本文選題：風險管理 + RAROC��； 參考：《遼寧師范大學》2014年碩士論文

【摘要】：當今社會,隨著經(jīng)濟的快速發(fā)展，金融行業(yè)得到了前所未有的壯大機遇，但是與此同時其中也存在著許多隱患。金融行業(yè)的風險管理在近幾年一直都是一個熱門話題，風險管理的問題在銀行業(yè)中體現(xiàn)的較為明顯。由于銀行業(yè)本身的性質(zhì)決定了，它有著自有資本占比較低的弊端，因此銀行業(yè)主要是利用客戶存款，企業(yè)等其他借入資金來進行運營管理，現(xiàn)在個人和企業(yè)的貸款活動也日益增多，這些都屬于金融風險業(yè)務(wù)。這樣就使得商業(yè)銀行在經(jīng)營過程中承擔著很大風險。雖然銀行業(yè)者在不斷開發(fā)新的金融產(chǎn)品，為客戶提供新的金融服務(wù)，但是這樣也不能完全規(guī)避風險。所以就需要一個較為成熟的銀行風險管理技術(shù)來有效的改善這些問題。 RAROC（Risk Adjusted Return on Capital）即風險調(diào)整后資本收益率，是上個世紀70年代美國信孚銀行（Banker Trust）提出來的，它最早被應(yīng)用于度量銀行信貸資產(chǎn)組合的信用風險。商業(yè)銀行經(jīng)過30多年對RAROC模型的開發(fā)和應(yīng)用，已經(jīng)形成了一套完善的風險管理體系。針對我國目前銀行業(yè)發(fā)展的現(xiàn)狀來看，這種模型能較為明確的表示出銀行業(yè)各個服務(wù)鏈接的損失分布，而且，對于度量較為復(fù)雜的資產(chǎn)組合風險來說，具有更好的優(yōu)勢。RAROC風險管理模型還可以利用資本預(yù)算進行合理的資本配置，將績效考核與風險成本同期反應(yīng)，，并根據(jù)經(jīng)濟資本對貸款進行定價，最終達到風險管理與商業(yè)銀行相結(jié)合的目的。 本文首先分析了商業(yè)銀行面臨的風險，引出RAROC模型在風險管理中的優(yōu)越性。以ZS銀行為例，列舉了RAROC風險管理技術(shù)在銀行業(yè)的實際應(yīng)用，指出了RAROC模型在我國商業(yè)銀行風險管理中的可行性和必要性。同時也提出在我國銀行業(yè)推行RAROC風險管理技術(shù)需要大量的銀行內(nèi)部歷史數(shù)據(jù)以及較為完善的IT系統(tǒng)支持等問題。
[Abstract]:Nowadays, with the rapid development of economy, the financial industry has got unprecedented opportunities, but at the same time, there are many hidden dangers. Risk management in financial industry has been a hot topic in recent years, and the problem of risk management is obvious in the banking industry. Because of the nature of the banking industry itself, it has the drawback of low share of its own capital. Therefore, the banking industry mainly uses customer deposits, enterprises and other borrowed funds for operation management. Now the individual and the enterprise's loan activity also increases day by day, these all belong to the financial risk business. In this way, commercial banks are taking great risks in the course of operation. While bankers continue to develop new financial products and provide new financial services to their customers, they are not entirely risk-averse. So we need a more mature bank risk management technology to effectively improve these problems. RAROC(Risk Adjusted Return on Capital), the risk-adjusted capital return rate, was put forward by RAROC(Risk Adjusted Return on Capital) in the 1970s. It was first used to measure the credit risk of the bank's credit portfolio. After more than 30 years of development and application of RAROC model, commercial banks have formed a set of perfect risk management system. In view of the current situation of banking development in China, this model can clearly show the loss distribution of each service link in the banking industry, and for measuring the more complex portfolio risk, The RAROC risk management model can also make use of the capital budget to allocate the capital reasonably, react the performance appraisal with the risk cost in the same time, and price the loan according to the economic capital. Finally, the purpose of combining risk management with commercial banks is achieved. This paper first analyzes the risks faced by commercial banks, and leads to the superiority of RAROC model in risk management. Taking ZS Bank as an example, this paper enumerates the practical application of RAROC risk management technology in the banking industry, and points out the feasibility and necessity of RAROC model in the risk management of commercial banks in China. At the same time, it also points out that the implementation of RAROC risk management technology in Chinese banking requires a large amount of internal historical data and more perfect IT system support.
【學位授予單位】：遼寧師范大學
【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：1884192