Research On Bank Y Credit Risk Management Based On RAROC Model

Credit risk is one of the most important risks in financial risk.It originates from the information asymmetry of the two parties and will become more prominent and serious with the expansion of credit transactions.Since the US subprime mortgage crisis in 2007,both corporate and regulatory authorities have placed credit risk assessment and management at the forefront.The Basel Committee on Banking Supervision initiated the Basel Capital Accord III on September 12,2010,and proposed higher capital requirements.The credit risk prevention work of commercial banks can be carried out according to this framework.In order to participate in global competition,integrate into the world,and rank among the world's leading banks,the Chinese banking industry needs to adapt to the requirements of the Basel Capital Accord and reach regulatory standards as soon as possible.To this end,it is imperative to improve the level of bank credit risk management.Founded in 2007,Y Bank is positioned to serve the community,serve small and medium-sized enterprises,and serve the “three rural”,and is committed to becoming an advanced large-scale retail commercial bank.In 2016,Y Bank was listed on the main board of the Hong Kong Stock Exchange and is currently planning to return to A shares.In this context,Y Bank can realize the transformation from scale bank to value bank,from high-speed growth to high-quality growth,and must rely on refined credit risk management to ensure continuous security operations and stakeholder benefits.Therefore,studying credit risk management has considerable theoretical and practical significance.Faced with severe market conditions and regulatory pressures,commercial banks can use their limited capital to support their relatively large credit scale to achieve maximum economic benefits.The study suggests that applying a risk-adjusted return on capital(RAROC)model is the best approach.This paper applies the RAROC model to the research of credit risk of Y Bank.Starting from the introduction of its basic principles and the application significance of credit risk management,this paper systematically discusses and analyzes the comprehensive application of this model to promote the credit risk management of Y Bank.The problems existing in the bank raise the optimization countermeasures.