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The Risk Management Research of Commercial Banks Based on RAROC Model in China

Author: YaoYi
Tutor: LiHong
School: Nanchang University
Course: Quantitative Economics
Keywords: RAROC Model Expected Loss Economic Capital Risk Management
CLC: F832.2
Type: Master's thesis
Year: 2011
Downloads: 355
Quote: 0
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Abstract


RAROC is the international advanced commercial bank used for comprehensive risk management core method. It turns the future of bank risk,which loss can be expected, to the the cost of the current period, puts the unexpected risk quantitative to economic capital, and as a commercial bank capital reserves, directly adjust current profits, measure earnings size after the risk adjusted. Make the bank the benefits and the risk of be tied directly. Providing the important and unified standard basis for each department of various business、bank risk management、development strategy and performance of evaluation.At present, RAROC model based on the our country commercial bank risk management research at the primary stage, so in data collection risk measurement and other aspetcts are not perfect. This article uses some research perspectives and methods, a brief overview of the commercial bank risk management, and the main risk measurement model, at the same time, according to the present our country commercial bank risk management problems, we detailed state RAROC core principles, and analysis systemly calculation formula of the expected damage and economic capital gains and cost,then we Find RAROC model is a good solution to our country commercial bank risk management problems. Then, according to the analysis and research of the above, put RAROC model to our country commercial bank’s risk management, measure RAROC model’s basic parameters in detail. Then put the index value,which come from the the empirical study of RAROC model to have a analysis and comparison. Then puts forward the advice,which can perfect our country commercial bank risk management, making RAROC model in our country commercial bank risk management practice feasibility and practicability.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Banking system and business
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