本文選題：經(jīng)濟(jì)資本 + EVA模型　； 參考：《南京農(nóng)業(yè)大學(xué)》2014年碩士論文

【摘要】：2008年金融危機(jī)和2010年歐洲債務(wù)危機(jī)給全球金融市場(chǎng)帶來(lái)了巨大的沖擊,我國(guó)商業(yè)銀行也受到了巨大的影響,兩次經(jīng)濟(jì)危機(jī)以后,商業(yè)銀行風(fēng)險(xiǎn)管理成為一個(gè)熱門(mén)話題。資本是商業(yè)銀行經(jīng)營(yíng)和發(fā)展的基礎(chǔ),資本的大小決定了商業(yè)銀行抵御風(fēng)險(xiǎn)的能力,各家銀行越來(lái)越重視對(duì)資本的管理,傳統(tǒng)的單一衡量盈利性的會(huì)計(jì)指標(biāo)已經(jīng)不能適應(yīng)當(dāng)今銀行的管理要求了。隨著EVA方法和RAROC方法的出現(xiàn),在商業(yè)銀行資本管理實(shí)踐中,經(jīng)濟(jì)資本管理越來(lái)越受到各家銀行的重視。以EVA為核心的經(jīng)濟(jì)資本管理將打破傳統(tǒng)會(huì)計(jì)指標(biāo)局限性,將盈利性和風(fēng)險(xiǎn)性結(jié)合起來(lái),使得銀行資本在考慮風(fēng)險(xiǎn)的狀況下達(dá)到帕累托效應(yīng)。我國(guó)商業(yè)銀行雖然已引入經(jīng)濟(jì)資本理念近10年,但是經(jīng)濟(jì)資本配置在我國(guó)銀行業(yè)仍然處于初級(jí)的階段,大部分國(guó)內(nèi)商業(yè)銀行在實(shí)踐中還是優(yōu)先選取會(huì)計(jì)指標(biāo)進(jìn)行資金的配置。本文首先對(duì)經(jīng)濟(jì)資本計(jì)量、經(jīng)濟(jì)資本配置以及經(jīng)濟(jì)資本配置的績(jī)效考核體系進(jìn)行理論闡述；然后簡(jiǎn)單概括了國(guó)內(nèi)商業(yè)銀行經(jīng)濟(jì)資本現(xiàn)狀；最后運(yùn)用EVA模型,結(jié)合我國(guó)商業(yè)銀行實(shí)際操作情況,以中國(guó)建設(shè)銀行為例,對(duì)中國(guó)建設(shè)銀行2008年到2012年主要業(yè)務(wù)經(jīng)濟(jì)資本配置效率進(jìn)行分析。發(fā)現(xiàn)中國(guó)建設(shè)銀行經(jīng)濟(jì)資本配置效率不高,而且從2008年到2012年的趨勢(shì)來(lái)看,各項(xiàng)業(yè)務(wù)的EVA回報(bào)率總體來(lái)說(shuō)沒(méi)有趨于一致,反而有分散的趨勢(shì),說(shuō)明中國(guó)建設(shè)銀行經(jīng)濟(jì)資本配置效率呈下降的趨勢(shì)。最后提出我國(guó)商業(yè)銀行應(yīng)該加快業(yè)務(wù)調(diào)整,不斷完善經(jīng)濟(jì)資本配置體系。主要內(nèi)容：第一章是導(dǎo)論,這一章主要闡述了研究背景、研究目的、研究意義和研究方法,介紹了本文采用的技術(shù)路線圖以及文獻(xiàn)綜述。第二章是理論部分,按照實(shí)例分析的過(guò)程,將整個(gè)經(jīng)濟(jì)資本配置流程分為三個(gè)步驟,按照計(jì)量、配置和配置效率分析三個(gè)步驟對(duì)相關(guān)的理論和方法進(jìn)行了詳細(xì)的闡述,為下面的具體實(shí)例分析奠定了理論基礎(chǔ)。第三章先從國(guó)有銀行和股份制銀行兩個(gè)角度對(duì)我國(guó)商業(yè)銀行經(jīng)濟(jì)資本配置現(xiàn)狀做一個(gè)簡(jiǎn)單的概述；然后,結(jié)合國(guó)內(nèi)商業(yè)銀行經(jīng)濟(jì)資本配置現(xiàn)狀,對(duì)國(guó)內(nèi)商業(yè)銀行經(jīng)濟(jì)資本配置進(jìn)行分析；最后,通過(guò)對(duì)國(guó)內(nèi)商業(yè)銀行經(jīng)濟(jì)資本配置的分析,設(shè)計(jì)出本文實(shí)例研究方案。第四章對(duì)中國(guó)建設(shè)銀行進(jìn)行分析,整個(gè)過(guò)程包括經(jīng)濟(jì)資本計(jì)量、配置以及績(jī)效考核三個(gè)部分。發(fā)現(xiàn)中國(guó)建設(shè)銀行各項(xiàng)業(yè)務(wù)的EVA基本都大于0,但是其各業(yè)務(wù)間EVA回報(bào)率相差較大,公司銀行業(yè)務(wù)的EVA回報(bào)率、個(gè)人銀行業(yè)務(wù)的EVA回報(bào)率以及其他業(yè)務(wù)的EVA回報(bào)率明顯低于資金業(yè)務(wù)的EVA回報(bào)率,經(jīng)濟(jì)資本配置的效率較低；從整個(gè)發(fā)展趨勢(shì)來(lái)看,經(jīng)濟(jì)資本配置效率呈現(xiàn)下降的趨勢(shì)。第五章對(duì)我國(guó)商業(yè)銀行提出對(duì)策建議,通過(guò)對(duì)中國(guó)建設(shè)銀行實(shí)證分析,提出我國(guó)商業(yè)銀行應(yīng)加快業(yè)務(wù)調(diào)整,全面深入推廣經(jīng)濟(jì)資本理念,不斷完善經(jīng)濟(jì)資本配置體系。
[Abstract]:The financial crisis of 2008 and the European debt crisis in 2010 have brought great impact to the global financial market, and the commercial banks of our country have also been greatly affected. After the two economic crises, the risk management of commercial banks has become a hot topic. Capital is the basis for the management and development of commercial banks. The size of capital determines the ability of commercial banks to resist risks. Banks pay more and more attention to the management of capital. The traditional accounting index to measure profitability has not been able to meet the requirements of bank management. With the appearance of EVA method and RAROC method, the economic capital management has been paid more and more attention in the practice of commercial bank capital management. The economic capital management with EVA as the core will break the limitation of the traditional accounting index, combine profitability with risk, and make the bank capital reach Pareto effect under the condition of considering the risk. Although China's commercial banks have introduced the concept of economic capital for