基于RAROC波动的四大行经济资本配置效率分析  

Research on the Economic Capital Allocation Efficiency of Four Major Commercial Banks in China Based on RAROC

作　　者：付英俊[1] FU Yingjun(Hubei Branch of China Construction Bank,Wuhan Hubei 430024,China)

机构地区：[1]中国建设银行湖北省分行,湖北武汉430024

出　　处：《金融理论与教学》2023年第4期60-64,93,共6页Finance Theory and Teaching

摘　　要：资本是商业银行经营和发展中的核心问题之一,资本管理效率的高低直接关系到商业银行的盈利能力和安全性。经济资本配置是商业银行经营管理的重要一环,科学有效的资本配置能提升商业银行的风险管理能力和盈利能力,使商业银行风险与收益相匹配。以中国银行、农业银行、工商银行、建设银行四大系统重要性银行为样本,基于RAROC波动分析对其经济资本配置效率进行了实证检验。最后,针对实证分析的结论,提出提高我国四大商业银行经济资本配置效率的政策建议。Capital is one of the core issues in the operation and development of commercial banks,and the efficiency of capital management is directly related to the profitability and security of commercial banks.Economic capital allocation is an important part of commercial bank management,and scientific and effective capital allocation can enhance the risk management and profitability of commercial banks,matching their risks and returns.This paper takes four systemically important banks,namely Bank of China,Agricultural Bank of China,Industrial and Commercial Bank of China,and China Construction Bank,as samples and conducts empirical testing on the economic capital allocation efficiency based on RAROC volatility analysis.Finally,based on the conclusions of empirical analysis,policy recommendations are proposed to improve the economic capital allocation efficiency of four major commercial banks in China.

关 键 词：RAROC 经济资本配置 预期损失 

分 类 号：F724.6[经济管理—产业经济]