基于RAROC的银行表内资产转让定价决策研究  

RAROC Based Research on the Pricing Decision Involved in the Transfer of Bank Assets

作　　者：孙岩[1] 汪翀[2,3] 

机构地区：[1]西南财经大学工商管理学院 [2]西南财经大学会计学院 [3]中国银行四川省分行

出　　处：《国际金融研究》2011年第10期73-79,共7页Studies of International Finance

摘　　要：巴塞尔协议Ⅲ的推出,进一步提高了商业银行的资本要求,对有限的资本进行优化配置,是商业银行提高经营绩效的核心。针对我国商业银行以表内资产收益为主要利润来源这一现实,本文提出了优化经济资本配置的一个重要手段就是加速表内资产的流动,这种流动必然涉及到表内资产的转让和定价问题。本文结合巴塞尔协议内部评级法,以风险调整后的资本收益率RAROC为基础,建立一个关于表内资产转让的保留价格模型,并辅之以其他定性定量指标,以此作为商业银行表内资产转让的定价决策参考。The introduction of Basel III enhanced the capital requirements for banks. As a result, optimizing the allocation of limited capital is core for a bank to improve its operating performance. In consideration of the fact that banks in China take the on-balance-sheet assets as the main source of profit, this paper believes that an important way to optimize economic capital allocation is to accelerate the flow of on-balance-sheet assets, which will inevitably involve the transfer of onbalance-sheet assets and the pricing of these assets. In the environment of market economy, the pricing process will be the most critical link. This paper will adopt the IRB Basel II, and take risk-adjusted return on capital RAROC as a basis to establish a model on the pricing of on-balance-sheet assets, and make it a reference for the decision-making process related to the transfer of bank assets.

关 键 词：经济资本 RAROC 资产转让 定价 

分 类 号：F831[经济管理—金融学]