对我国商业银行实施经济资本

山西财经大学硕士学位论文对我国商业银行实施经济资本姓名：高俐弘申请学位级别：硕士专业：金融学指导教师：杨有振2008-09-2556AbstractCapitalisthefoundationuponwhichcommercialbankssurviveandcapitalmanagementisanimportantcomponentofthemanagementofcommercialbanks,sotheoreticalstudyonhowtomanagethecapitalofinternationalcommercialbankhasneverceasedandhashadarapiddevelopmentinrecentyears.InJune2004NewBaselCapitalAccordwaspromulgated,sincethentheinternationalbankingcommunitytakesamoreflexibleapproachonriskmeasurementandbankriskscanbemorerealisticallyreflectedbythelevelofcapital.Withthecontinuousdevelopmentofthebankingcapitalmanagementtheory,theconceptofeconomiccapitalhasbeendrawinganincreasingattention.Theestablishmentandapplicationofsuchconcepthasnotonlyachievedtheunificationoftheriskoflossandcapitalcommitmentinhighlyquantitativebasis,butalsoharmonizedandcontinuouslypromoteriskmanagementandcapitalmanagementwiththeoverallunityandthenthecapitalrestrictionestablishitscentralstatusinbankriskmanagement.Economiccapitalmanagementstudytakeshighlypracticalsignificanceonstate-ownedcommercialbanks.7Thispaperbasedonthetheoryofcommercialbankscapitalandcapitalmanagement,analysisregulatorycapitalmanagementandeconomiccapitalmanagement,cometotheconclusionthatitisessentialtoimplementeconomiccapitalmanagement.Thentalksabouttheeconomiccapitalmanagementinwesterncommercialbanksandanalyzestheenlightenmenttoourcountry.After,IanalysestherealoperationoftheeconomiccapitalmanagementinChinaandpointsouttheproblemsatthesametime.Atthelast,givingadvicesofconstructingtheeconomiccapitalmanagementofourselves.KeyWordscommercialbankeconomiccapitalmanagementregulatorycapitalmanagementrisk-adjustedreturnoncapital341,8%8%10%,1978RAROC200622005200520062004(2007)32005RAROC352005RAROC20062006.2001MichaelKongAngelAranitisZaiketai(1996),James1996Matten(2000)DavidRowe(2004)ChrisMatten(2004)Araten,Michel(2004)SmithsonCharles,Haytgregory4123561.AccountingCapital2.7RegulatoryCapital2004313.1EconomicCapital2342007938-3981.=++92.=-=3.1.2.90%2005629-31103.200412.58%10%4.1-11-1200333-35111.199319948%4%1995398%19961219982004223200722820102013101998270019991.42003450200415014200521320071616179%1-2200861-11-2141.24259.25.58%0.592.1996VAR15RAROCEVARAROCEVA8%10%1620072.60%0.69104.41%22.17EVA2007131%14%2005211-1417,2008133-341873%14619KMVCreditRisk+CreditPortfolioViewPD(LGD)(EAD)(M)KMVCreditRisk+CreditPortfolioViewGDP-2004844-49BaudAnanalysisframeworkforbankcapitalallocation[J].Creditlyonnais2000(5):511516.20(ValueatRisk,VAR)VARVARVaR-8∑∑∑≠××+=jijijiiS)()(),()(22ssrsi∑=×××+njjijii12)()(),(2ssrsKiKiKiK-i21i[]∑--=)()()(iKKiKKiWRAROC(RiskAdjustedReturnonCapital)RAROCEVA1.RAROCRAROCRAROCRAROC--==RAROCRAROCKRAROCKRAROCRAROCEVA(EconomicValuedAdded)2.EVAEVAEVA=×2008133-34226000603000102000VaR//10523232-11010102008576-792-124200529-1125RAROCEVAEVARAROCRAROCEVAEVARAROC200551462657RAROCEVA2008160-6327(EVA)1.200120048VaR520%2007(CreditManagementInformationSystemCMIS)=+28VaR15%20%3-1=20%30%100%=2.2001200220032004EVA3.292004,,13%1.2.20061048-50200530EVAEVA318690.32%2.3%16%1883.3%11%14.2%0%1.2.3.20067121-126321.2.2006314-152005223-2633(PD)(LGD)34IT2005223-26352006524-2736=8%1.3752.VaR3.12%2005827-2938ni(i=1,2,n)EXi,DiiW(i)∑=××=njjDjEXiDiEXiw1)()()()()(K2006917-2139RAROCEVA(RAROC)(EVA)RAROCRAROCRAROC(EVA)EVARAROCEVA(IRB)(PD)(LGD)(EAD)4020051252-554120074220041.2.RAROCEVA3.RAROCEVA431.2.444546472008948对我国商业银行实施经济资本作者：高俐弘学位授予单位：山西财经大学本文链接：