经济资本配置在我国商业银行的应用研究
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摘要
经济和金融全球化的不断深入、信息技术的飞速发展以及近50年来金融理论与实践的突破创新,使得金融产品和金融市场呈现出蓬勃发展的态势。然而,日新月异的发展变化同时也造成商业银行等金融机构面临的风险因素波动日趋显著。随着我国金融机构改革日渐深入以及金融业的全面对外开放,作为我国金融体系中流砥柱的商业银行,越来越认识到健全的风险管理体系在其可持续发展过程中所具有的重要战略地位。领先的风险管理能力和水平,已成为商业银行最重要的核心竞争力。
正如国外学者所言,“风险分析的最诱人之处就是引进数学方法”。经济资本是银行内部风险评估而产生的配置给特定资产或业务用以减缓风险冲击的资本,是银行业务发展中承担风险水平的真实反映。当经济资本在数量上接近或者超过银行的实际资本时,说明银行所面临的风险水平接近或者超过其风险承受能力。这时,银行就需要补充实际资本,或者调整业务结构以降低所承担的风险总量。经济资本配置所设定的是各项业务的风险总量边界,守住这个边界才能确保银行经营的安全。这就是资本对风险管理边界的约束。
经济资本的管理应当以违约率、违约损失率等的计量为基础,真正反映非预期损失,不应把经济资本理解成财务管理的工具,也不能根据利润目标来确定经济资本总量及其配置。从巴塞尔协议和国际先进银行的实践来看,经济资本已经成为银行风险管理的有效工具,经济资本管理是解决国内银行盲目规模扩张方式的有效方法。正确地运用和驾驭资本约束功能,使得风险管理在银行经营与发展的整体背景下发挥安全保障作用,是重要而理性的战略性思维。在商业银行处理规模、发展、速度和质量等问题方面,资本、尤其是经济资本应当成为关键的纽带。在这个意义上,我们可以说,风险管理是现代商业银行的本质职能,而资本管理又是风险管理的中枢和核心。
我国商业银行经济资本管理的实践起步较晚,但发展十分迅速。从2002年中国建设银行最早推行经济资本管理、初步建立经济资本分配办法以来,中国工商银行、中国农业银行也纷纷引入经济资本管理体制,其他部分股份制商业银行如招商银行、光大银行等以及各地城市商业银行也已开始研究探索和实施经济资本管理。经过不断努力探索,我国经济资本管理实践已取得了一定的效果,但是在观念、技术和制度等层面上与国际先进银行还有相当大的差距。客观地讲,我国对于经济资本理论研究的不系统、不充分,是制约经济资本管理实践的原因之一,特别是以商业银行为主要对象,并结合我国银行业实际情况开展的深入研究还相当少。而本文写作的目的即在此,希望通过作者的探索能够为我国商业银行经济资本管理工作的发展与完善提供有益参考。
本文首先对经济资本配置的相关理论等进行系统的介绍,然后运用优化方法构造了旨在实现资本约束下银行价值最大化的经济资本配置模型,并搭建起进行现实操作的基本框架。在借鉴国际活跃银行先进经验的基础上,结合我国已有的实践,以我国某国有商业银行的真实数据为样本,对目前经济资本配置在我国可能的应用领域进行实证分析,最终为促进经济资本配置在我国的应用提供兼具可行性和针对性的建议。全文分为7章,主要内容安排如下：
第1章：导论。这部分主要介绍研究背景,包括问题的提出、文献回顾、研究内容、技术路线、可能的创新与不足等。
第2章：经济资本配置的相关理论分析。首先回顾商业银行风险管理的演进历史、比较各阶段的特点,指出经济资本管理是商业银行风险管理的高级阶段；然后介绍经济资本的内涵和计量经济资本的三大方法；最后回顾了银行价值衡量指标的发展过程,引入经济资本管理的核心指标经济增加值(EVA)和风险调整资本收益率(RAROC).
