商业银行基于RAROC的资本预算方法研究  

Study on the RAROC Based Capital Budgeting Approach of Commercial Banks

作　　者：刘晓锋[1] 黄文凡 黄建[1] 

机构地区：[1]中国人民银行金融研究所,北京100800 [2]中信证券资本市场部,北京100125

出　　处：《浙江金融》2016年第2期36-43,共8页Zhejiang Finance

摘　　要：RAROC方法是商业银行最常用的资本预算方法,本文分析了RAROC方法应用中存在的问题,并构建了一个最低资本回报率的双因素模型,提出以经济资本作为资本预算基础,同时考虑系统性风险和特定风险的回报要求。本文通过国内16家上市银行2005-2014年的面板数据,对上述双因素模型进行了实证检验。检验结果表明,银行最低资本回报率要求同时受股权资本成本和特定风险水平影响,且与特定风险水平正相关。本文的研究发现为国内商业银行改进资本预算方法、优化资源配置提供了新思路。RAROC is the most popular approachincommercial bank＇s capital budgetingpractice. This article reviewsthe main problems of RAROC approach, and develops a modifiedtwo-factor model for the hurdle rate, which coordinateshareholder＇s equity and economic capital, and compensate for both the systematic risk and total risk. We use a panel dataconsist of 16 listed domestic banks range from 2005 to 2014 to test our model, and the empirical result give perfect support.This findings is useful for the commercial bank to improve its capital budgeting system, and enhance the capital allocationefficiency.

关 键 词：资本预算 RAROC 最低资本回报率 双因素模型 

分 类 号：F830.2[经济管理—金融学]