nearly 10 years, the allocation of economic capital is still in the primary stage in China's banking sector, and most domestic commercial banks still give priority to the allocation of funds by selecting accounting indicators in practice. In this paper, the measurement of economic capital, the allocation of economic capital and the performance appraisal system of economic capital allocation are described theoretically. Then, the present situation of economic capital of domestic commercial banks is briefly summarized. Finally, the EVA model is used. Taking China Construction Bank as an example, this paper analyzes the efficiency of economic capital allocation of China Construction Bank from 2008 to 2012. It is found that the economic capital allocation efficiency of China Construction Bank is not high, and from 2008 to 2012, the EVA return rate of various businesses has not tended to be consistent, but has a trend of dispersion. It shows that the economic capital allocation efficiency of China Construction Bank is declining. Finally, commercial banks should speed up business adjustment and improve the economic capital allocation system. Main content: the first chapter is the introduction, this chapter mainly elaborated the research background, the research goal, the research significance and the research method, introduced this article to adopt the technical roadmap as well as the literature summary. The second chapter is the theoretical part, according to the process of case analysis, the whole process of economic capital allocation is divided into three steps, according to the measurement, allocation and allocation efficiency analysis of the three steps of the relevant theories and methods are described in detail. It lays a theoretical foundation for the following concrete examples. The third chapter first makes a brief overview of the present situation of economic capital allocation of commercial banks in China from the two angles of state-owned banks and joint-stock banks; then, combining with the present situation of economic capital allocation of domestic commercial banks, Finally, through the analysis of the allocation of economic capital of domestic commercial banks, the author designs a case study scheme of this paper. The fourth chapter analyzes China Construction Bank, the whole process includes three parts: economic capital measurement, allocation and performance evaluation. It is found that the EVA of every business of China Construction Bank is more than 0, but the return rate of EVA is quite different among different businesses, and the rate of return of EVA of the company's banking business is higher than that of China Construction Bank. The EVA rate of return of personal banking business and the return rate of EVA of other businesses are obviously lower than that of capital business, and the efficiency of economic capital allocation is low, and the efficiency of economic capital allocation shows a downward trend from the whole development trend. The fifth chapter puts forward the countermeasures and suggestions to the commercial banks of our country. Through the empirical analysis of the China Construction Bank, the author points out that the commercial banks of our country should speed up the business adjustment, promote the concept of economic capital in an all-round way, and constantly improve the system of economic capital allocation.
【學(xué)位授予單位】：南京農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.42;F832.33

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