Research Of Risk Management Of State-owned Commercial Bank Based On RAROC Model

With the development of economy and globalization, when china promised something because of becoming the member of WTO, accelerating and deepening the reform in banking system become objective requirements that China tackle new challenge. The systemic reform of the banking is an important component of the financial system reform, include in handling the non-performing loans, supplementing the bank capital, improving corporate governance structure, promoting the shareholding system transformation of the bank and coming to the market etc. However, for a long time, the banking in china have been paying attention to the management of traditional assets and debt, meantime neglecting the risk management on the whole. Therefore there sense of risk is weak, the management level is low, and demonstrate the high non-performing assets rate and compatible phenomenon of low capital rate. International core technological RAROC (Risk-Adjusted Return on Capital), namely capital earning ratio that risk change, through calculating the risk regulates the return on capital and distributes the capital in the risks of assets or the business, appraises the business around this index, and achieve the goal of managing the risk effectively.This text studies the risk management of state-run commercial bank of our country based on RAROC model from capital management and performing appraising. The full text is divided into six parts altogether, first part is the foreword. In second part author make the summary at first, including definition and standards of measuring of risk, and the functions and classification of risk management. So they can provide theoretic foundation for putting forward and using the risk management model. At the same time, author described the basic principle of RAROC model. In the third part author analyses the risk management current situation of state-run commercial bank of our country mainly. In the fourth part, author study capital at risk. Author adopt risk quantizing model to quantize in order to realize reasonable disposition of capital at risk accurately credit risks. Author compare income fluctuate law and assets fluctuate law measure advantage and limitation of CAR, probe into in breach model grant the loan quantization of venture capital. In the fifth part ,when risk in foundation to be quantized, through studying on income, cost, shifted revenue and expenditure, author discuss the appraisal mechanism of changing income of the risk, price at and analyze the real example for the example with the risk of industrial and commercial bank ABC branch, through comparing with the traditional appraisal way , draw the science used in RAROC model. In the sixth part , in order to improve the risk management level of state-run commercial bank, at first we should change traditional capital management and appraisal mode of the business , and set up the management system of capital at risk based on RAROC as the core, then structure the appraisal system of adjusting income of the risk on the foundation of quantizing accurately in the risk, and strengthen the inside to control at the same time, and run in order to ensure RAROC risk management mode effectively.