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RAROC方法是商业银行最常用的资本预算方法,本文分析了RAROC方法应用中存在的问题,并构建了一个最低资本回报率的双因素模型,提出以经济资本作为资本预算基础,同时考虑系统性风险和特定风险的回报要求。本文通过国内16家上市银行2005-2014年的面板数据,对上述双因素模型进行了实证检验。检验结果表明,银行最低资本回报率要求同时受股权资本成本和特定风险水平影响,且与特定风险水平正相关。本文的研究发现为国内商业银行改进资本预算方法、优化资源配置提供了新思路。
RAROC method is the most commonly used method of capital budgeting in commercial banks. This paper analyzes the problems existing in the application of RAROC method and constructs a two-factor model of the minimum return on capital. It proposes that economic capital should be used as the basis of capital budget while considering systemic risk And the specific risk of return requirements. This paper tests the above two-factor model by the panel data of 16 listed banks in China from 2005 to 2014. The test results show that the minimum return on capital requirement of banks is affected by the cost of equity capital and the specific risk level at the same time, and is positively correlated with the specific risk level. The research found in this paper provides a new idea for the domestic commercial banks to improve the capital budget method and optimize the allocation of resources.