欧美商业银行经济资本管理研究
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摘要
20世纪70年代以来，随着金融全球化和自由化进程的不断推进，全球金融业跨国发展，金融活动按全球统一规则运行，同质的金融资产价格趋于等同，巨额国际资本通过金融中心在全球范围内迅速运转，从而形成全球一体化的趋势。金融业务、金融政策在世界各国、各地区相互渗透和扩张、相互竞争和制约，形成了密切联系、统一的全球金融整体格局
金融全球化同经济全球化一样，是一把双刃剑，在带来积极作用的同时也会产生消极的影响。积极的作用表现为金融全球化推动国际贸易和国际投资的发展，由此带来全球经济的高速增长。消极作用主要表现在加深了金融虚拟化程度，滋生了过度投机和经济泡沫。加快金融危机在全球范围内的传递，增加了国际金融体系的脆弱性。金融全球化的背景下商业银行面临越来越多的风险。如1992年意大利里拉和英镑大幅贬值；1994年墨西哥比索汇率狂跌；1995年英国巴林银行倒闭；1997年东南亚金融危机；2008年美国次贷危机引发全球金融危机。这充分说明，在以金融资本国际化为突出特征的金融全球化浪潮中，金融风险比过去任何历史时期都加大加重了。
上世纪90年代，美洲银行业率先实施经济资本管理。90年代后期，巴克莱银行、JP摩根和花旗银行等欧美商业银行都在不同程度上实施了经济资本管理。进入21世纪，欧美商业银行在整合数据、改进算法的基础上，实现了经济资本在全球范围的推广应用，并逐步使之成为战略决策的一项重要依据，建立了一套激励约束机制，使得风险管理和价值创造有机地结合起来，有效地促进了银行价值的提升。我国商业银行逐渐接受以资本约束为核心的风险管理理念，逐步把经济资本管理理念的引入我国商业银行管理中。目前，我国商业银行经济资本管理集中于工、农、中、建等大型国有商业银行，这些银行积极探索和逐步引入经济资本管理方法，进一步提升了银行管理水平。但是与欧美商业银行的先进实践相比，我国商业银行经济资本管理在计量、配置和绩效评估方面还存在一定的差距。
我国在金融全球化浪潮中不断走向开放，我国商业银行能否安全稳健运行及可持续发展，将显得尤为重要。随着我国金融银行业的全面开发，我国的政策保护将逐渐减弱。同时在全球范围内高速流动和转移的国际资本也加大了银行面临的风险。因此，我国商业银行研究和借鉴国际银行业的先进管理经验，构建和完善一整套与欧美商业银行先进实践相一致的经济资本管理体系，提升我国商业银行风险管理水平，在目前金融全球化的背景下具有长远的意义。我国银行业要在世界金融舞台上立稳脚跟并获得长足发展，就必须借鉴国际同业的成功经验，通过实施经济资本管理，实现全面风险管理，建立长效风险管理机制，并完善激励约束机制，进而增强其核心竞争力。
在此背景下，本论文在界定经济资本概念、梳理相关理论、回顾经济资本管理的演进历程基础上，重点分析欧美商业银行经济资本计量、经济资本配置和绩效评估体系等关键问题。在结合我国经济资本管理实践情况的基础上，旨在提出建设符合我国国情的经济资本管理体系的理论意义，这对我国银行实施经济资本管理以增强抵御风险能力具有重要的现实意义和深远的战略意义。
文章共分九个部分。第1章导论部分主要介绍研究的目的和意义、研究现状、研究内容方法等，其中研究文献不仅介绍学术研究机构的研究成果，还将介绍国内外监管机构，如巴塞尔委员会及中国银监会关于经济资本的研究成果及监管要求；第2章主要解释经济资本的基本知识，包括经济资本定义、经济资本与监管资本及可用资本的关系、经济资本管理概念及其主要内容、经济资本管理流程、以及经济资本管理作用等。通过经济资本产生背景的介绍，阐述经济资本管理作为现代风险管理的重要工具，在其管理流程中实现了风险管理与资本管理的统一，对传统风险管理理念的提升产生了重大的影响；第3章主要对经济资本管理的相关理论进行阐述，主要包括风险在值（VAR）理论、莫顿（Merton）理论、蒙特卡洛模拟理论、以及组合最优化规划配置理论等。第2章和第3章是经济资本计量、配置和绩效评估的理论基础；第4章介绍欧美商业银行经济资本管理演进历程。梳理欧美商业银行经济资本管理演进历程，结合巴塞尔委员会协议的发展进行总结与归纳，将欧美商业银行经济资本管理演进历程分为萌芽、成长、发展和转型等四个阶段；第5、6、7章分别介绍欧美商业银行经济资本计量、经济资本配置，以及经济资本绩效评估三方面的管理现状，在每章最后一节总结其先进性及存在的主要问题，是本论文的核心内容；第8章是本文重点。基于目前金融全球化的背景，结合我国商业银行业务特点，提出我国商业银行经济资本存在的主要问题，提出建设符合我国商业银行特点的经济资本管理体系的建议；最后对研究成果进行了总结。
Since the1970s, with the continuous progress of finance globalization and liberation process, the global financial industry develop cross-borderline, financial activities run harmonized rules globally, the homogeneity financial asset prices tend to equate, huge international capital rapid operates worldwide, to form the trend of globalization. Every countries and regions interact with each other in the financial business, financial policy and coordination, mutual penetration and expansion, compete with each other and the constraints have been developed to a certain level, and thus make the global financial forming a closely indivisible whole.
Economy globalization and finance globalization both have positive and negative effects. Positive effects are to promote economic growth according to promoting the development of international trade and investment. Negative effects are to speed finance virtualization, speculation and the bubble economy. The financial crisis transfers faster and faster, the international financial system become more vulnerable. With the development of financial globalization, commercial banks faces more and more risks, such as Italian lira and the British pound suffered impact in1992, the Mexican financial crisis in1994, the British Barings Bank speculative missed cause bank failures in1995, the Southeast Asian financial crisis in1997, as well as the U.S. financial crisis in2008. This fully shows that financial risk becomes more serious than those of any previous historical period.