第3章：基于RAROC的经济资本配置模型及管理框架。本章首先构造了经济资本配置模型,探讨在给定经济资本总量低于最佳经济资本总量的情况下,如何通过调整不同债项(即业务单元)的经济资本,实现组合RAROC的最大化；然后从模型出发,说明了经济资本配置原则在存量管理和增量规划的运用；最后从内容、模式和流程等方面阐述了经济资本配置的基本框架。
第4章：国外商业银行经济资本管理的实践与启示。首先简单介绍了经济资本管理在西方先进商业银行的发展情况,并以美洲银行为例介绍商业银行经济资本配置的实践,最后通过对国外经济资本配置实践的分析,按照从特殊到一般的思路,总结出对我国经济资本应用的启示。
第5章：我国商业银行经济资本管理的实践。本章首先结合外部竞争环境和内部管理需要分析我国商业银行实施经济配置的必要性,指出进行经济资本的有效配置是解决我国商业银行资本困境的重要手段；然后介绍我国商业银行在经济资本配置方面的实践,肯定已取得的阶段性成效,同时分析了目前存在的主要问题、尤其是经济资本应用方面的障碍。
第6章：我国商业银行经济资本配置的实证分析。以我国某国有商业银行二级分行2007年度对公贷款组合的真实数据为样本,运用蒙特卡洛模拟法及经济资本配置模型从资本预算管理、行业风险限额管理、信贷资产组合管理、贷款定价、绩效考核及财务资源配置等方面对经济资本配置在我国商业银行的应用进行实证研究。基于实证分析结果,对该行的经营管理提出具体建议,并从宏观层面为完善我国商业银行经济资本配置的应用提出对策。
第7章：结论与展望。本章总结了主要的研究工作和结论,展望了未来的研究方向。
With the continual deepening of economic and financial globalization, rapid development of information technology and the great breakthrough of financial theory and practice in the past50years, financial products and financial markets show a vigorous development trend. However, these great changes also make the risk commercial banks and other financial institutions faced more and more fluctuant. Many international active banks, who have already established the comprehensive finance risk management system gradually, make use of the advanced risk management technology and the information system to reduce losses created by all kinds of risks as far as possible. As Chinese reform of financial institutions deepening increasingly and financial industry opening up completely, commercial banks have been realized that sound risk management system play a strategic role in their sustainable development. Advanced risk management has become most important core competence of commercial banks.
As a foreign scholar said, introduction of mathematical methods is the most attractive respect of risk analysis. Economic capital (EC) that generated by bank internal assessment and allocated to certain business unit is to buffer risk shock, which is the true reflection of risk level the bank in. When EC is close or more than actual capital, the bank take risk excessively. At this time, banks should supplement physical capital or adjust asset structure to reduce the amount of EC.
Commercial banks should hold the border of total risk, which is set by EC, to ensure the safety of the banking business. That is the constraint of capital on risk management. EC management should be based on probability of default, loss given default and so on to reflect expect loss actually. We shouldn't consider EC as a financial management instrument or decide the total amount and allocation according to profit object. Form Basel Ⅱ and the practice of international active banks, EC has been the effective instrument for commercial banks risk management, which is a sound solution to blind expansion of domestic banks. Taking full advantage of the function of capital constraint to make risk management play an important role in the development of banks is a significant and rational strategy. When dealing with the relation among size, development, speed and quality, capital, especially the EC should become the key connection. In this sense, we can say that risk management is the essence of modern commercial banking functions, of which capital management is the central core.
EC management in Chinese commercial banks wasn't put into practice until recent years, but developed rapidly. After2002, when China Construction Bank began to introduce EC management and establish the initial capital allocation scheme, all other state-owned commercial banks and some joint-stock commercial banks, such as China Merchants Bank, China Everbright Bank, and city commercial banks have also begun to study and explore and implement EC management. Through continuous efforts to explore, EC management practices in Chinese banking industry have acquired certain achievement. However, there is still a considerable gap between our commercial banks and international advanced banks. Objectively speaking, unsystematic and insufficient study on theory of economic capital is one of the main reasons for stunting domestic development of practice. In particular, there are few empirical researches on Chinese commercial banks. So the purpose of this dissertation is to fill the gap and put forward some valuable suggestion on EC management of domestic banks.
This thesis begins with a systematic introduction of theories related to the allocation of EC, then establishes EC allocation model targeting to maximize the value of bank under the capital restraint and erects the basic framework of operation later. We pursue empirical study on the application of EC based on the physical data of corporate credit portfolio of a state-owned commercial banks' second branch. Finally we summarize and comment on the practice of domestic EC allocation, and try to provide some feasible and relevant proposals for further development combined with international experience. This paper will divide into8chapters and proceed as follows.
