The Research Of Commercial Bank Economic Capital United Measurement Based On The Risk Correlation

Along with the rapid development of commercial bank on a global scale, the risk management of commercial bank has become increasingly important, the measurement and the management of the risk capital have been causing widely attention from both the local and international commercial banks. Chinese commercial banks introduce in the concept of economic capital, meanwhile also emphasize the measurement of economic capital. However, because of the issue such as the inefficient data accumulation and out-dated method, the measurement of economic capital stagnates on the independent level.In view of the above questions, this paper applied deductive analysis, theoretical and practical analysis, qualitative and quantitative analysis, comparative analysis, case analysis, and other methods to launch related research, aiming to provide the theory basis and the reference model for united measurement of economic capital of China's commercial Banks, based on deep understand of economic capital measurement and of essence of risk correlation. This paper firstly summarizes the concepts of economic capital and content system of economic capital measurement, and elaborates how the theory of commercial bank risks management developed during history. Secondly, from the two aspects of theory and case analysis, the paper also analyzes the internal correlation that exists among risks, compares the models of economic capital joint measurement model, and points out that the mixed method is reasonable and practical. Then, the paper uses the specific data from China Construction bank to conduct analysis of specific case of economic capital joint measurement. Through the comparative analysis between independent and joint measurement, we conclude that joint measurement need less economic capital, and greatly improves the rate of capital utilization for commercial Banks. Finally, summarizes the achievement we have made and problems we are facing, and, in the view of these problems, raises some concrete suggestions and measures.