【作者】 黄惠；

【导师】 孟钊兰；

【作者基本信息】 兰州商学院 ， 金融学， 2009， 硕士

【摘要】 中国建设银行(以下简称建设银行)于2001年引入经济资本概念,几年来一直实行基于系数法的经济资本预算管理,在控制风险资产总量、建立资本约束等方面发挥了积极的作用。但是随着建设银行管理水平的不断提高,经济资本现行的计量方法越来越不适应其信用风险管理的需要,与国际通行的方法相比也存在许多缺陷。本文是在概述信用风险相关理论及管理的基础上,对巴塞尔委员会提供的经济资本计量方案进行评价、分析,并阐述了现有的经济资本计量方法,然后加以比较分析,目的是设计出适合建设银行自身特点的方法,以更准确地计量经济资本的实际需要量,客观地衡量其所面临的主要信用风险,从而能更好地解决在实施经济资本管理过程中对信用风险计量所面临的困难,将有助于建设银行量化自身的风险偏好,以确保有足够的资本来减缓风险的冲击,实现利益最大化的同时满足监管的要求。文章从相关文献综述入手,首先对信用风险管理做了一个简单的概述,然后结合建设银行自身的发展状况,分析了建设银行以往采用的信用风险管理体系,重点探讨了信用风险管理体系中存在的问题,基于以上问题,从而导入了经济资本的概念;其次文章对信用风险管理中经济资本的计量方法做了深入的分析与研究,重点比较了三种经济资本计量方法——系数法、资产变动法、收入变动法,结合建设银行的现行条件,得出结论:资产变动法适合建设银行目前精细化风险管理的要求;最后因为目前建设银行在改进经济资本计量方法的进程中还面临着诸多严峻的困难和挑战,在对建设银行经济资本计量方法比较分析的基础上,文章又进一步探讨并改进经济资本计量方法,并对具体发展的思路提出可操作性建议。本文的创新点在于论文的选题具有新意,经济资本理论属于银行管理的前沿方向,目前国内对经济资本的研究则处于起步阶段,己有的研究成果少,而且经济资本在银行实务界也是处于探索运行阶段,目前国内四大国有银行以及部分股份制银行所采用的经济资本计量方法也是比较浅显的,还不是很成熟,因此论文的选题在理论和实务上都具有创新意义;文章的另一个创新点在于侧重于对计量方法与模型的研究,重点比较了信用风险管理的三种经济资本计量方法—系数法、资产变动法、收入变动法,探索研究了适合建设银行信用风险精细化管理的计量方法,并在此基础上分析了进一步改进经济资本计量方法的新的发展思路。更多还原

【Abstract】 The China Construction Bank introduced the concept of economic capital in 2001, and has been implemented coefficient method based on the economic capital’s budget and management over the past few years, playing a positive role in controlling the total amount of risk assets and setting up capital constraints. However, as banks improve their management of risk, the current measurement method of economic capital has become increasingly unsuited to the needs of the credit risk management needs, and compared to international practices, there are also many shortcomings.Based upon describing the correlated theories of credit risks and management, this paper evaluated and analyzed the plan of economical capital measurement provided by the Barthes committee, And compared the existing measurement methods of economic capital, then compared and analyzed in order that we can design the credit methods of risk measurement fitting for the characteristics of China Construction Bank’s, to more accurately measure the actual requirements of economic capital, objectively measure the major credit risk the bank facing, and better address the issues of the difficulties for the measurement credit risk in process of the implementation of economic capital management. The will help to quantify their own preferences of the risk, to ensure there is sufficient capital to mitigate the impact of risk, and achieve the maximize benefits to meet the regulatory requirements at the same time.The article started from some literature reviews, first of all, summarized credit risk management in a simple, and then combining the characteristic of China Construction Bank analyzed credit risk management system used by the CCB, focusing on the exist problems. Based on the above issues, the article imported the concept of economic capital. And then the article also did an in-depth analysis and research on the method of economic capital measurement in the management of credit risk, focusing on comparing three measurement methods of economic capital– the coefficient method, the asset’s change in law, the revenue’s change in law, and concluded: the asset’s change in law suits the requirements of currently refined risk management. Finally, because China Construction Bank is also faced with many serious difficulties and challenges during the process of improving the current economic capital measurement, based on a comparative analysis of measurement methods, the article further explored and improved the economic capital measurement methods and put forward specific operational recommendations to the development of the ideas.This article was one of innovation with a new thesis topic, the economic capital theory are the forefront of bank management, and now the research on the economic capital is in its infancy with the exit less research results, and economic capital in the banking sector is also running at the exploratory stage, the method of economic capital measurement in the current four major state-owned banks and joint-stock banks is relatively simple, not very mature yet. Therefore the thesis topics had innovation in both theory and practice; Another innovation was focused on measurement methods and models, and comparing the three measurement methods of the economic capital in credit risk management - the coefficient method, the asset’s change in law, the revenue’s change in law, and researched the method suited the precise management in the China Construction Bank and on this basis did an analysis of the new ideas of development in further improving the methods.更多还原