Chapter1:Introduction. This part presents background, problem-posing, literature review, study content, method and technique route, possible innovation and defects.
Chapter2:Theory related to the allocation of EC. At first we will review the evolution of commercial bank risk management, compare with the characteristics of every phase, and point out that EC management is the advanced stage of commercial bank risk management. Then we will introduce the connotation of EC and compare EC with book capital and regulatory capital. By dividing the loss in commercial bank, we will analyze the potential connection of EC and unexpected loss. At the end three major economic capital measurement methods will be introduced, that is coefficient method, revenue-changing method and asset-volatile method, which is used more and more.
Chapter3:Commercial bank EC allocation model. This part begins with EVA and RAROC, which are the core index of EC management. We establish Mean-VaR model based on Modern Portfolio Theory, then conclude that there is an optimal amount of EC to make RAROC maximal. Subsequently, we build the EC Allocation Model to discuses how to allocate EC to every business unit to realize the maximum of RAROC given total EC. Finally we illustrate some applications of EC allocation to stock and increment capital management.
Chapter4:The general framework for the allocation of capital economic. The decision on total amount of EC and allocation to every unit in different level constitute the main content of EC management in commercial banks. After comparing several common allocation patterns, we conclude that correspond between top and bottom may be more applicable. We illustrate fundamental framework from responsibility of relevant organizations and implement steps. And applications of EC allocation in commercial banks will be also introduced briefly.
Chapter5:Practice of commercial banks capital management in and abroad. This part will review the history of capital management in Chinese banking industry and analyze the predicament of capital and finance faced by domestic commercial banks. Considering external competition and internal management, we figure that it is necessary to implement EC management. We take the example of American Bank to recommend western commercial banks'experience in EC management and summarize the inspiration to domestic commercial banks.
Chapter6:Empirical study on Chinese commercial banks economic capital allocation. Based on the physical data of corporate credit portfolio of a state-owned commercial banks' second branch in2007, we illustrate the applications in the management of capital budget, line risk quota, credit portfolio, loan-pricing and performance measurement by means of Monte Carlo Simulation and EC Allocation Model. Through analyzing the empirical result, we will make some recommendations on the sample bank.
Chapter7:Conclusions and prospects. This chapter summarizes the main conclusions of the research work and looked to the future direction of research.
正如国外学者所言,“风险分析的最诱人之处就是引进数学方法”。经济资本是银行内部风险评估而产生的配置给特定资产或业务用以减缓风险冲击的资本,是银行业务发展中承担风险水平的真实反映。当经济资本在数量上接近或者超过银行的实际资本时,说明银行所面临的风险水平接近或者超过其风险承受能力。这时,银行就需要补充实际资本,或者调整业务结构以降低所承担的风险总量。经济资本配置所设定的是各项业务的风险总量边界,守住这个边界才能确保银行经营的安全。这就是资本对风险管理边界的约束。
经济资本的管理应当以违约率、违约损失率等的计量为基础,真正反映非预期损失,不应把经济资本理解成财务管理的工具,也不能根据利润目标来确定经济资本总量及其配置。从巴塞尔协议和国际先进银行的实践来看,经济资本已经成为银行风险管理的有效工具,经济资本管理是解决国内银行盲目规模扩张方式的有效方法。正确地运用和驾驭资本约束功能,使得风险管理在银行经营与发展的整体背景下发挥安全保障作用,是重要而理性的战略性思维。在商业银行处理规模、发展、速度和质量等问题方面,资本、尤其是经济资本应当成为关键的纽带。在这个意义上,我们可以说,风险管理是现代商业银行的本质职能,而资本管理又是风险管理的中枢和核心。
我国商业银行经济资本管理的实践起步较晚,但发展十分迅速。从2002年中国建设银行最早推行经济资本管理、初步建立经济资本分配办法以来,中国工商银行、中国农业银行也纷纷引入经济资本管理体制,其他部分股份制商业银行如招商银行、光大银行等以及各地城市商业银行也已开始研究探索和实施经济资本管理。经过不断努力探索,我国经济资本管理实践已取得了一定的效果,但是在观念、技术和制度等层面上与国际先进银行还有相当大的差距。客观地讲,我国对于经济资本理论研究的不系统、不充分,是制约经济资本管理实践的原因之一,特别是以商业银行为主要对象,并结合我国银行业实际情况开展的深入研究还相当少。而本文写作的目的即在此,希望通过作者的探索能够为我国商业银行经济资本管理工作的发展与完善提供有益参考。
本文首先对经济资本配置的相关理论等进行系统的介绍,然后运用优化方法构造了旨在实现资本约束下银行价值最大化的经济资本配置模型,并搭建起进行现实操作的基本框架。在借鉴国际活跃银行先进经验的基础上,结合我国已有的实践,以我国某国有商业银行的真实数据为样本,对目前经济资本配置在我国可能的应用领域进行实证分析,最终为促进经济资本配置在我国的应用提供兼具可行性和针对性的建议。全文分为7章,主要内容安排如下：
第1章：导论。这部分主要介绍研究背景,包括问题的提出、文献回顾、研究内容、技术路线、可能的创新与不足等。
第2章：经济资本配置的相关理论分析。首先回顾商业银行风险管理的演进历史、比较各阶段的特点,指出经济资本管理是商业银行风险管理的高级阶段；然后介绍经济资本的内涵和计量经济资本的三大方法；最后回顾了银行价值衡量指标的发展过程,引入经济资本管理的核心指标经济增加值(EVA)和风险调整资本收益率(RAROC).
