)議的發(fā)展進行總結(jié)與歸納，將歐美商業(yè)銀行經(jīng)濟資本管理演進歷程分為萌芽、成長、發(fā)展和轉(zhuǎn)型等四個階段；第5、6、7章分別介紹歐美商業(yè)銀行經(jīng)濟資本計量、經(jīng)濟資本配置，以及經(jīng)濟資本績效評估三方面的管理現(xiàn)狀，在每章最后一節(jié)總結(jié)其先進性及存在的主要問題，是本論文的核心內(nèi)容；第8章是本文重點�；谀壳敖鹑谌蚧谋尘埃Y(jié)合我國商業(yè)銀行業(yè)務(wù)特點，提出我國商業(yè)銀行經(jīng)濟資本存在的主要問題，提出建設(shè)符合我國商業(yè)銀行特點的經(jīng)濟資本管理體系的建議；最后對研究成果進行了總結(jié)。
[Abstract]:Since the 1970s, with the continuous progress of financial globalization and liberalization, the global financial industry has developed transnational, financial activities operate according to the global uniform rules, homogeneous financial asset prices tend to be the same, huge amounts of international capital through the financial center in the global rapid operation, thus forming a trend of global integration. Business and financial policies permeate and expand each other, compete and restrict each other in various countries and regions of the world, forming a closely linked and unified global financial overall pattern.
Like economic globalization, financial globalization is a double-edged sword, which brings positive effects and negative effects. The positive effects are shown in the fact that financial globalization promotes the development of international trade and investment, thus bringing about the rapid growth of the global economy. Commercial banks are facing more and more risks in the context of financial globalization. Bankruptcy; Southeast Asian Financial Crisis in 1997; Global Financial Crisis in 2008 triggered by the U.S. subprime mortgage crisis. This fully demonstrates that the financial risk has increased more than ever before in the wave of financial globalization characterized by the internationalization of financial capital.
In the late 1990s, Barclays Bank, JP Morgan, Citibank and other European and American commercial banks have implemented economic capital management to varying degrees. In the 21st century, European and American commercial banks have realized economic capital on a global scale by integrating data and improving algorithms. Promotion and application of risk management have gradually become an important basis for strategic decision-making, and a set of incentive and restraint mechanisms have been established to organically combine risk management with value creation, thus effectively promoting the promotion of bank value. At present, the economic capital management of commercial banks in China is concentrated on large state-owned commercial banks such as industrial, agricultural, medium-sized and construction. These banks actively explore and gradually introduce economic capital management methods, further improving the level of bank management. But compared with the advanced practice of European and American commercial banks, I There is still a certain gap in the measurement, allocation and performance evaluation of economic capital management of commercial banks in China.
With the development of China's financial banking industry, China's policy protection will gradually weaken. At the same time, the high-speed flow and transfer of international capital in the world have also increased the banks'face. Therefore, it is of long-term significance for China's commercial banks to study and learn from the advanced management experience of international banking industry, to construct and perfect a set of economic capital management system consistent with the advanced practice of European and American commercial banks, and to improve the risk management level of China's commercial banks under the current background of financial globalization. In order to gain a firm foothold in the world financial arena and achieve great development, we must learn from the successful experience of international counterparts, through the implementation of economic capital management, realize comprehensive risk management, establish a long-term risk management mechanism, and improve the incentive and restraint mechanism, thereby enhancing its core competitiveness.
In this context, this paper defines the concept of economic capital, combs the relevant theories, reviews the evolution of economic capital management, and focuses on the analysis of the key issues of economic capital measurement, economic capital allocation and performance evaluation system of European and American commercial banks. It is of great practical and far-reaching strategic significance to set up a management system of economic capital in line with China's national conditions.
Chapter 1 is an introduction to the purpose and significance of the study, the status quo, the contents and methods of the study. The research literature not only introduces the research results of academic research institutions, but also introduces the research results and regulatory essentials of domestic and foreign regulators, such as the Basel Committee and the China Banking Regulatory Commission on economic capital. Chapter 2 mainly explains the basic knowledge of economic capital, including the definition of economic capital, the relationship between economic capital and regulatory capital and available capital, the concept and main contents of economic capital management, the process of economic capital management, and the role of economic capital management. As an important tool of modern risk management, the unification of risk management and capital management has been realized in its management process, which has a significant impact on the promotion of traditional risk management concepts; Chapter 3 mainly expounds the relevant theories of economic capital management, including VAR theory, Merton theory, Monte Carlo theory. Chapter 2 and Chapter 3 are the theoretical basis of economic capital measurement, allocation and performance evaluation. Chapter 4 introduces the evolution of economic capital management in European and American commercial banks. In conclusion, the evolution of economic capital management in European and American commercial banks is divided into four stages: germination, growth, development and transformation; Chapter 5, 6 and 7 respectively introduces the management status of economic capital measurement, economic capital allocation and economic capital performance evaluation in European and American commercial banks, and summarizes its advancement and existence in the last section of each chapter. The main problems are the core content of this paper; Chapter 8 is the focus of this paper. Based on the current background of financial globalization and the business characteristics of commercial banks in China, this paper puts forward the main problems existing in the economic capital of commercial banks in China, and puts forward some suggestions on the construction of the economic capital management system in line with the characteristics of commercial banks in China; finally, it studies the problems. The results are summarized.
