Research on Economic Capital Allocation of China's Commercial Banks

Qiumin Wang

《World Scientific Research Journal》 7卷2期 (2021/02) Pp. 177-184

https://doi.org/10.6911/WSRJ.202102_7(2).0022

摘要

The Basel Committee on Banking Supervision officially announced the ＂New Basel Capital Accord＂ on June 26, 2004, which first proposed the concept of economic capital and shifted the regulatory perspective from outside the bank to inside the bank. Economic capital refers to the capital used by the bank to resist unexpected losses, and its allocation is to build a risk asset portfolio consistent with the bank's overall risk strategy and shareholder objectives through the strategic allocation and strategic adjustment of the bank's business structure and asset structure. Allows the bank to maximize value within a certain risk tolerance. At present, the economic capital allocation management of China's commercial banks is still in its infancy, so this article will study the economic capital allocation of commercial banks. This article will give an overview of economic capital allocation, and then analyze the two economic capital allocation models based on REROC and EVA. In addition, this article will analyze the current situation of China's commercial banks' economic capital allocation, analyze its existing problems.

關鍵字

Commercial banks ； Economic capital allocation ； RAROC ； EVA

參考文獻

MERTON , R. and P EROLD , A. (1993) “Theory of Risk Capital in Financial Firms” Journal of Applied Corporate Finance, 6(3), Fall 1993, 16-32.

Edward Zaik,John Walter,Gabriela Retting,Christopher James. RAROC AT BANK OF AMERICA: FROM THEORY TO PRACTICE[J]. Journal of Applied Corporate Finance,1996,9(2).

Marc J. Goovaerts, Eddy Van den Borre, Roger J. A. Laeven. Managing Economic and Virtual Economic Capital Within Financial Conglomerates[J]. North American Actuarial Journal,2005,9(3).

Schroeck,G.(2002),Risk Management and Value Creation Financial Institutions, John Wiley and Sons.