Research On The Value-Based Management Of Commercial Banks From The View Of Economical Capital

Since the1970s in the twentieth Century, along with the financial globalization and the rapid development of capital markets, the revolution of shareholder value has arisen quietly and value management has drawn more and more attention. At the same time, financial liberalization, financial innovation and sharp fluctuations of the macroeconomic situation brought sharp increase of risk to banks. The new Basel capital agreement further strengthened the bank’s capital constraints. These management environment change makes banks could well balance risk, the value based management (VBM) of the relationship between capital and revenue has increasingly become the basis and the main axle of banks’ operation and management. This paper studies from the angle of economic capital, using the combination of normative analysis and empirical analysis, research deeply on how to implement the bank value maximization through economic capital management and how to build the economic capital management as the core value management system.Using economic capital as the core of the value management system can effectively achieve the goal of inherent unify of risk, capital and income. Different from the general enterprises, banks is inherently operating risk and risk will produce losses, which is lagging behind. Therefore, bank value management system could not only consider the current yield and operating costs, but also considers the important risk factor. As a scientific quantitative tool of measuring the size of the commercial bank’s risk, economic capital can be used as the core elements of the value management. Based on economic capital, RAROC and EVA can effectively achieve the bank value maximization through the economic capital calculation, the optimal allocation of economic capital, the performance measurement of the economic capital.Economic capital measurement is the premise of value management which realized by economic capital. Whether the optimal allocation of economic capital, or economic capital performance measurement requires precise measurement results of economic capital. This paper which works on the base of the mainstream of the mature markets’ credit risk economic capital measurement model, giving full consideration to the limited Chinese market data support, has carried on the Chinese custom-made to CreditMetrics model, and uses the Mento Carlo simulation method to measure portfolio economic capital based on industry database for correlation analysis. The results show that when the confidence level is higher, the economic capital measurement result is highly sensitive to the confidence level.Economic capital optimization allocation can guide the reasonable layout of the resources and is the engine and crux of driving the bank value maximization. The paper constructs the objective function of bank’s RAROC maximization.At the same timeit usesthe total business plan, amount of economic capital can be allocated, and various business line scale interval as constraint conditions, using mathematical programming method to construct optimal allocation model, solves the problem of the economic capital optimization allocation based value creation.Economic capital is not only the test of the economic capital allocation effect, but also provides reference for the optimal allocation of economic capital. This paper constructs the EVA performance evaluation model based on the economic capital, and calculates the economic capital performance based on the public data of Chinese listed banks. This paper also carries on the comparison and analysis of ROE, EVA index under the perspective of economic capital and traditional financial, and proves that the economic capital under the perspective of EVA has higher relevance with market value.Finally, the paper summarizes the advanced experience of domestic and international bank value management implementation based on the analysis of the overall framework of commercial bank value management (VBM), and proposes that the commercial bank should implement VBM system through three stages of primary, intermediate and advanced, combining with the present situation of Chinese commercial banks’ risk measurement and management accounting management.