The Research On The Allocation Of The Economic Capital Of Commercial Bank

Since the eighties of the 20th century, the most remarkable change that takes place in the bank management field is the transition's emphases from the traditional asset-liabilities management, gradually, to overall risk management, which makes risk measuring and risk optimization as its core. The Basel Committee on Banking Supervision published "the Basel II Agreement" in 2004 that indicates that the economic capital disposes and begins to incorporate the management system inside the bank in an all-round way.Meanwhile, as the Chinese banking will further open especially at the end of 2006, the domestic commercial banks should not only solve numerous leftover problems and improve management level, but also face the keen competition from the increasing foreign financial institutions. From this point, series of essential themes, such as how to accurately measure one's own real risks faced and assess the management performance of each level of every department of the bank, so as to ensure that the bank makes the balance between risk and income, and how to court shareholder's value to maximize under undertaking certain risk level, need promptly solved in front of administrators of Chinese banks.Because of this, this paper, by both the theory and real example analytical method, disposes the concept, theoretical foundation and practical application of economic capital of commercial bank, and indicates that the economic capital can be used for resisting non- anticipated losses that the bank may face. The achievement adjusting solution, based on economic capital has fully considered the risk and income, which is more reasonable compared to traditional methods, such as return on equity (ROE) and return on capital (ROC) and so on. The domestic commercial banks do not process the ability of measuring the credit risks of its own inside at present and it can only skimpily calculate the similar quantization value by internal parameter method. For this reason, when disposing the economic capital, the domestic commercial banks should enhance at such as build up viewpoint of the economic capital, construct the database, and setup the system of risk management.The whole paper has five parts. Chapter 1 introduction, has introduced the selected title background of this text and research meaning at first, and has done the brief survey to the field studied of this text , then explain the analysis frame of thistext; Chapter 2 pass the relation of analyzing the risk and capital , explain economic capital cost basic conception, distinguish economic capital , book capital and supervision capital, and the right economic function of control on risk of capital is described ; Chapter 3 explained the current situation that the commercial bank of our country used the economic capital to dispose at present, and through the relatively domestic and international domestic and foreign environment of commercial bank, it is analyzed that the commercial bank of our country implements the difficult point that the economic capital disposes ; Chapter 4 distribute economic capital total amount according to bank , inside , external environment condition , and capital reciprocate 3 terms of restraining from, the way to derive through mathematics draws the economic capital and optimizes models most, and use Compaq Visual Fortran to design the operation procedure and ask and solve the optimum model real example case; Chapter 5 the difficult point question of disposing the economic capital to the commercial bank of our country proposes that relevant suggestion and concrete implementing scheme are imagined.