【學位授予單位】：吉林大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F831.2
本文編號：2219968
[Abstract]:Since the 1970s, with the continuous progress of financial globalization and liberalization, the global financial industry has developed transnational, financial activities operate according to the global uniform rules, homogeneous financial asset prices tend to be the same, huge amounts of international capital through the financial center in the global rapid operation, thus forming a trend of global integration. Business and financial policies permeate and expand each other, compete and restrict each other in various countries and regions of the world, forming a closely linked and unified global financial overall pattern.
Like economic globalization, financial globalization is a double-edged sword, which brings positive effects and negative effects. The positive effects are shown in the fact that financial globalization promotes the development of international trade and investment, thus bringing about the rapid growth of the global economy. Commercial banks are facing more and more risks in the context of financial globalization. Bankruptcy; Southeast Asian Financial Crisis in 1997; Global Financial Crisis in 2008 triggered by the U.S. subprime mortgage crisis. This fully demonstrates that the financial risk has increased more than ever before in the wave of financial globalization characterized by the internationalization of financial capital.
In the late 1990s, Barclays Bank, JP Morgan, Citibank and other European and American commercial banks have implemented economic capital management to varying degrees. In the 21st century, European and American commercial banks have realized economic capital on a global scale by integrating data and improving algorithms. Promotion and application of risk management have gradually become an important basis for strategic decision-making, and a set of incentive and restraint mechanisms have been established to organically combine risk management with value creation, thus effectively promoting the promotion of bank value. At present, the economic capital management of commercial banks in China is concentrated on large state-owned commercial banks such as industrial, agricultural, medium-sized and construction. These banks actively explore and gradually introduce economic capital management methods, further improving the level of bank management. But compared with the advanced practice of European and American commercial banks, I There is still a certain gap in the measurement, allocation and performance evaluation of economic capital management of commercial banks in China.
With the development of China's financial banking industry, China's policy protection will gradually weaken. At the same time, the high-speed flow and transfer of international capital in the world have also increased the banks'face. Therefore, it is of long-term significance for China's commercial banks to study and learn from the advanced management experience of international banking industry, to construct and perfect a set of economic capital management system consistent with the advanced practice of European and American commercial banks, and to improve the risk management level of China's commercial banks under the current background of financial globalization. In order to gain a firm foothold in the world financial arena and achieve great development, we must learn from the successful experience of international counterparts, through the implementation of economic capital management, realize comprehensive risk management, establish a long-term risk management mechanism, and improve the incentive and restraint mechanism, thereby enhancing its core competitiveness.
In this context, this paper defines the concept of economic capital, combs the relevant theories, reviews the evolution of economic capital management, and focuses on the analysis of the key issues of economic capital measurement, economic capital allocation and performance evaluation system of European and American commercial banks. It is of great practical and far-reaching strategic significance to set up a management system of economic capital in line with China's national conditions.
Chapter 1 is an introduction to the purpose and significance of the study, the status quo, the contents and methods of the study. The research literature not only introduces the research results of academic research institutions, but also introduces the research results and regulatory essentials of domestic and foreign regulators, such as the Basel Committee and the China Banking Regulatory Commission on economic capital. Chapter 2 mainly explains the basic knowledge of economic capital, including the definition of economic capital, the relationship between economic capital and regulatory capital and available capital, the concept and main contents of economic capital management, the process of economic capital management, and the role of economic capital management. As an important tool of modern risk management, the unification of risk management and capital management has been realized in its management process, which has a significant impact on the promotion of traditional risk management concepts; Chapter 3 mainly expounds the relevant theories of economic capital management, including VAR theory, Merton theory, Monte Carlo theory. Chapter 2 and Chapter 3 are the theoretical basis of economic capital measurement, allocation and performance evaluation. Chapter 4 introduces the evolution of economic capital management in European and American commercial banks. In conclusion, the evolution of economic capital management in European and American commercial banks is divided into four stages: germination, growth, development and transformation; Chapter 5, 6 and 7 respectively introduces the management status of economic capital measurement, economic capital allocation and economic capital performance evaluation in European and American commercial banks, and summarizes its advancement and existence in the last section of each chapter. The main problems are the core content of this paper; Chapter 8 is the focus of this paper. Based on the current background of financial globalization and the business characteristics of commercial banks in China, this paper puts forward the main problems existing in the economic capital of commercial banks in China, and puts forward some suggestions on the construction of the economic capital management system in line with the characteristics of commercial banks in China; finally, it studies the problems. The results are summarized.
【學位授予單位】：吉林大學
【學位級別】：博士
【學位授予年份】：2012
【分類號】：F831.2
【引證文獻】
相關(guān)期刊論文 前1條
1 趙明步;;馬克思資本流通理論視角下的信息資本周轉(zhuǎn)研究[J];經(jīng)濟研究導刊;2013年20期
本文編號：2219968
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