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Research of Risk Management of State-owned Commercial Bank Based on RAROC Model

Author: FengXiaoWei
Tutor: ZhengXunGang
School: Sichuan Agricultural University
Course: Technology Economics and Management
Keywords: RAROC model Commercial bank Venture capital Risk Management
CLC: F832.33
Type: Master's thesis
Year: 2005
Downloads: 749
Quote: 4
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Abstract


With the development of economy and globalization, as well as in accordance with the commitments made by WTO members in China, to accelerate and deepen the reform of the financial system to become an objective requirement for China to deal with the new challenges. Systemic reform of the banking sector is an important part of the reform of the financial system, including the disposal of non-performing assets, recapitalize the banks, to improve the corporate governance structure, promoting the bank's joint-stock reform and listing. However, for a long time, China's banking industry focus on traditional asset liability management and neglect of overall risk management, weak risk awareness, poor management, showing a high-performing asset ratio and low capital adequacy ratio coexist phenomenon. International advanced bank management core technology RAROC (Risk-Adiusted Return on Capital), that the risk-adjusted return on capital, adjusted by calculating the risk rate of return on capital and allocation of capital, assets or business risks around this indicator Operations Evaluation to achieve the purpose of effective management of risk. This article from two angles capital management and performance evaluation of risk management based on the the RAROC model of China's state-owned commercial banks. The paper is divided into six parts, the first part is an introduction; second part first overview of the basic theory of the risk management of commercial banks, including the definition and classification of risk, risk management functions and objectives, as well as the risk of metrics for risk management model proposed to provide a theoretical basis and application. Meanwhile, the basic principle of the RAROC model will be discussed. The third part is the analysis of China's state-owned commercial banks risk management situation. The fourth part of the capital management the RAROC model of risk, risk quantification models to accurately quantify the credit risk in order to achieve a reasonable allocation of risk capital, compared the advantages and limitations of the volatility law and asset volatility measurement CAR and to explore default models under the loan venture capital quantify. Part V, based on risk quantification through quantitative study on the benefits, costs, transfer payments, discusses the evaluation mechanism of the risk-adjusted returns, empirical analysis of ABC branches of Industrial and Commercial Bank of risk pricing, for example, by comparing the traditional evaluation way derived the RAROC model of scientific applications. Part VI, on the above studies, raise the level of risk management of state-owned commercial banks, we must first change the traditional capital management and business evaluation mode, to establish the RAROC core venture capital management system, to accurately quantify the risk and then built on the basis of risk-adjusted The income evaluation system, strengthen internal controls to safeguard the RAROC risk management model to effectively run.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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