基于一致性原理的我國商業(yè)銀行經(jīng)濟(jì)資本配置方法研究.pdf

1、湖南大學(xué)碩士學(xué)位論文基于一致性原理的我國商業(yè)銀行經(jīng)濟(jì)資本配置方法研究姓名：吳云申請學(xué)位級(jí)別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：彭建剛劉錫平20100308基于～致性原理的我國商業(yè)銀行經(jīng)濟(jì)資本配置方法研究AbstractTheoutbreakoftheUSsubprimemortgagecrisisanditsinfluencetotheglobaleconomydemonstratetheimportanceofeconomiccapitalm

2、anagementincommercialbanksChina’ScommercialbanksneedtospeeduptheprogressoftheresearchonthemethodofthisaspectTherefore，thispapertakestheefficientapproachofriskcapitalallocationasthecentralelementThisfieldofresearchisstill

3、intheinitialstageathomeandabroad，andthispapertakesChina’ScommercialbanksasthemainobjectofstudyEconomiccapitalallocationisdirectlyrelatedtotheallocationofscarceresource一bankcapital，anditisthekeytealizevaluecreationforcomm

4、ercialbanksThedissertationfirstmadeacomprehensivepresentationofthecontentandrequirementsofeconomiccapitalallocationThen，basedontheabroadanddomesticliterature，thedissertationcompletelyandsystematicallyputforwardcoherentca

5、pitalallocationofChina’Scommercialbanks，makingcapitalallocationbetweenheadofficeandbranchesofcommercialbanksscientificallyandquantitativelyByanalyzingthedynamicsystemofriskcapitalallocation，thispaperintroducetheShaplyval

6、ueintocoherentriskcapitalallocationtocalculatetheriskcontributionofassetsofeachbranch，thenestablishoptimizationmodelfromtheperspectiveofoveralloptimalandsolveit，ultimatelydeterminethebranches’capitallimitsBasedonthetheor

7、eticalnarration，thispaperhadmadeacombinationofCreditriskandcoherentriskcapitalallocationtoprovethatmethodsofcoherentallocationshouldbeapplicableforourbankingpracticeCoherenteconomiccapitalallocationapproachisanimportantc

8、omponentofcommercialbanks’economiccapitalmanagementsystemSuchallocationmethods，limitsconstrainedoptimalloandecisionandafterloanparametersadjustmentmakesupplementforeachotherandmutuallyconstitutethedynamiceconomiccapitala

9、llocationHowever，theextensiveuseinChina’Scommercialbanksstillneedsfurtherresearch，fromthefollowingtworespects：oneistoimprovetheroleofthecommercialbanks’environmentforcoherentallocation；theotheristobroadenthescopeoftheapp