In the1990s, America Banking took the lead in the implementation of economical capital management. And then Barclays, JP Morgan and Citibank implemented economical capital management in varying degrees. At the beginning of the21st century, with the basis of integrating data and improving the algorithm, European and American banks promoted the application of the economical capital on a global scale, and gradually become an important basis for strategic decisions, and to establish a set of incentive and restraint mechanisms, making risk management and value creation organically combined, contribute to enhance the value of the bank. Chinese banks began to regard capital constraints as the core concept of risk management. ICBC, ABC, BOC and CCB have begun to study, explore and the gradual introduction of the economical capital management, and made great achievements. But there is still a certain gap in the implementation bottleneck progressively weakening; the design of the system is not reasonable, imperfect complementary measures.
It is especially important that whether Chinese banks can safe and sound operation and sustainable development in the awe of financial globalization. With the comprehensive development of Chinese financial and banking, the policy of protection will gradually diminish. At the same time as the international financial capital flows in the range of our domestic and global high-speed and transfer, the risk will be exacerbated. Therefore, based on the sustainable and stable development of our economy, and actively absorb and learn from the advanced management experience of international banking, and improve the core competitiveness of China's banks, as soon as possible to establish and improve a whole range of international financial sector development to adapt the financial operation of institutional mechanisms and the significance of financial risk control system, sound and sound risk control management mechanisms and means to enhance the operational efficiency of the domestic banking sector to accelerate the process of internationalization of the domestic banking sector overall, for the maintenance of the country's economic and financial security. Meanwhile, China's banking legislation on the world financial stage stable foothold and obtain rapid development, we must learn from the successful experience of international peers, through the implementation of economical capital management, and to achieve a comprehensive risk management, and the establishment of long-term risk management mechanisms, and improve the incentive constraint mechanisms, thus enhancing its core competitiveness.
