【作者】 周行健；

【导师】 彭建刚；

【作者基本信息】 湖南大学 ， 金融学， 2009， 博士

【摘要】 金融全球化、金融自由化以及金融创新使银行面临的风险急剧增加,由此导致的银行倒闭案例时有发生。为了提高金融体系的稳定性,巴塞尔委员会1988年提出“资本充足率”的概念,建立了利用资本缓冲风险损失的机制。与此同时,股东价值革命悄然兴起,资本回报受到了更多关注。这些经营环境的改变使得能够较好地平衡风险、资本与收益之间关系的经济资本管理日益成为银行经营管理的基础和主轴。论文以价值创造为研究视角和主线,运用规范分析与实证分析相结合的研究方法对经济资本管理能否实现价值创造以及如何实现价值创造等一系列问题进行了深入分析。经济资本管理是通往价值创造之路。价值最大化是银行经营的最终目标,而价值创造是实现价值最大化的必由之径。论文通过对EVA进行调整,提出了银行EVA价值创造模式;通过对RAROC进行修正,提出了修正的RAROC价值创造模式。两种模式分别从总量和效率角度反映了银行的收益创造能力,并考虑了风险成本和经济资本成本的调整,是风险、资本与收益相统一的价值创造模式,由此铺设了经济资本管理通往价值创造的路径。此外,论文还运用新制度经济学理论,从资产转换、投资不足、财务困境成本等角度展开分析,为经济资本管理创造价值提供了理论支持。经济资本计量是经济资本管理实现价值创造的前提,无论是经济资本的优化配置,还是经济资本的价值创造绩效测评都需要经济资本的精确计量结果。通过资本乘子和通过VaR是计量组合层次经济资本的两种思路。论文基于VaR思路,运用CreditRisk+模型,采用某案例银行的200笔贷款数据对经济资本计量进行了实证分析,发现当置信水平较高时,经济资本计量结果对置信水平高度敏感。经济资本优化配置能够引导资源合理流向,是经济资本管理驱动价值创造的引擎和关键。论文以银行EVA最大化为目标函数,以修正的RAROC底线回报、可配置的经济资本限额以及各业务最大可能的发展规模等为约束条件,采用数学规划方法构建优化配置模型,解决了驱动价值创造的经济资本优化配置问题。研究过程发现,修正的RAROC回报率对优化配置结果影响显著。经济资本的价值创造绩效测评是经济资本管理实现价值创造的保障。论文运用银行EVA、修正的RAROC分别从微观层次对某支行和宏观层次对我国12家全国性商业银行的价值创造绩效进行了测评。研究结果显示:2005年之前,均有不同数量的银行损毁价值;从价值创造总量角度分析,国有控股商业银行是我国银行价值创造的主力军;从价值创造效率角度分析,12家商业银行的经济资本价值创造效率表现为三个梯队。经济资本管理不是一个孤立的体系,它能否更好地创造价值需要相关环境的有效支持。培育以价值创造为主导的经济资本管理战略理念是银行有效实施经济资本管理的关键。建立层级分明、责任明确、信息交流与报告路线清晰的经济资本管理组织体系是银行有效实施经济资本管理的组织保障。与金字塔型组织架构相比,矩阵式组织架构更有利于银行经济资本管理的有效实施。更多还原

【Abstract】 The financial globalization, financial liberation and financial innovation have made banks confronted sharply increased risks, therefore the bank bankrupts because of those take place from time to time. In order to improve the stability of financial system, in 1988, Basel Commission put forward the concept of“capital adequacy”and built a system for capital to buffer loss of risk. At the same time, the revolution of shareholder’s value came up and the return of capital began to get more and more attention. The changing operating environment made the economic capital management which can better balance the relationship among risk, capital and return become the basic and principal axis of bank management.The dissertation takes the view angle of value creation, following this main clue, it deeply analyses the questions of whether economic capital management could achieve value creation and how to achieve etc. with normal analysis and empirical analysis.Economic capital management builds a road leading to value creation. The final goal of bank management is value maximization and value creation is the only way to achieve value maximization. Through adjusting EVA, it puts forward Bank’s EVA value creation mode and by modifying RAROC, it provides Modified-RAROC value creation mode. These two modes reflect bank profit ability separately from the angle of gross value and efficiency, they take the cost adjustment of risk and economic capital into consideration and combine risk, capital and return altogether, so a road leading economic capital management to value creation has been built. Further, the dissertation adopts new institutional economics theory from the angles of assets transfer, investment inadequacy and financial distress cost etc. and theoretically proves that economic capital management can realize value creation.The measurement of economic capital is the premise for economic capital management to realize value creation, for the accurate measure result is needed no matter in terms of economic allocation optimization or in value creation performance assessment of economic capital. There are two ways for measuring portfolio economic capital, namely, through capital multiply and VaR. The paper is based on VaR method and uses CreditRisk+ model, and it is found that economic capital is highly sensitive to confidence level at relatively high confidence level. The optimization of economic capital allocation can a reasonable flow of resources and is the engine and key point of economic capital management advancing value creation. The dissertation has the objective function of EVA maximization, the restrictive function of Modified-RAROC hurdle return, economic capital limitation for allocation and possibly developing scale of all businesses and so on, and it adopts mathematic programming method for studying the economic capital allocation optimization to promote value creation. The study finds out that Modified-RAROC has significant effect on the result of allocation optimization.The value creation performance assessment of economic capital is guarantee for economic capital management to achieve value creation. The dissertation uses Bank’s EVA and Modified-RAROC to measure value creation performance, in terms of microcosmic level, it assesses some bank branch, and with regard to macrocosmic level, it assesses China’s 12 national commercial banks. The results show that before 2005, there is bank value distroy. Analyzing from the gross of value creation, state-controlled commercial banks are the main force of China’s bank value creation. Seen from the efficiency of economic capital value creation, the twelve national commercial banks can be divided into three levels.Economic capital management is not an isolate system. Whether it could better creat valuation needs to the effectively support of relatived environment. For banks to effectively apply economic capital management, cultivating the value creation oriented strategic idea of economic capital management is the key point. Building the economic capital management system with clear layer classification, specific responsibility and efficient information communication is the institutional guarantee for banks’effective economic capital management. Compared with pyramid institutional structure, matrix institutional structure is more helpful for the effective implement of bank economic capital management.更多还原