中国商业银行风险管理体系建设进展与完善

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:(1966-),,,,,;(1981-),,,,RAROC,Risk-AdjustedReturnOnCapital():RAROC=RAR()1,2,1(1.,710062;2.,710061):,,,,,,,,RAROC,,,,:;;RAROC:F830.33:A:1007-3264(2009)06-0069-06,,,,,,,,,,,,,,,,,,RAROC,,1,2004,,20065,,()(),2010,,©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,,,,,,,,,2006,,,,,,,,,,,,2,,,,,,,,,,,,,,,,,,;07200911©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),,(),,,,,,,,,,,,,,,,,,,,,,,,,,,,,,3,2006,,,,,,,,,,,RAROC,,2010,,,IT,,,,,,,,,,,,,176,:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(ROA)(ROE),,(RAROC)RAROC1970,RAROCRAROC,,,,,RAROC,,,,RAROC,RAROC,RAROC,(EVA)RAROC,RAROC6,,,,,,,,,,,,,,,,,,,,,,,,376,:©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.[1].[J].,2005,(08):149-151.[2].[J].,2005,(11):60-62.[3].[J]..,2006,(5):114-116.[4].[J].(),2006,(5):16-17.[5].[J]..,2006,(12):92-93.[6],.[J].,2006,(18):90.[7].[J].,2007,(1):44-48.[8].[J].,2007,(1):74-76.[9].[J].,2009,(1):21-26.[10].[D].,2003.[11].[D].:,2004.[12].VaR[D].,2005.[13].[D].,2006.[14].[M].,2006.[15].[D].,2006.[16].[D].,2006.[17].[D].,2007.ThedevelopmentandperfectionoftheriskmanagementsystemconstructioninChinesecommercialbanksLIZhong-min1,WUQi2,1(1.InternationalBusinessSchool,ShaanxiNormalUniversity,Xian710062,China;2.DepartmentofEconomyandTrade,XianUniversityofPostsandTelecommunications,Xian710061,China)Abstract:ThecomprehensiveriskmanagementintheframeworkofNewBaselCapitalAccordhasbecomeahottopicinthebankingindustry.Bothdomesticandinternationalbanksarededicatingtofulfillitasthebankopera2tionstandard.Tillnow,Chinesecommercialbankshavealreadysetuptheirownriskmanagementorganization2alstructure.Duringtheestablishmentoftheriskmanagementsystem,theyemploytheBPR(BusinessProcessReengineering)methodtoformtheIRS(InternalRatingSystem),real-timeriskmonitoring,andearlywarn2ingsystems.Whatsmore,theyexpandthecoverageofcapitaladequacyratioandcarryouttheriskcapitalallo2cationsystemandsetuptheperformanceevaluationsystemwithRAROCasthecore.Inaddition,riskmanage2mentculturehasbeenincorporatedintothecompanycultureasacrucialandnecessarypart.Inthispaper,weanalyzethedevelopmentoftheriskmanagementsysteminChinascommercialbanks,andshowtheyindeedmadesomeprocessinthisfield.Butastherestillexitsomepracticalshortcoming,biggerprocessshouldbemadefortheChinesecommercialbanksinthecomprehensiveriskmanagement.Keywords:commercialbank;riskmanagement;RAROC47200911