【摘要】：隨著銀行業(yè)運(yùn)行環(huán)境的日益復(fù)雜以及全球金融監(jiān)管改革的推進(jìn),銀行在關(guān)心經(jīng)營(yíng)業(yè)績(jī)的同時(shí)更要關(guān)注其管理風(fēng)險(xiǎn)的能力,在保持行業(yè)競(jìng)爭(zhēng)力的前提下進(jìn)一步加強(qiáng)和完善風(fēng)險(xiǎn)管理成為商業(yè)銀行面臨的重要課題。經(jīng)濟(jì)資本管理體系將銀行的風(fēng)險(xiǎn)與收益結(jié)合起來(lái)考慮,有助于提高商業(yè)銀行的經(jīng)營(yíng)質(zhì)量進(jìn)而實(shí)現(xiàn)股東利益最大化的終極目標(biāo),屬于銀行業(yè)風(fēng)險(xiǎn)管理領(lǐng)域相對(duì)前沿的理論,進(jìn)一步完善這一管理體系逐漸成為商業(yè)銀行發(fā)展過(guò)程中必須面對(duì)的問(wèn)題。在整個(gè)經(jīng)濟(jì)資本管理的進(jìn)程中,經(jīng)濟(jì)資本計(jì)量是前提條件,其準(zhǔn)確性不僅能夠反映銀行可能承擔(dān)的實(shí)際風(fēng)險(xiǎn),還是有效配置資本資源的保證。因此,對(duì)經(jīng)濟(jì)資本計(jì)量方法和模型的系統(tǒng)分：析以及在商業(yè)銀行實(shí)踐中的應(yīng)用研究顯得尤為重要。目前,國(guó)內(nèi)理論界對(duì)經(jīng)濟(jì)資本計(jì)量這一問(wèn)題的探討開(kāi)始不久,本文在已有文獻(xiàn)寥寥無(wú)幾和實(shí)踐剛剛起步的情況下,對(duì)目前國(guó)內(nèi)外學(xué)術(shù)界相關(guān)文獻(xiàn)進(jìn)行了全面、系統(tǒng)的綜述和評(píng)價(jià),然后以巴塞爾資本監(jiān)管要求(主要指巴塞爾資本協(xié)議)以及國(guó)內(nèi)的資本監(jiān)管辦法(《商業(yè)銀行資本管理辦法(試行)》)對(duì)經(jīng)濟(jì)資本的計(jì)量要求為依據(jù),經(jīng)濟(jì)資本計(jì)量的統(tǒng)計(jì)學(xué)原理和方法模型為理論基礎(chǔ),結(jié)合國(guó)內(nèi)外經(jīng)濟(jì)資本理論和商業(yè)銀行實(shí)踐,針對(duì)目前國(guó)內(nèi)商業(yè)銀行經(jīng)濟(jì)資本計(jì)量實(shí)踐過(guò)程中存在的問(wèn)題提出有針對(duì)性的建議。
[Abstract]:With the increasing complexity of banking operating environment and the promotion of global financial regulatory reform, banks should pay more attention to their ability to manage risks while they are concerned about their business performance. It is an important task for commercial banks to strengthen and perfect risk management on the premise of keeping the competitiveness of the industry. The economic capital management system combines the risk and income of the bank, which is helpful to improve the management quality of the commercial bank and realize the ultimate goal of maximizing the interests of the shareholders. It belongs to the relatively frontier theory in the field of banking risk management. Further improvement of this management system has gradually become a problem that commercial banks must face in the process of development. In the whole process of economic capital management, economic capital measurement is a prerequisite. Its accuracy can not only reflect the actual risks that banks may bear, but also guarantee the effective allocation of capital resources. Therefore, it is very important to divide the econometric methods and models of economic capital into two parts: analysis and application in commercial bank practice. At present, the domestic theorists have begun to discuss the problem of economic capital measurement soon, this article has carried on the comprehensive research to the domestic and foreign academic circles related literature under the condition that the existing literature is very few and the practice is just beginning. The systematic review and evaluation are based on the measurement requirements of economic capital under the Basel capital supervision requirements (mainly referred to as the Basel Capital Accord) and the domestic capital supervision measures (the Commercial Bank Capital Management measures (try out). The statistical principles and method models of economic capital measurement are taken as the theoretical basis, combined with the domestic and foreign economic capital theory and the practice of commercial banks, In the light of the problems existing in the practice of economic capital measurement in domestic commercial banks, some suggestions are put forward.
【學(xué)位授予單位】：蘭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33

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