| In past more than twenty years, the most notable change in banking management is that banks have been placing more emphasis on Enterprise Risk Management which is based on risk computation and risk optimization, other than traditional asset and liability management. With the boost of shareholding reform, China Banking will face a lot of challenges from market economy circumstance, such as banking risk management, the severe competition from international top banks with advanced risk management technologies, and also the advanced and strict regulatory standards. During this process, China Banking will have to try their best to solve many problems facing them, which include how to measure risk accurately, how to establish banks' business structure and development stratagem according to business risk and return, and how to measure the performance of every department so as to get the balance of risk and return. On the other hand, by years' research and practice, international advanced banks have developed a comprehensive risk capital framework, which is based on RAROC and is used to economic capital allocation and performance measurement. While domestic research in the field is just at the beginning, and the related research is mainly focused on the translation and introduction of international advanced techniques, without systemic research. My thesis is developed under this background. It is based on RAROC model, and makes some basic researches on measurement of economic capital, bank economic capital allocation and performance measurement. And also, my thesis has tried its best to establish an analysis framework on bank economic capital analysis. Based on above consideration, my thesis has such basic structures as follows. The first chapter introduces the research background, related research summaries, and my thesis's analysis framework. The second chapter discusses the relationship between risk and capital firstly, then gives some discussion about the calculation of regulatory capital and economic capital. The third chapter is one of the cores of my thesis. Firstly, it establishes a model with constraints of risk minimization and return maximization, then educes the theoretic RAROC model. Secondly, based on the constraint model, it gives the efficient frontier of bank business by simulation, and also discusses how to set up a bank's business structure according to its risk tolerance and capital adequacy. Thirdly, by simulation, it proves some basic properties of RAROC model, and also discusses it's application in economic capital allocation. The fourth chapter discussed the application of RAROC model in performance measurement. It compares the differences of RAROC model and SVA model in performance measurement, followed by a practical analysis on the differences of regulatory capital and economic capital in measuring performance. The fifth chapter makes a simple analysis and discussion on the application of RAROC model in china banking. In discussing RAROC model, my thesis tries to establish a framework to analyze bank economic capital with a reference of Markowitz's modern portfolio theory, and has tried to make some attempts and innovation. Firstly, for the first time, my thesis maps a single credit asset's yield distribution to business's yield distribution, that is normal distribution, which will be the base for latter discussion of mean-variance analysis framework. Secondly, my thesis, for the first time, establishes a model with constraints of risk minimization and return maximization, then gives the efficient frontier of bank business by simulation with a reference of Markowitz's modern portfolio theory, and also discusses how to set up a bank's business structure and its risk limit and economic capital level, according to its risk tolerance and capital adequacy. Thirdly, based on a simplified model of bank management, my thesis discusses how to collocate asset portfolio and allocate economic capital according to RAROC model by simulation, and demonstrates several basic charac... |
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