商业银行经济资本体系研究

【作者】 李挺；

【导师】 丁丽；

【作者基本信息】 西南财经大学 ， 金融学， 2006， 硕士

【摘要】 公司的基本业务就是管理风险,那些善于管理风险的公司一般都能获得成功,而不善于管理风险的公司一般都会失败。如何正确的识别、评估、管理风险是公司决策的核心,对于商业银行来说尤其如此,因为商业银行究其本质来说是一部风险机器。当前,我国商业银行面临的经营环境越来越复杂,面临的风险种类也越来越多,如何才能进行全面的风险管理,提高国际竞争力?全面风险管理理念告诉我们,全面风险管理是风险管理战略、过程、偏好及组织架构的统一。银行需要测量整体风险,但只有在具有全面风险承受的管理体系以后,才有可能真正从事这一测量,而这一管理体系就是经济资本体系——全面风险管理的核心。经济资本是由商业银行的管理层内部评估而产生的配置给资产或某项业务用以减缓风险冲击的资本。银行需要经济资本用作缓冲不可预见损失所带来的风险。准确的定价及充足的准备金可为银行提供足够的收入用以承受可预见损失。然而,银行的风险从本质上来说产自于不可预见损失。量化不可预见损失不仅使银行能够避免因遭受一系列灾难导致的破产,而且还能判断是否采用最有效的手段配置资本,以及衡量一定风险下获得的回报是否可以接受。银行可以通过对经济资本体系的构建完成对风险的识别和度量,并在此基础之上达到风险优化的目的。探索建立一套既适应我国商业银行当前的发展水平,又符合现代商业银行的发展方向,具有现实操作性的商业银行经济资本体系,成为国内商业银行共同关注的重要课题。在详细论述经济资本体系的基本概念和核心技术指标的基础上,本文以全面风险管理理念为指导,从经济资本管理角度分析了我国农业银行在经济资本管理中存在的主要问题,指出实施经济资本体系、推进全面风险管理是提高农业银行风险管理水平,成功实现股份制改革,向现代商业银行转变的必由之路。并根据当前农业银行发展的现状,借鉴国际先进银行实施经济资本体系的经验,提出农业银行实施更多还原

【Abstract】 Company’s basic business is managing the risk. The companies those are good at managing the risk can be able to obtain success generally, but the ones are not good at managing the risk will be defeated generally. How to distinguish, evaluate and manage the risk is the key point of company’s policy decision, especially for the Commercial Bank, because the essence of Commercial Bank is a risk machine. Today, the management environment that the Commercial Bank of our country faces with is more and more complex, and the type is more and more many. How to mange the risk comprehensively to enhance the international competitive power?The idea of enterprise-wide risk management tells us, the enterprise-wide risk management is the unity of the risk management strategy, the process and the organization structure. The bank needs to survey the enterprise-wide risk, but only has the management system which can withstand comprehensive risk, after then there is the possibility truly to engage this survey. And this management system is the economical capital system——the core of the enterprise-wide risk management. The economical capital is the capital which produces after the internal estimate of the Commercial Bank’s administrative level, disposes for the property or some business to slow down the risk impact. The bank needs the economical capital to buffer the risk brought by the unpredictable loss. The accurate fixed price and the sufficient reserve fund may provide the enough income for the bank to endure the foreseeable loss. But, the bank’s risk produces from the unpredictable loss in essence. Quantifying the unpredictable loss not only enables the bank to avoid bankruptcy which causes by a series of disasters, moreover also can judge whether uses the most effective method to dispose capital, as更多还原