In this context, the paper is in defining the concept of economical capital, combing the theory, the course of the development on the basis of the economical capital management review, focusing on the key problem of the analysis of the economical capital of the commercial banks in Europe and America, the economical capital allocation and performance assessment system. Based on the combination of the practical situation of China's economical capital management, aims to propose the construction of theoretical significance of the economical capital management system in line with China's national conditions, this has important practical significance and far-reaching strategic implementation of economical capital management bank in China to enhance the ability to resist risks.
The article is divided into nine sections. Chapter1Introduction part describes the purpose and the significance of the study. It also includes research literature not only describes the research of academic and research institutions, will also be introduced to the domestic and foreign regulatory agencies, such as the research of Basel Committee and the China Banking Regulatory Commission on the economical capital and regulatory requirements; Chapter2to explain the basic knowledge and content of the economical capital, including the concept of economical capital, economical capital management content, process and function, as well as the economical capital and traditional risk management. Introduction of the background on the economical capital economical capital management as an important tool of modern risk management, in its management processes to achieve the unity of the risk management and capital management, had a significant impact on the enhancement of the traditional concept of risk management; chapter elaborate the theory of economical capital management, including VaR theory, Merton theory, Monte Carlo simulation theory, as well as a combination of optimization planning and allocation theory. Chapters2and3is the basis of the theoretical part of the thesis, later expanded and exposition provides a strong theoretical foundation; Chapter4describes the course of development of economical capital management of commercial banks in Europe and America. Sort out the management of the development process of economical capital of commercial banks in Europe and the United States, a summary of its historical development and induction, combined with the development of the Basel Committee agreement, sprout, grow, develop, and transition management of the development process of economical capital of commercial banks in Europe and the United States is divided into four stages; Chapter5,6,7respectively measured at the economical capital of commercial banks in Europe and America, the economical capital allocation, and economical capital performance evaluation of three management status in each chapter ends with a summary of its advanced nature and problems of put forward in the implementation needs to be improved in China, is the core content of the paper; Chapter8, this article focuses, will combine the management status of Chinese banks'economical capital, innovation proposed the establishment of economical capital management system in line with the characteristics of China's commercial banks; final a summary of research results, and to develop a future research plan.