第3章：基于RAROC的经济资本配置模型及管理框架。本章首先构造了经济资本配置模型,探讨在给定经济资本总量低于最佳经济资本总量的情况下,如何通过调整不同债项(即业务单元)的经济资本,实现组合RAROC的最大化；然后从模型出发,说明了经济资本配置原则在存量管理和增量规划的运用；最后从内容、模式和流程等方面阐述了经济资本配置的基本框架。
第4章：国外商业银行经济资本管理的实践与启示。首先简单介绍了经济资本管理在西方先进商业银行的发展情况,并以美洲银行为例介绍商业银行经济资本配置的实践,最后通过对国外经济资本配置实践的分析,按照从特殊到一般的思路,总结出对我国经济资本应用的启示。
第5章：我国商业银行经济资本管理的实践。本章首先结合外部竞争环境和内部管理需要分析我国商业银行实施经济配置的必要性,指出进行经济资本的有效配置是解决我国商业银行资本困境的重要手段；然后介绍我国商业银行在经济资本配置方面的实践,肯定已取得的阶段性成效,同时分析了目前存在的主要问题、尤其是经济资本应用方面的障碍。
第6章：我国商业银行经济资本配置的实证分析。以我国某国有商业银行二级分行2007年度对公贷款组合的真实数据为样本,运用蒙特卡洛模拟法及经济资本配置模型从资本预算管理、行业风险限额管理、信贷资产组合管理、贷款定价、绩效考核及财务资源配置等方面对经济资本配置在我国商业银行的应用进行实证研究。基于实证分析结果,对该行的经营管理提出具体建议,并从宏观层面为完善我国商业银行经济资本配置的应用提出对策。
第7章：结论与展望。本章总结了主要的研究工作和结论,展望了未来的研究方向。
With the continual deepening of economic and financial globalization, rapid development of information technology and the great breakthrough of financial theory and practice in the past50years, financial products and financial markets show a vigorous development trend. However, these great changes also make the risk commercial banks and other financial institutions faced more and more fluctuant. Many international active banks, who have already established the comprehensive finance risk management system gradually, make use of the advanced risk management technology and the information system to reduce losses created by all kinds of risks as far as possible. As Chinese reform of financial institutions deepening increasingly and financial industry opening up completely, commercial banks have been realized that sound risk management system play a strategic role in their sustainable development. Advanced risk management has become most important core competence of commercial banks.
As a foreign scholar said, introduction of mathematical methods is the most attractive respect of risk analysis. Economic capital (EC) that generated by bank internal assessment and allocated to certain business unit is to buffer risk shock, which is the true reflection of risk level the bank in. When EC is close or more than actual capital, the bank take risk excessively. At this time, banks should supplement physical capital or adjust asset structure to reduce the amount of EC.
