Research On Methodology And Models Of Market Risk Economic Capital Measurement And Allocation For Commercial Bank

Risk management is an important factor for the sound operation of commercial banks.Bank regulators and bankers realize that capital is not only an important tool to evaluate and guard against risks,but also to create benefit to banks through the effective management.In the past,the business model of commercial banks based on credit business and the researches of scholars mainly focus on the credit risk capital management.In the context of financial globalization,the business structure of commercial banks is transforming from credit business to financial market business gradually,so that capital management in market risk area is becoming a realistic problem.This dissertation analyzes the risk characteristics of financial markets,establishes the methodology framework and models of market risk economic capital measurement and allocation,with the requirements of the market risk regulatory capital,and presents a case study to validate the framework and models.The main works of the dissertation are as following:First,this dissertation raises the new question that “how does a commercial bank measure and allocate their market risk economic capital from the synergy management of dual perspectives,which content both internal management and external regulation”.The research on market risk economic capital measurement and allocation is different from the previous researches on credit risk,and based on the risk characteristics of financial markets.Secondly,the dissertation reveals the general rule that the measurement and allocation methodology and models of market risk economic capital develops with the spiral rising of risk management.And it proposes the methodology framework of market risk economic capital measurement and allocation,including the analyses of the problem and factors,the selection of model variables and parameters,the establishment of mathematic models,the solution and application of models,etc..Thirdly,the dissertation focuses on the core part of the methodology framework-the models of the market risk economic capital measurement and allocation.By using the theories of financial cost management and credit risk capital allocation for reference,it establishes three general models for market risk economic capital measurement and allocation,and does the comparative analyses on model and their variables by scenario analyses and optimization method.The application scope of three general models covers most commercial banks across the different scales,the different risk management abilities,and the different requirements of economic capital management.Fourthly,the dissertation presents that market risk economic capital should be allocated from the synergy management of dual perspectives of the internal risk management and external regulatory compliance.As well as defining both the narrow and broad unification of regulatory and economic capital,it establishes three specific models,compares their characteristics,and analyzes their applicability to the large and medium-sized Chinese commercial banks.Fifthly,the dissertation presents a real case of the large Chinese commercial bank to validate the framework and models,and reflects the theoretical research value in practice.