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基于RAROC的银行资本配置陷阱与修正
引用本文:张丽坤,张中朝.基于RAROC的银行资本配置陷阱与修正[J].金融论坛,2005,10(3):10-14.
作者姓名:张丽坤  张中朝
作者单位:1. 中央财经大学金融学院金融系,北京,100081
2. 中国银行监督管理委员会深圳管理局国有银行监管处,深圳,518001
摘    要:利用RAROC(Risk-AdjustedReturnonCapital)与传统CAPM(CapitalAssetPricingModel)模型相结合进行资本配置,是目前大部分银行等金融机构所采用的主流方法。但是由于这一方法忽视了RAROC与CAPM各自的假设和环境,从而导致在很多方面不匹配,因此不可避免地使基于RAROC的资本配置框架产生一些陷阱,如银行对某一类资产的过度配置或者配置不足等问题。为此,本文首先分析了这些陷阱产生的根源及导致的后果,继而针对这些陷阱提出了一系列修正措施,如修正的CAPM模型—二因素模型,文——章最后在讨论这些修正可行性的基础上,建立了新的资本配置框架。

关 键 词:风险调整后的资本回报率  资本资产定价模型  资本配置
文章编号:1009-9190(2005)3-0010-05

Pitfall of RAROC-Based Banking Capital Allocation and Corrective Measures
Zhang Likun,Zhang Zhongchao.Pitfall of RAROC-Based Banking Capital Allocation and Corrective Measures[J].Finance Forum,2005,10(3):10-14.
Authors:Zhang Likun  Zhang Zhongchao
Institution:Zhang Likun Zhang Zhongchao
Abstract:Capital allocation encompassing RAROC and traditional CAPM model is a mainstream method adopted by most banks and financial institutions. But such a method overlooks the hypothesis and environment of RAROC and CAPM respectively, leading to incongruity in many respects. As an unavoidable result, pitfalls present themselves in a RAROC-based capital allocation framework--over-allocation or under-allocation of certain assets. In this paper, the root and consequence of these pitfalls are analyzed and remedial measures are provided, e.g. a revised CAPM model--two-factor model. Finally, a new capital allocation framework is established while the feasibility of these remedies is discussed.
Keywords:Risk Adjusted Return On Capital  Capital Asset Pricing Model  capital allocation
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