基于一致性原理我国商业银行经济资本配置策略

【Abstract】wWw.shuoshilunwen.com The outbreak of the U.S. subprime mortgage crisis and its influence to the global economy demonstrate the importance of economic capital management in commercial banks. China’s commercial banks need to speed up the progress of the research on the method of this aspect. Therefore, this paper takes the efficient approach of risk capital allocation as the central element. This field of research is still in the initial stage at home and abroad, and this paper takes China’s commercial banks as the main object of study.Economic capital allocation is directly related to the allocation of scarce resource--bank capital, and it is the key to realize value creation for commercial banks. The dissertation first made a comprehensive presentation of the content and requirements of economic capital allocation. Then, based on the abroad and domestic literature, the dissertation completely and systematically put forward coherent capital allocation of China’s commercial banks, making capital allocation between head office and branches of commercial banks scientifically and quantitatively. By analyzing the dynamic system of risk capital allocation, this paper introduce the Shaply value into coherent risk capital allocation to calculate the risk contribution of assets of each branch, then establish optimization model from the perspective of overall optimal and solve it, ultimately determine the branches’capital limits. Based on the theoretical narration, this paper had made a combination of Creditrisk+ and coherent risk capital allocation to prove that methods of coherent allocation should be applicable for our banking practice.Coherent economic capital allocation approach is an important component of commercial banks’economic capital management system. Such allocation methods, limits constrained optimal loan decision and after loan parameters adjustment make supplement for each other and mutually constitute the dynamic economic capital allocation.However, the extensive use in China’s commercial banks still needs further research, from the following two respects:one is to improve the role of the commercial banks’environment for coherent allocation; the other is to broaden the scope of the applications of coherent allocation