本文關(guān)鍵詞：XX銀行A省分行基于RAROC經(jīng)濟資本考核計量的分析與應(yīng)用　出處：《福州大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 經(jīng)濟資本 風險管理 績效考核 RAROC模型

【摘要】：經(jīng)濟資本是指根據(jù)銀行實際承擔的風險,使用自定方法計算的用以覆蓋非預(yù)期損失的資本。經(jīng)濟資本包括信用風險經(jīng)濟資本、市場風險經(jīng)濟資本和操作風險經(jīng)濟資本。隨著BASEL ⅡⅢ對銀行資本充足率的要求大幅提高,資本作為銀行核心資源的稀缺性進一步加劇,XX銀行總行強調(diào)必須走“算了再做,輕資本”的發(fā)展道路。2012年開始XX銀行將風險調(diào)整資本回報率RAROC、經(jīng)濟資本占用EC作為年末的主要的績效考核指標,分值權(quán)重呈現(xiàn)逐年上升的趨勢。為了貫徹XX銀行轉(zhuǎn)型發(fā)展的要求,為了xx銀行A省分行適應(yīng)績效導向的變化,筆者通過本文主要就初級內(nèi)評法下基于RAROC的經(jīng)濟資本計量的分析與應(yīng)用對如何準確測算信用風險經(jīng)濟資本,優(yōu)化RAROC和經(jīng)濟資本進行討論和說明。本文通過理論與實證相結(jié)合的方法,簡單概述了商業(yè)銀行風險管理基本理論及其主要的風險測量模型。由于當前XX銀行正處于從新資本協(xié)議內(nèi)部評級法中的初級方法向高級方法過渡的階段(外部監(jiān)管部門規(guī)定2018年XX銀行要開始執(zhí)行新資本協(xié)議內(nèi)部評級高級方法,期間內(nèi)部評級高級方法與初級方法并行),使得XX銀行目前存在年末績效考核(RAROC、經(jīng)濟資本)采用的標準是內(nèi)部評級法中的初級方法,下發(fā)給全國省級分行使用的RAROC測算工具采用的卻是內(nèi)部評級法中的高級方法的現(xiàn)狀,因此XX銀行A省分行轄內(nèi)分支機構(gòu)存在授信方案設(shè)計之初通過總行RAROC測算工具1.0版預(yù)測的RAROC值與年末XX銀行總行考核值吻合度低,其中主要原因之一即為無法準確測算RAROC、產(chǎn)品經(jīng)濟資本占用以及經(jīng)濟資本優(yōu)化率低的問題,為此筆者解析了XX銀行總行RAROC績效考核模型,在此基礎(chǔ)上開發(fā)了RAROC測算工具、核心財務(wù)考核指標測算工具和新協(xié)議信貸組合考核資本計量工具,隨后在實際經(jīng)營過程中驗證了上述工具的準確性和可行性,有效解決了貸前缺乏相應(yīng)手段測算授信方案的RAROC和經(jīng)濟資本占用,優(yōu)化了經(jīng)濟資本,同時滿足了貸后后評價的需求,落實了XX銀行總行提出的“算了再做、輕資本”的經(jīng)營理念。另外,還針對實際運用中存在的不足,提出了相應(yīng)措施,目的是為了進一步提高XX銀行A省分行的風險管理水平。
[Abstract]:Economic capital is defined according to the actual risk of bank bear, calculated using the custom method to cover unexpected losses capital. Economic capital economic capital including credit risk, market risk and operational risk economic capital economic capital. With the requirement of BASEL II III on the capital adequacy ratio of banks increased substantially, the scarcity of capital as the core resources of the bank further, XX bank stressed the need to go "well to do, light capital" development path since.2012 XX bank risk adjusted return on capital RAROC, economic capital as the main performance index of EC at the end of the year, scores of weight has increased year by year. In order to carry out the transformation of the development of XX bank requirements. In order to change the XX bank A branch to the performance oriented, based on the analysis of economic capital measurement RAROC and under this article, mainly on the primary assessment method The application of how to accurately measure the credit risk economic capital, economic capital and optimization of RAROC are discussed and illustrated. Through the combined method of theoretical and empirical studies, a brief overview of the commercial bank risk management theory and risk measurement model. Due to the current XX bank is in a transition from the primary method of IRB. To the senior stage method (external regulatory requirements of XX bank in 2018 to start the execution of the New Capital Accord IRB advanced approach, internal rating method and advanced during the primary method of parallel) makes XX existing at the end of the year, the bank performance appraisal (RAROC, economic capital) the standard is the primary method of internal rating method, the status quo of advanced methods it is the internal rating method RAROC measuring tools to the use of the provincial branch of the XX, so the A branch Xianei points A mechanism of credit scheme at the beginning by the head office RAROC measurement tool version 1 predicted RAROC values coincide with the end of the XX bank assessment value is low, which is one of the main reasons is unable to accurately measure the RAROC products, economic capital and economic capital optimization of low rate of problem, the author analyzes the performance of RAROC XX bank the assessment model is developed based on RAROC measurement tools, measurement tools and financial evaluation index of core agreement credit portfolio assessment of capital measurement tools, then in the actual operating process to verify the accuracy and feasibility of these tools, effectively solve the loan before the lack of appropriate means for calculating credit occupied RAROC and economic capital optimization. The economic capital, at the same time to meet the loan after the evaluation of the implementation of the proposed requirements, XX bank ". Then, the capital of light" business philosophy also, In order to further improve the risk management level of the A provincial branch of XX bank, the corresponding measures are put forward in view of the shortcomings in the practical application.

【學位授予單位】：福州大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33
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本文編號：1358752