XX Bank A Branch Analysis And Application Of Economic Capital Measurement Based On RAROC

Economic capital refers to the risk of banks actually bear, calculated using the custom method used to cover unexpected loss of capital. Economic capital, including credit risk economic capital, market risk and operational risk economic capital. With the requirement of BASEL ??& ? on the capital adequacy ratio of banks increased substantially, capital is a scarce bank core resources further intensified, XX bank stressed the need to go "well to do, development capital light".2012 XX banks will risk adjusted return on capital, economic capital occupied by RAROC EC as the index of performance appraisal mainly at the end of the year, the score weights showed a rising trend year by year. In order to carry out the transformation of the development of XX bank, XX bank A branch in order to change to adapt to the performance oriented, the author in this paper primary inner evaluation analysis and application of economic capital measurement based on RAROC on how to accurately measure the credit risk economic capital, and the optimization of RAROC and economic capital is discussed.Through the combined method of theoretical and empirical, a brief overview of the commercial bank risk management and risk measurement model of. Because the current XX bank is in a transition from the primary method of IRB in advanced stage (to external regulators in 2018 started the implementation of the New Capital Accord IRB advanced method, during the advanced IRB approach to test run), the XX bank at present at the end of the year performance appraisal (RAROC, economic capital) the standard is the primary method of internal rating method, RAROC measuring tools to the provincial branch of the status of the use of advanced methods of internal rating method, so the XX provincial branch bank their branches in credit scheme design by head office version of RAROC measuring tools predicted RAROC value and economic capital. The problems as low degree, low rate of capital economy and the optimization of XX bank related assessment value,this paper gives a detail analytic of BOC RAROC Model, on the basis of this model, it builds core financial examining indexes measuring tools and portfolio examining capital measuring tools, which is verified to be accurate and feasible in application, solves the problems caused by insufficiency of examining indexes (RAROC, economic capital) in pre-loan credit granting program, and, moreover, satisfies Post-loan assess requirements. Therefore, the philosophy of?"light capital" management, which is also called "doing after counting", is achieved in business sectors. Finally, this paper discusses the disadvantages of risk management in XX branch, and suggestions are put forward to guarantee that RAROC Model is feasible in application in XX branch.