金融全球化同经济全球化一样，是一把双刃剑，在带来积极作用的同时也会产生消极的影响。积极的作用表现为金融全球化推动国际贸易和国际投资的发展，由此带来全球经济的高速增长。消极作用主要表现在加深了金融虚拟化程度，滋生了过度投机和经济泡沫。加快金融危机在全球范围内的传递，增加了国际金融体系的脆弱性。金融全球化的背景下商业银行面临越来越多的风险。如1992年意大利里拉和英镑大幅贬值；1994年墨西哥比索汇率狂跌；1995年英国巴林银行倒闭；1997年东南亚金融危机；2008年美国次贷危机引发全球金融危机。这充分说明，在以金融资本国际化为突出特征的金融全球化浪潮中，金融风险比过去任何历史时期都加大加重了。
上世纪90年代，美洲银行业率先实施经济资本管理。90年代后期，巴克莱银行、JP摩根和花旗银行等欧美商业银行都在不同程度上实施了经济资本管理。进入21世纪，欧美商业银行在整合数据、改进算法的基础上，实现了经济资本在全球范围的推广应用，并逐步使之成为战略决策的一项重要依据，建立了一套激励约束机制，使得风险管理和价值创造有机地结合起来，有效地促进了银行价值的提升。我国商业银行逐渐接受以资本约束为核心的风险管理理念，逐步把经济资本管理理念的引入我国商业银行管理中。目前，我国商业银行经济资本管理集中于工、农、中、建等大型国有商业银行，这些银行积极探索和逐步引入经济资本管理方法，进一步提升了银行管理水平。但是与欧美商业银行的先进实践相比，我国商业银行经济资本管理在计量、配置和绩效评估方面还存在一定的差距。
我国在金融全球化浪潮中不断走向开放，我国商业银行能否安全稳健运行及可持续发展，将显得尤为重要。随着我国金融银行业的全面开发，我国的政策保护将逐渐减弱。同时在全球范围内高速流动和转移的国际资本也加大了银行面临的风险。因此，我国商业银行研究和借鉴国际银行业的先进管理经验，构建和完善一整套与欧美商业银行先进实践相一致的经济资本管理体系，提升我国商业银行风险管理水平，在目前金融全球化的背景下具有长远的意义。我国银行业要在世界金融舞台上立稳脚跟并获得长足发展，就必须借鉴国际同业的成功经验，通过实施经济资本管理，实现全面风险管理，建立长效风险管理机制，并完善激励约束机制，进而增强其核心竞争力。
在此背景下，本论文在界定经济资本概念、梳理相关理论、回顾经济资本管理的演进历程基础上，重点分析欧美商业银行经济资本计量、经济资本配置和绩效评估体系等关键问题。在结合我国经济资本管理实践情况的基础上，旨在提出建设符合我国国情的经济资本管理体系的理论意义，这对我国银行实施经济资本管理以增强抵御风险能力具有重要的现实意义和深远的战略意义。
文章共分九个部分。第1章导论部分主要介绍研究的目的和意义、研究现状、研究内容方法等，其中研究文献不仅介绍学术研究机构的研究成果，还将介绍国内外监管机构，如巴塞尔委员会及中国银监会关于经济资本的研究成果及监管要求；第2章主要解释经济资本的基本知识，包括经济资本定义、经济资本与监管资本及可用资本的关系、经济资本管理概念及其主要内容、经济资本管理流程、以及经济资本管理作用等。通过经济资本产生背景的介绍，阐述经济资本管理作为现代风险管理的重要工具，在其管理流程中实现了风险管理与资本管理的统一，对传统风险管理理念的提升产生了重大的影响；第3章主要对经济资本管理的相关理论进行阐述，主要包括风险在值（VAR）理论、莫顿（Merton）理论、蒙特卡洛模拟理论、以及组合最优化规划配置理论等。第2章和第3章是经济资本计量、配置和绩效评估的理论基础；第4章介绍欧美商业银行经济资本管理演进历程。梳理欧美商业银行经济资本管理演进历程，结合巴塞尔委员会协议的发展进行总结与归纳，将欧美商业银行经济资本管理演进历程分为萌芽、成长、发展和转型等四个阶段；第5、6、7章分别介绍欧美商业银行经济资本计量、经济资本配置，以及经济资本绩效评估三方面的管理现状，在每章最后一节总结其先进性及存在的主要问题，是本论文的核心内容；第8章是本文重点。基于目前金融全球化的背景，结合我国商业银行业务特点，提出我国商业银行经济资本存在的主要问题，提出建设符合我国商业银行特点的经济资本管理体系的建议；最后对研究成果进行了总结。
Since the1970s, with the continuous progress of finance globalization and liberation process, the global financial industry develop cross-borderline, financial activities run harmonized rules globally, the homogeneity financial asset prices tend to equate, huge international capital rapid operates worldwide, to form the trend of globalization. Every countries and regions interact with each other in the financial business, financial policy and coordination, mutual penetration and expansion, compete with each other and the constraints have been developed to a certain level, and thus make the global financial forming a closely indivisible whole.
Economy globalization and finance globalization both have positive and negative effects. Positive effects are to promote economic growth according to promoting the development of international trade and investment. Negative effects are to speed finance virtualization, speculation and the bubble economy. The financial crisis transfers faster and faster, the international financial system become more vulnerable. With the development of financial globalization, commercial banks faces more and more risks, such as Italian lira and the British pound suffered impact in1992, the Mexican financial crisis in1994, the British Barings Bank speculative missed cause bank failures in1995, the Southeast Asian financial crisis in1997, as well as the U.S. financial crisis in2008. This fully shows that financial risk becomes more serious than those of any previous historical period.
