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Financial Informatization and Capital Regulation Standards under the Bank Risk Behavior Analysis

Author: HeWenLong
Tutor: FengZhiYong
School: Tianjin University
Course:
Keywords: Banking Information technology Capital supervision Riskprevention Behavior analysis
CLC: F831.1
Type: Master's thesis
Year: 2012
Downloads: 2
Quote: 0
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Abstract


In the market economic system, the financial system is a very important link ofthe management of commercial banks, it has also started from the traditionalmanagement to overall management of change, not only to emphasize their debt ratio,but also attach importance to risk management. Therefore, this paper uses the modelanalysis, the option pricing method under the assumption of commercial banks, theasset level changes with the geometric Brown motion. This paper also through theITO integral, the equity value of contents such as derivatives, established the basicdifferential equation, and in the appropriate boundary conditions, the parameters ofthe solution are discussed, analyzed the bank can only go to optimal strategy. Basedon the model and algorithm analysis, we present an Assert Risk Monitor andManagement System. The ARMM System consists of three subsystems: assertinformation subsystem; assert risk management subsystem; runtime control subsystem.With the bank history data and the function of ARMM system, this paper studied thebank’s interest payments on the debt, asset risk, inspection supervision on bank riskimpact. Finally the article conclude that, capital regulatory standards and regulatoryinspection will affect commercial bank risk taking.Risk adjustment requires adequatecapital, and the capital ratio method can induce tend to low risk assets state; and if theregulatory authorities on the banks to implement the regulation if very strict, so thebank will tend to be low risk assets state.But frankly say that, the conclusion must also be in specific conditions arediscussed. One of the most important assumptions is bank shareholders and managersdo not exist between the agency cost, that is to say the two interests coincide.Compared with the actual operation, it also has certain disparity, especially in ourcountry has not formed a sound enterprise system under the background of. So, thenext important research direction, will loosen the thesis model assumes that.

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CLC: > Economic > Fiscal, monetary > Finance, banking > World of finance, banking > Banking system
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