中小银行风险管理研究
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摘要
随着我国金融改革的推进,特别是近年来,中小银行得到了快速发展,已经成为我国金融体系和国民经济中不可忽视的重要力量。在银行业竞争日益激烈和由美国次贷危机引起的全球经济危机的双重背景下,中小银行面临着巨大的挑战和威胁。中小银行的风险管理得到了前所未有的关注,本文重点研究如何通过资产组合优化、资本管理和绩效管理提高中小银行风险管理的水平,主要研究成果概括如下:
第一,建立了基于内部风险控制和监管风险要求双重约束框架下的银行资产组合优化模型。内部风险限制包括经济资本限制和银行内部风险管理规定的其它数量限制。将这些约束条件引入到资产组合模型,有利于控制风险,同时保证了组合优化策略的合法性与实效性。模型采用一致性风险量度——条件风险价值计量经济资本,并用一组线性约束近似地表示CVa限制。对模型中损失函数涉及的贷款市场价格重新定义为贷款未来现金流的贴现值与贷款名义本金的比率,并结合示例说明了其期望值的算法。CVaR R
第二,本文基于博弈论中可转移效用分配的合作博弈理论,用值法研究经济资本的分配。这种方法将银行的业务线和分支机构视为博弈的局中人,将经济资本视为可转移效用。在分析了经济资本配置难点的基础上,本文给出了值法配置经济资本的步骤并结合示例进行了说明,通过合理性分析以及与其它方法配置结果的对比分析,论证了值法分配经济资本的合理性和可行性。最后,证明了基于一致性的风险量度期望短缺的?值法是一致性的经济资本分配方法。
第三,通过对某商业银行绩效考核方案实例的介绍和评析,对中小商业银行绩效管理中存在的问题进行了分析评价。针对这些问题,本文提出了RAROC考核方案,并构思了实施方案的准备和技术细节。针对中小银行在现有条件下无法获得违约概率、违约损失率等数据的现状,提出了用变通方法进行预期损失和经济资本计算。对贷款预期损失的计量,提出以贷款质量五级分类为基础,利用迁移模型(Migration Model)和现金流贴现模型(Discounted Cash Flow)结合的方式计量。
Since the reform of Chinese Banking system, especially in recent years, the small-medium banks(SMBS) develop rapidly and have become an important strength that can’t be neglected in our financial system and national economy. Under the double background of the intensifying competition in Chinese banking industry and current world economic crisis induced by the subprime crisis in US, the SMBS are facing serious challenge and threat. The risk management of SMBS is gaining more concerns than ever before. This dissertation focuses on how to improve the ability of SMBS in risk management, especially in such fields as portfolio optimization, performance measure and capital management. The core and achievements of this dissertation can be generalized as follows:
Firstly, a portfolio optimization model is constructed, under the constraints of both internal risk constraints and the supervisory requirement. The internal risk constraints consist of economic capital limit and other value limits in bank’s internal risk control. The constraints make the optimization strategy derived from the model not only reasonable but also applicable. Economic capital limit is formulated with conditional value-at-risk( ), a Coherent Risk Measure. The constraint in the model is approximated with a set of linear functions. The market price of loans involved in the loss function is redefined as the ratio of present value of future cash flow to the loan, calculation of its expectation is showed with an example. CVaR CVaR
Secondly, based on the cooperative game in game theory, ? -value is used to study economic capital allocation. In this method, the business lines and branches of bank are regarded as players in the game, the economic capital is considered as transferable utility. The dissertation discusses the difficulty in capital allocation and the steps in allocating economic capital with? -value. Then an example is given to so how it works. Analysis and Compare between different allocation methods show that ? -value is a proper allocation method. Then, the proof that ? -value is a coherent capital allocation is presented.