In the1990s, America Banking took the lead in the implementation of economical capital management. And then Barclays, JP Morgan and Citibank implemented economical capital management in varying degrees. At the beginning of the21st century, with the basis of integrating data and improving the algorithm, European and American banks promoted the application of the economical capital on a global scale, and gradually become an important basis for strategic decisions, and to establish a set of incentive and restraint mechanisms, making risk management and value creation organically combined, contribute to enhance the value of the bank. Chinese banks began to regard capital constraints as the core concept of risk management. ICBC, ABC, BOC and CCB have begun to study, explore and the gradual introduction of the economical capital management, and made great achievements. But there is still a certain gap in the implementation bottleneck progressively weakening; the design of the system is not reasonable, imperfect complementary measures.
It is especially important that whether Chinese banks can safe and sound operation and sustainable development in the awe of financial globalization. With the comprehensive development of Chinese financial and banking, the policy of protection will gradually diminish. At the same time as the international financial capital flows in the range of our domestic and global high-speed and transfer, the risk will be exacerbated. Therefore, based on the sustainable and stable development of our economy, and actively absorb and learn from the advanced management experience of international banking, and improve the core competitiveness of China's banks, as soon as possible to establish and improve a whole range of international financial sector development to adapt the financial operation of institutional mechanisms and the significance of financial risk control system, sound and sound risk control management mechanisms and means to enhance the operational efficiency of the domestic banking sector to accelerate the process of internationalization of the domestic banking sector overall, for the maintenance of the country's economic and financial security. Meanwhile, China's banking legislation on the world financial stage stable foothold and obtain rapid development, we must learn from the successful experience of international peers, through the implementation of economical capital management, and to achieve a comprehensive risk management, and the establishment of long-term risk management mechanisms, and improve the incentive constraint mechanisms, thus enhancing its core competitiveness.
In this context, the paper is in defining the concept of economical capital, combing the theory, the course of the development on the basis of the economical capital management review, focusing on the key problem of the analysis of the economical capital of the commercial banks in Europe and America, the economical capital allocation and performance assessment system. Based on the combination of the practical situation of China's economical capital management, aims to propose the construction of theoretical significance of the economical capital management system in line with China's national conditions, this has important practical significance and far-reaching strategic implementation of economical capital management bank in China to enhance the ability to resist risks.
The article is divided into nine sections. Chapter1Introduction part describes the purpose and the significance of the study. It also includes research literature not only describes the research of academic and research institutions, will also be introduced to the domestic and foreign regulatory agencies, such as the research of Basel Committee and the China Banking Regulatory Commission on the economical capital and regulatory requirements; Chapter2to explain the basic knowledge and content of the economical capital, including the concept of economical capital, economical capital management content, process and function, as well as the economical capital and traditional risk management. Introduction of the background on the economical capital economical capital management as an important tool of modern risk management, in its management processes to achieve the unity of the risk management and capital management, had a significant impact on the enhancement of the traditional concept of risk management; chapter elaborate the theory of economical capital management, including VaR theory, Merton theory, Monte Carlo simulation theory, as well as a combination of optimization planning and allocation theory. Chapters2and3is the basis of the theoretical part of the thesis, later expanded and exposition provides a strong theoretical foundation; Chapter4describes the course of development of economical capital management of commercial banks in Europe and America. Sort out the management of the development process of economical capital of commercial banks in Europe and the United States, a summary of its historical development and induction, combined with the development of the Basel Committee agreement, sprout, grow, develop, and transition management of the development process of economical capital of commercial banks in Europe and the United States is divided into four stages; Chapter5,6,7respectively measured at the economical capital of commercial banks in Europe and America, the economical capital allocation, and economical capital performance evaluation of three management status in each chapter ends with a summary of its advanced nature and problems of put forward in the implementation needs to be improved in China, is the core content of the paper; Chapter8, this article focuses, will combine the management status of Chinese banks'economical capital, innovation proposed the establishment of economical capital management system in line with the characteristics of China's commercial banks; final a summary of research results, and to develop a future research plan.
引文
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③Michael K. Ong. Internal Credit Risk Models:Capital Allocation and Performance Measurement. Risk Books.2000.
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①. Schroeck G. Risk Management and Value Creation in Financial Institions.John Wiley&Sons.2002:15-202.
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