本文關(guān)鍵詞：經(jīng)濟(jì)資本視角下商業(yè)銀行資產(chǎn)負(fù)債比例管理研究　出處：《湖南大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：資產(chǎn)負(fù)債比例管理是商業(yè)銀行實(shí)現(xiàn)安全性、流動(dòng)性、盈利性三性平衡的重要管理工具之一。隨著金融體制改革的深化和金融市場(chǎng)化進(jìn)程的加快，傳統(tǒng)的資產(chǎn)負(fù)債比例管理已經(jīng)不能滿(mǎn)足商業(yè)銀行日新月異的管理要求。本文提出在經(jīng)濟(jì)資本視角下對(duì)資產(chǎn)負(fù)債比例管理進(jìn)行調(diào)整與改進(jìn)，以期更好地適應(yīng)當(dāng)前銀行經(jīng)營(yíng)管理的現(xiàn)實(shí)要求。 傳統(tǒng)的資產(chǎn)負(fù)債比例管理從1996年全面實(shí)行至今取得了一定的成效，但當(dāng)前商業(yè)銀行的外部環(huán)境、運(yùn)行機(jī)制、業(yè)務(wù)狀況及風(fēng)險(xiǎn)管理等方面都發(fā)生了很大的變化，作為資產(chǎn)負(fù)債比例管理核心部分的傳統(tǒng)指標(biāo)體系已不太適應(yīng)實(shí)際情況。本文從總體上分析了傳統(tǒng)指標(biāo)體系實(shí)施情況及存在的問(wèn)題，之后主要針對(duì)指標(biāo)體系中資本管理指標(biāo)、貸款集中度指標(biāo)及資本收益率三大類(lèi)指標(biāo)進(jìn)行了深入研究，闡明了三大類(lèi)指標(biāo)的不足和局限性。 經(jīng)濟(jì)資本管理近年來(lái)在商業(yè)銀行管理中的重要性日趨顯著。本文將經(jīng)濟(jì)資本理念引入資產(chǎn)負(fù)債比例管理在一定程度上彌補(bǔ)了傳統(tǒng)指標(biāo)體系存在的不足。首先，調(diào)整貸款集中度指標(biāo)的考核方式，先采用綜合評(píng)價(jià)方法將分支行劃分不同檔次，之后將指標(biāo)計(jì)算方式調(diào)整為客戶(hù)最大經(jīng)濟(jì)資本占用與分支行配置的經(jīng)濟(jì)資本總額之比，并根據(jù)各個(gè)檔次分支行的不同標(biāo)準(zhǔn)值進(jìn)行差異化管理，增強(qiáng)了指標(biāo)對(duì)分支行的適用性。第二，針對(duì)資本管理指標(biāo)體系缺乏對(duì)分支行資本運(yùn)用效率的考核指標(biāo)問(wèn)題，構(gòu)建了經(jīng)濟(jì)資本充足率即經(jīng)濟(jì)資本限額與分支行風(fēng)險(xiǎn)加權(quán)資產(chǎn)的比例，將其與單位資產(chǎn)經(jīng)濟(jì)資本進(jìn)行綜合考量，以考核分支行資本運(yùn)用效率并指導(dǎo)其業(yè)務(wù)開(kāi)展，使銀行在滿(mǎn)足資本充足的條件下實(shí)現(xiàn)最優(yōu)資本配置。第三，，將風(fēng)險(xiǎn)調(diào)整后資本回報(bào)率引入比例指標(biāo)體系，彌補(bǔ)了傳統(tǒng)資本回報(bào)率忽略風(fēng)險(xiǎn)因素的不足，實(shí)現(xiàn)了風(fēng)險(xiǎn)與收益的平衡，豐富了指標(biāo)體系。通過(guò)算例，比較分析了風(fēng)險(xiǎn)調(diào)整后資本回報(bào)率與傳統(tǒng)資本回報(bào)率，闡明了前者相對(duì)后者具備的優(yōu)勢(shì)。 然而，將融入經(jīng)濟(jì)資本理念的資產(chǎn)負(fù)債比例管理真正應(yīng)用到商業(yè)銀行管理中并發(fā)揮積極作用還需要深入研究與多方協(xié)作實(shí)踐。本文最后提出了在經(jīng)濟(jì)資本視角下完善比例管理體系、建立有效資本約束與長(zhǎng)效補(bǔ)充機(jī)制以及比例管理與經(jīng)濟(jì)資本管理統(tǒng)籌協(xié)同推進(jìn)等加強(qiáng)資產(chǎn)負(fù)債比例管理的建議。
[Abstract]:Asset-liability ratio management is one of the important management tools for commercial banks to achieve security, liquidity and profitability. With the deepening of the financial system reform and the acceleration of the financial marketization process. Traditional asset-liability ratio management can not meet the ever-changing management requirements of commercial banks. This paper proposes to adjust and improve the asset-liability ratio management from the perspective of economic capital. In order to better adapt to the current bank management requirements. Traditional asset-liability ratio management from 1996 to now has achieved certain results, but the current external environment of commercial banks, operating mechanism. Great changes have taken place in terms of business status and risk management. As the core part of asset-liability ratio management, the traditional index system is not suitable for the actual situation. This paper analyzes the implementation of the traditional index system and the existing problems. After that, the capital management index, the loan concentration index and the capital return index in the index system are studied in depth, and the shortcomings and limitations of the three categories are clarified. Economic capital management is becoming more and more important in commercial bank management in recent years. This paper introduces the concept of economic capital into asset-liability ratio management to a certain extent to make up for the shortcomings of the traditional index system. In order to adjust the assessment mode of the loan concentration index, the comprehensive evaluation method is adopted to divide the branches into different grades. After that, the index calculation method is adjusted to the ratio of the maximum economic capital occupation to the total economic capital allocated by the sub-branch, and the differential management is carried out according to the different standard values of each grade sub-branch. Strengthen the applicability of the indicators to the sub-branch. Second, the capital management index system is short of the capital utilization efficiency of the sub-branch evaluation indicators. The paper constructs the ratio of economic capital adequacy, that is, the ratio of economic capital quota to the risk-weighted assets of branch banks, and synthetically considers the ratio of economic capital to unit assets, in order to assess the efficiency of the capital utilization of branch banks and guide their business development. Make the bank realize the optimal capital allocation under the condition of sufficient capital. Thirdly, introduce the risk-adjusted capital return into the proportional index system to make up for the deficiency of ignoring the risk factors in the traditional rate of return on capital. The balance of risk and income is realized, and the index system is enriched. Through an example, the paper compares and analyzes the rate of return of capital after risk adjustment and the rate of return of traditional capital, and clarifies the advantages of the former compared with the latter. But... The application of asset-liability ratio management into the management of commercial banks with the concept of economic capital needs further study and multi-cooperation practice. Finally, this paper puts forward the perfection ratio in the perspective of economic capital. Case management system. Some suggestions on how to strengthen the ratio of assets and liabilities are put forward, such as establishing effective capital constraint and long-term supplementary mechanism, and promoting the proportion management and economic capital management as a whole.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.33;F224

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