Finally, this dissertation summarizes the main problems in performance measure of SMBS with a true performance measure plan. Then an alternative performance measure plan based on RAROC is proposed to solve the problems above, the details of which are discussed. This dissertation introduces alternative ways to determine the expected loss and the economic capital, for lack of data of Possibility of Default(PD) and Loss Given Default(LGD) and their floatation. The expected loss is proposed to be calculated with Migration Model and Discounted Cash Flow Model on the basis of Five-grade loan management system.
第一,建立了基于内部风险控制和监管风险要求双重约束框架下的银行资产组合优化模型。内部风险限制包括经济资本限制和银行内部风险管理规定的其它数量限制。将这些约束条件引入到资产组合模型,有利于控制风险,同时保证了组合优化策略的合法性与实效性。模型采用一致性风险量度——条件风险价值计量经济资本,并用一组线性约束近似地表示CVa限制。对模型中损失函数涉及的贷款市场价格重新定义为贷款未来现金流的贴现值与贷款名义本金的比率,并结合示例说明了其期望值的算法。CVaR R
第二,本文基于博弈论中可转移效用分配的合作博弈理论,用值法研究经济资本的分配。这种方法将银行的业务线和分支机构视为博弈的局中人,将经济资本视为可转移效用。在分析了经济资本配置难点的基础上,本文给出了值法配置经济资本的步骤并结合示例进行了说明,通过合理性分析以及与其它方法配置结果的对比分析,论证了值法分配经济资本的合理性和可行性。最后,证明了基于一致性的风险量度期望短缺的?值法是一致性的经济资本分配方法。
第三,通过对某商业银行绩效考核方案实例的介绍和评析,对中小商业银行绩效管理中存在的问题进行了分析评价。针对这些问题,本文提出了RAROC考核方案,并构思了实施方案的准备和技术细节。针对中小银行在现有条件下无法获得违约概率、违约损失率等数据的现状,提出了用变通方法进行预期损失和经济资本计算。对贷款预期损失的计量,提出以贷款质量五级分类为基础,利用迁移模型(Migration Model)和现金流贴现模型(Discounted Cash Flow)结合的方式计量。
Since the reform of Chinese Banking system, especially in recent years, the small-medium banks(SMBS) develop rapidly and have become an important strength that can’t be neglected in our financial system and national economy. Under the double background of the intensifying competition in Chinese banking industry and current world economic crisis induced by the subprime crisis in US, the SMBS are facing serious challenge and threat. The risk management of SMBS is gaining more concerns than ever before. This dissertation focuses on how to improve the ability of SMBS in risk management, especially in such fields as portfolio optimization, performance measure and capital management. The core and achievements of this dissertation can be generalized as follows:
Firstly, a portfolio optimization model is constructed, under the constraints of both internal risk constraints and the supervisory requirement. The internal risk constraints consist of economic capital limit and other value limits in bank’s internal risk control. The constraints make the optimization strategy derived from the model not only reasonable but also applicable. Economic capital limit is formulated with conditional value-at-risk( ), a Coherent Risk Measure. The constraint in the model is approximated with a set of linear functions. The market price of loans involved in the loss function is redefined as the ratio of present value of future cash flow to the loan, calculation of its expectation is showed with an example. CVaR CVaR
Secondly, based on the cooperative game in game theory, ? -value is used to study economic capital allocation. In this method, the business lines and branches of bank are regarded as players in the game, the economic capital is considered as transferable utility. The dissertation discusses the difficulty in capital allocation and the steps in allocating economic capital with? -value. Then an example is given to so how it works. Analysis and Compare between different allocation methods show that ? -value is a proper allocation method. Then, the proof that ? -value is a coherent capital allocation is presented.
Finally, this dissertation summarizes the main problems in performance measure of SMBS with a true performance measure plan. Then an alternative performance measure plan based on RAROC is proposed to solve the problems above, the details of which are discussed. This dissertation introduces alternative ways to determine the expected loss and the economic capital, for lack of data of Possibility of Default(PD) and Loss Given Default(LGD) and their floatation. The expected loss is proposed to be calculated with Migration Model and Discounted Cash Flow Model on the basis of Five-grade loan management system.
引文
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