本文選題：RAROC + 風(fēng)險管理工具　； 參考：《吉林大學(xué)》2013年碩士論文

【摘要】：銀行同業(yè)間的競爭日益慘烈，市場競爭力是決定這場沒有硝煙戰(zhàn)爭的關(guān)鍵因素，，國有商業(yè)銀行在同股份制銀行的打拼中占據(jù)的是人才和資源優(yōu)勢，但相對僵化的管理模式和笨重的體制負(fù)累又成了掣肘國有商業(yè)銀行快速國際化和市場化的瓶頸，對公信貸業(yè)務(wù)無論在資產(chǎn)構(gòu)成比重和價值創(chuàng)造上都是國有商業(yè)銀行的關(guān)鍵部件，正所謂“成也蕭何敗蕭何”，客觀的說，信貸管理科學(xué)模式的建立是解決這部大機器引擎技術(shù)改造的第一把鑰匙，信貸策略恰恰又是信貸管理中的核心思維。長久以來，建設(shè)銀行W分行的信貸策略始終缺少科學(xué)的工具手段支撐，專家的意見和單一化的價格導(dǎo)向左右著信貸資源的配置。體現(xiàn)在貸款客戶群體單一，產(chǎn)品發(fā)展不均衡，區(qū)域稟賦未能充分發(fā)揮，真正有價值的客戶未能得到充分服務(wù)和有效支持。根據(jù)不完全統(tǒng)計，W分行轄區(qū)內(nèi)區(qū)內(nèi)的五分之一的龍頭企業(yè)未予其開展信貸的合作，分析原因概括起來有以下幾個方面：一是單純的價格導(dǎo)向，提高了優(yōu)質(zhì)客戶的準(zhǔn)入門檻。按照現(xiàn)行W行的定價原則，大中型客戶底線利率為流動資金類不低于基準(zhǔn)利率上浮10%，項目貸款不低于基準(zhǔn)利率12%,而很多客戶考慮到民貿(mào)貼息政策或集團本部的融資計劃，只能接受基準(zhǔn)利率或以下的價格，而這部分客戶可能會在存款、結(jié)算及中間業(yè)務(wù)服務(wù)等方面為銀行繼續(xù)創(chuàng)造價值。二是信貸策略缺少差別化，千篇一律，無法滿足優(yōu)質(zhì)客戶個性化的需求。如行業(yè)限額嚴(yán)格控制的鋼鐵、水泥等產(chǎn)能過剩行業(yè)中的龍頭需要滿足供應(yīng)鏈的安排，受其授信總量的控制也無法充分安排。三是沒有一個好的技術(shù)工具支撐。建設(shè)銀行的風(fēng)險管理計量技術(shù)已經(jīng)較完備，但缺少一個和市場經(jīng)營相吻合的鏈接。 本文正是在這樣的背景下，運用計量工具與實證研究相結(jié)合，探討利用風(fēng)險調(diào)整收益率（英文縮寫：RAROC，下同）解決W分行對公信貸管理中的粗線條，其可行性也是在局限樣本上的分析，亟待實踐的驗證。首先，在緒論部分闡明了文章研究的背景，研究的主導(dǎo)方向以及運用的方法。其次，在結(jié)合建設(shè)銀行W分行的信貸策略的現(xiàn)狀開展分析，提示出其存在的漏洞和掣肘業(yè)務(wù)發(fā)展的根源。再次，對該銀行運用RAROC工具解決信貸業(yè)策略偏離可行性研究。最后，通過大量的數(shù)據(jù)支撐，提出運用RAROC改進信貸策略管理的建議，得出文章研究的結(jié)論。 文章通過新資本協(xié)議理論、建設(shè)銀行風(fēng)險管理專家的研究成果和建議及網(wǎng)絡(luò)數(shù)據(jù)庫平臺收集研究所需的相關(guān)資料，通過比較分析的方法，剖析國有商業(yè)銀行傳統(tǒng)的信貸文化的弊端，探討在推行巴塞爾新資本協(xié)議監(jiān)管文化的當(dāng)下，一個適用與實用的管理工具---RAROC,通過討研究結(jié)果提出了改進W分行對公信貸業(yè)務(wù)管理的切實可行的建議。
[Abstract]:The competition between banks and banks is becoming increasingly fierce. The market competitiveness is the key factor determining this war without gunsmoke. State-owned commercial banks occupy the advantages of talent and resources in their struggle with joint-stock banks. However, the relatively rigid management mode and the heavy system burden have become the bottleneck that hinders the rapid internationalization and marketization of state-owned commercial banks. The public credit business is the key component of state-owned commercial banks in terms of the proportion of assets and the creation of value. Objectively speaking, the establishment of the scientific model of credit management is the first key to solve the technical transformation of this big machine engine, and the credit strategy is the core thinking in the credit management. For a long time, the credit strategy of China Construction Bank (CCB) W Branch has been short of scientific tools and means, and the expert's opinion and the simple price orientation have influenced the allocation of credit resources. It is reflected in the single group of loan customers, the unbalanced development of products, the failure of regional endowment to give full play to the regional endowment, and the failure of truly valuable customers to receive adequate service and effective support. According to the incomplete statistics of 1/5 leading enterprises in the area under the jurisdiction of the branch, the reasons are summarized as follows: first, simple price orientation raises the entry threshold of high quality customers. According to the current pricing principle of Bank W, the bottom line interest rate for large and medium-sized customers is no less than 10 percent of the benchmark interest rate for liquid capital, and the project loan should not fall below the benchmark interest rate. Many customers consider the discount interest policy for civil trade or the financing plan of the group's headquarters. Prices at or below the benchmark rate can only be accepted, and these customers may continue to create value for banks in terms of deposits, settlement and intermediary services. Second, credit strategy is lack of differentiation, uniform, can not meet the personalized needs of high-quality customers. Such as iron and steel, cement and other overcapacity industries, such as iron and steel, cement and other overcapacity industries need to meet the supply chain arrangement, and the total amount of credit can not be fully controlled. Third, there is no good technical tools to support. The risk management measurement technology of CCB is relatively complete, but it lacks a link to the market management. Under this background, this paper combines measurement tools with empirical research to explore how to use risk-adjusted rate of return (RRROC-) to solve the rough line of W branch in the management of public credit. Its feasibility is also the analysis on the limited sample, which needs to be verified in practice. Firstly, in the introduction part, the background, the leading direction and the application method of the research are explained. Secondly, this paper analyzes the current situation of credit strategy of China Construction Bank W Branch, and points out the existing loopholes and the root of hindering the development of business. Third, the bank uses RAROC tools to solve the credit industry strategy deviation feasibility study. Finally, through a lot of data support, the paper puts forward the suggestion of using RAROC to improve the credit strategy management, and draws the conclusion of this paper. Through the new capital agreement theory, the research results and suggestions of the risk management experts of China Construction Bank, and the relevant data collected by the network database platform, and through the method of comparative analysis, This paper analyzes the disadvantages of the traditional credit culture of state-owned commercial banks, and probes into the present situation of implementing the new Basel Capital Accord supervision culture. A suitable and practical management tool, Raloc, is proposed to improve the management of public credit business in W branch.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.4

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本文編號：2108123