Researc On The Impact Of The Commercial Banks Capital Allocation To Risk Managemaent Based On Capital Restriction

In recent years, two major events had happened in financial circle:one is the international financial crisis happened in 2008, the other is the third edition of the Basel Capital Accord issued in 2010 (referred to as the "Basel III"). In 2012, China issued the "measures for the administration of the commercial bank capital (Trial)", also known as the Chinese version of the Basel III,which has brought commercial bank capital management and risk management into the major reform era.Reflection on the global financial crisis, lack of capital regulation of financial crisis, financial institution failures of risk management, performance evaluation and incentive mechanism is not science are the reasons of the crisis. The period after the financial crisis, strengthen bank capital and risk management, improve the effectiveness of banking supervision has become one of the key, a hot issue in academic circles and industry concerns. In the current global economic downturn, China’s economy is in transformation and upgrading of the pressure, the pressure of capital regulation of commercial banks become stricter, the capital constraint tightens background, what influence will the allocation of capital has on Chinese commercial bank risk management? what influence of the inherence mechanism and realism? how to improve the validity of Bank capital supervision. This is an important academic and practical subject. Based on the reflect study achievements of the other country,and to combine theory and practice achievements of existing bank capital and risk managem, combined with the practice of Chinese commercial banks capital regulation and the fact of commercial banks, innovation from the perspective of regulatory capital, economic capital and other capital constraints, the impact of Chinese commercial banks capital allocation of risk management, as well as commercial banks and how to balance The Domino Offect and the relationship between capital and risk and income, construction of capital, effective and scientific risk management system are discussed in this paper.This paper base on the brief analysis of the theoretical of banking supervision and capital management and configuration theory, and to sum up alreadly research literature. First, established a mathematical model to study the mechanism of effect of internal on capital allocation optimization to Asset risk management based on Capital Adequacy Supervision, and to constructing the optimal economic capital allocation model based on dual constraints of the risks and benefits. Secondly, the empirical study on The Domino Offect and the influence of capital allocation and banks risk management based on Capital Adequacy. Third, research on the relationship between capital, bank risk and benefit based on The pertinence of the capital allocation and income,and commercial banks’corporate governance and capital and risk; Fourth, to explore the construction of performance evaluation system based on economic capital of commercial bank. Fifth, discuss about establishing a sound which based on capital constraints of the commercial bank capital and risk management system. We get the following conclusions:1.Established a mathematical model to study the mechanism of effect of internal on capital allocation to Asset risk management based on Capital Adequacy Supervision, and to study indicate the firm Capital Adequacy Supervision spur Commercial Bank to adjust and optimize collocate the capital, and to effeat Commercial Bank credit asset risk deflections and to depress the Bank Risk Behavior, combining RAROC with EVA. constructing the optimal economic capital allocation model based on dual constraints of the risks and benefits, we make suggestions for to give big consult value of Commercial Bank about the balance in the risk and the income, and about the Economic Capital Optimize Configure.2.Based on the data of Chinese 16 listed commercial banks from 2005 to 2012 year for 8 consecutive years of annual data as the study sample, using the systems and behavior analyse and the econometrics method, this paper constructs simultaneous equations to estimate The Domino Offect and the impacts of the Chinese commercial bank’s capital adequacy and the risk management based on Capital Adequacy Supervision. The results show that the commercial bank’s preferably capitals adequacy and the capitals adequacy of a sort all improve capital adequacy ratio; And the supervision of capital adequacy is advanced that the commercial bank’s risks are fall, and to exalt the ability of the commercial bank’s risks management; The implementation of the new requirements of capital supervision has significant effects on the improvement in bank’s capital adequacy ratio. At the same time, adequacy regulation of the commercial bank of China has achieved initial success and further explanationcapital at the period after the financial crisis,which had import practical guiding significance to strengthen bank capital supervision and risk management.3.Based on the data of Chinese 16 listed commercial banks, this paper make empirical research on The Impacts Domino Offect of the Chinese Capital Adequacy Supervision of The Commercial Bank’s Capital Adequacy and its profit ability during 2008-2012. The results show that the capital adequacy ratio and the core capital adequacy ratio of Chinese commercial banks whole have positive impacts on profit ability, and improve it’s profit ability; The study also found that the capital adequacy ratio and the core capital adequacy ratio of Chinese great commercial banks have no significant impact on profit ability by increase the capital ratio of Chinese great commercial banks, when the capital adequacy ratio and the core capital adequacy ratio of Chinese great commercial banks have achieve higher level, and, to be likely have negative domino effect.4. This paper chooses the same China’s 16 listed commercials banks as the study object, make empirical research to test the realism fact and the relationships between commercial banks’corporate governance and the risk control. The test results show that the shareholding structure of commercial banks have a significant impact on banks’risk control, but, The largest shareholder holding capacity marked a significant negative correlation, therefore, The largest shareholder holding capacity should not be too strong, moderately diversified equity will help to improve the governance structure of China’s commercial banks and improve risk management capabilities, the board size of commercial bank, board independence and incentive pay of senior executives with the bank’s risk marked a significant negative correlation, they played an active role on banks’risk control. The study also found that there are on significant inverse relationship between commercial banks loan size and risk control, reduce the rate of non-performing loans by the manner of expand the load scale in commercial banks has been Initially control at the present stage and risk governance is paying off, which had import practical significance to strengthen and consummate the commercial banks’risk management.5. This paper use RAROC and EVA technology, discusses the construction the performance evaluation system of the commercial banks based on the adjust of economic capital.6.According to the above analysis of the theoretical and empirical research, combined with the Chinese commercial bank capital management development and practice, this paper gives some proposals to the Commercial Bank Risk Management Framework Based on Capital Discipline.