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Research on the Relationship between Chinese Commercial Bank’s Capital and the Risked Assets

Author: CongHongZuo
Tutor: WeiXiaoQin
School: Ocean University of China
Course: Finance
Keywords: Capital Risky assets Capital Adequacy Ratio Simultaneous equations model
CLC: F224
Type: Master's thesis
Year: 2011
Downloads: 93
Quote: 0
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Abstract


Commercial bank capital and risk relationship has been one of the focus of the domestic and foreign scholars, this paper attempts to study the relationship between capital and risk assets of the commercial banks in China on the basis of the results of previous studies. The main goal of this research is: First, explore the theoretical basis of the commercial banks' capital and assets and portfolio risk relationship, the theoretical basis for relationship study of capital to risk assets of the commercial banks in order to get from the research results at home and abroad; analysis of the commercial banks the actual situation of the management of capital and risk assets, analysis of China's commercial banks in the management of the main problems and causes; Industrial and Commercial Bank of China, for example, an empirical analysis of the relationship of capital to risk assets of the commercial banks in China; Fourth upcoming implementation of Basel II III background, combined with the actual problems in the capital and risk management assets of the commercial banks in China, try to given to improve China's commercial banks' capital and risk assets management countermeasures. Research methods, this paper draws first proposed by Shrieves and Dahl (1992), followed by Jacques and Nigro (1997) to modify the development of simultaneous equations model, the risk of structural equation further broken down to analyze capital adequacy ratio with the relationship between the credit assets and marketable securities and investments, while the 3-stage least squares method couplet simultaneous equations to estimate. The main research results obtained in this article: First of all, through the analysis of the status quo of China's commercial banks' capital, the commercial banks in China's capital management, there are some problems. The scale of the capital of China's commercial banks is still relatively low compared to Europe and the United States and other developed countries, has to be raised in the global competitiveness; proportion of core capital in the capital structure of China's commercial banks up to 70% higher opportunity cost of capital, capital The structure is not reasonable. Second, by analyzing the status quo of China's commercial banks risk assets, it is found that the fast growth rate of the total assets of the commercial banks in China, and holds the risk weight higher proportion of credit assets, increase the burden on capital is not conducive to the long-term stability of China's commercial banks development. Finally, through empirical analysis, draw the relationship between capital and risk assets of the commercial banks in China, the capital adequacy ratio of credit assets, there is no significant impact, there is a negative impact on the securities and investment; credit assets exist on the capital adequacy ratio negative impact on the securities and investment on the capital adequacy ratio is not significant. Based on the above findings, it is recommended that the commercial banks in China should pay attention to controlling the size of the credit assets in the context of the regulatory standards of capital adequacy ratio improved, rich commercial bank asset classes; On the other hand, we should take full advantage of the supplementary capital supplementary channels to raise supplementary capital in the proportion of the capital, to optimize the capital structure of China's commercial banks to improve the overall level of capital adequacy ratio.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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