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A Study on Economic Capital and Performance Measurement in Banks

Author: CaoJinWen
Tutor: ChenYiBing
School: Renmin University of China
Course: Statistics
Keywords: Economic capital Performance Evaluation RAROC model Risk - Income Efficient Frontier
CLC: F830
Type: Master's thesis
Year: 2005
Downloads: 762
Quote: 4
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Abstract


In the past twenty years, the bank management occurred most significant change is that the bank's management focus has gradually shifted from the traditional asset-liability management transition to risk measurement and risk optimization as the core of a comprehensive risk management. With the deepening of reform and promote the shareholding, the China Banking will fully meet the market economy environment, banks' risk management challenges, meet international banks from advanced risk management techniques competitive pressure to meet the advanced international banking and strict regulatory standards challenges. In this process, China's banking sector faced with how to accurately measure their own risks, how to balance business risk - income property to determine the structure of bank assets and business development strategy, how to assume a certain level of risk in the pursuit of maximizing the value of banks , how to assess the bank's various departments at all levels of business performance in order to ensure that banks in the balance between risk and return and other basic issues challenge. On the other hand, the international advanced banks after decades of research and innovation and development, has formed the core of the RAROC for economic capital allocation and performance assessment of the risk-based capital framework, also known as RAROC system. However, domestic academic research in this field has just started, RAROC model for economic capital allocation and performance assessment and other aspects of the research literature is still focused on the translation and introduction of foreign research results, and more piecemeal introduction, lack of comparative systematic research. This article is a study of the context. Articles by RAROC model, on the banks to determine the level of economic capital, bank capital allocation and performance assessment of the economy and other issues fundamental research, and attempts to establish an analytical framework for the analysis of economic capital banks. Based on the above ideas, the basic structure of the article is as follows: The first chapter introduces the research background introduction, Research in related fields, and focus on the analytical framework described in this article. The second chapter discusses the first from the perspective of risk and capital risk relationship, then analyzes several important concept of capital, and then based on regulatory standards as an international banking Basel framework and the China Banking Regulatory Commission issued capital Adequacy Framework discusses the regulatory capital measurement methods, and details several econometric credit risk capital measurement model. The third chapter is the focus of this article. Article first established banks maximize the return on risk constraint constraint model, and in the framework of this model, the theoretical model derived RAROC expounded RAROC theoretical foundation; Then, based on the constrained optimization model, the simulation technology, gives portfolio of bank assets

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CLC: > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory
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