Commercial banks should hold the border of total risk, which is set by EC, to ensure the safety of the banking business. That is the constraint of capital on risk management. EC management should be based on probability of default, loss given default and so on to reflect expect loss actually. We shouldn't consider EC as a financial management instrument or decide the total amount and allocation according to profit object. Form Basel Ⅱ and the practice of international active banks, EC has been the effective instrument for commercial banks risk management, which is a sound solution to blind expansion of domestic banks. Taking full advantage of the function of capital constraint to make risk management play an important role in the development of banks is a significant and rational strategy. When dealing with the relation among size, development, speed and quality, capital, especially the EC should become the key connection. In this sense, we can say that risk management is the essence of modern commercial banking functions, of which capital management is the central core.
EC management in Chinese commercial banks wasn't put into practice until recent years, but developed rapidly. After2002, when China Construction Bank began to introduce EC management and establish the initial capital allocation scheme, all other state-owned commercial banks and some joint-stock commercial banks, such as China Merchants Bank, China Everbright Bank, and city commercial banks have also begun to study and explore and implement EC management. Through continuous efforts to explore, EC management practices in Chinese banking industry have acquired certain achievement. However, there is still a considerable gap between our commercial banks and international advanced banks. Objectively speaking, unsystematic and insufficient study on theory of economic capital is one of the main reasons for stunting domestic development of practice. In particular, there are few empirical researches on Chinese commercial banks. So the purpose of this dissertation is to fill the gap and put forward some valuable suggestion on EC management of domestic banks.
This thesis begins with a systematic introduction of theories related to the allocation of EC, then establishes EC allocation model targeting to maximize the value of bank under the capital restraint and erects the basic framework of operation later. We pursue empirical study on the application of EC based on the physical data of corporate credit portfolio of a state-owned commercial banks' second branch. Finally we summarize and comment on the practice of domestic EC allocation, and try to provide some feasible and relevant proposals for further development combined with international experience. This paper will divide into8chapters and proceed as follows.
Chapter1:Introduction. This part presents background, problem-posing, literature review, study content, method and technique route, possible innovation and defects.
Chapter2:Theory related to the allocation of EC. At first we will review the evolution of commercial bank risk management, compare with the characteristics of every phase, and point out that EC management is the advanced stage of commercial bank risk management. Then we will introduce the connotation of EC and compare EC with book capital and regulatory capital. By dividing the loss in commercial bank, we will analyze the potential connection of EC and unexpected loss. At the end three major economic capital measurement methods will be introduced, that is coefficient method, revenue-changing method and asset-volatile method, which is used more and more.
Chapter3:Commercial bank EC allocation model. This part begins with EVA and RAROC, which are the core index of EC management. We establish Mean-VaR model based on Modern Portfolio Theory, then conclude that there is an optimal amount of EC to make RAROC maximal. Subsequently, we build the EC Allocation Model to discuses how to allocate EC to every business unit to realize the maximum of RAROC given total EC. Finally we illustrate some applications of EC allocation to stock and increment capital management.
Chapter4:The general framework for the allocation of capital economic. The decision on total amount of EC and allocation to every unit in different level constitute the main content of EC management in commercial banks. After comparing several common allocation patterns, we conclude that correspond between top and bottom may be more applicable. We illustrate fundamental framework from responsibility of relevant organizations and implement steps. And applications of EC allocation in commercial banks will be also introduced briefly.
Chapter5:Practice of commercial banks capital management in and abroad. This part will review the history of capital management in Chinese banking industry and analyze the predicament of capital and finance faced by domestic commercial banks. Considering external competition and internal management, we figure that it is necessary to implement EC management. We take the example of American Bank to recommend western commercial banks'experience in EC management and summarize the inspiration to domestic commercial banks.
Chapter6:Empirical study on Chinese commercial banks economic capital allocation. Based on the physical data of corporate credit portfolio of a state-owned commercial banks' second branch in2007, we illustrate the applications in the management of capital budget, line risk quota, credit portfolio, loan-pricing and performance measurement by means of Monte Carlo Simulation and EC Allocation Model. Through analyzing the empirical result, we will make some recommendations on the sample bank.
Chapter7:Conclusions and prospects. This chapter summarizes the main conclusions of the research work and looked to the future direction of research.
引文
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1本文将RAROC作为衡量银行效率的唯一指标显然不够全面,而随着人们对银行经营目标认识的进一步加深,RAROC也必然被新的标准所代替。但就目前而言,将RAROC最大化作为追求的目标是相对先进的,对树立我国商业银行的风险意识和资本意识也是有帮助的。
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