Bank's Risk Management Based On Basel Capital Accord

This dissertation researches and analyzes bank's risk management under Basel Capital Accord from the perspective as following. Firstly, reviews the literatures about the impact of capital regulation on banking risk which focus on five areas:portfolio manager, moral hazard, adverse selection, incentive, heterogeneous banks, conducts a comprehensive analysis of Basel Capital Accord from three aspects:background, main contents, latest development. Secondly, Basel Capital Accord thinks the main risks faced by banks are credit risk, market risk and operation risk. This dissertation analyses these risks respectively. Lastly, proposes suggestions on China's banking implementing the Basel Capital Accord which include credit risk management strategy, market risk management strategy and operation risk management strategy.The dissertation elaborates from empirical analysis and theoretical analysis based on comparative analysis, statistical analysis, econometric method and theory model. The main conclusions are as follows:(1)In 2010, several selected banks implementing Basel Capital Accord including four stated-owned commercial banks had started related work. In this process, there are four main problems. First, bank's risk culture construction lags behind its business development. Second, the long-term mechanism of replenishment of bank capital is not perfect. Third, liquidity risk management of bank is weak. Last, the hidden risks still exist, bank should change its original extensive management model of risk urgently.(2)To the credit risk of loan portfolio, because of correlations between samples, there are great differences between credit risk based on portfolio and the simple sum of single samples, empirical result shows the former is 69.7% less than the latter, so bank should pay more attention to portfolio risk evaluation. Capital at risk according to improved model is 1.7% less than the original one, which means the improvement on CreditMetrics model is successful from the point of capital saving. As long as the data are enough, domestic banks can develop their own internal models meeting the requirements of Basel Capital Accord by learning from foreign advanced risk management techniques, and can evaluate the credit risk of loan portfolio. (3) In the period of 2001-2010, the fluctuation range of RMB exchange rate is very large, which of nominal rate and real rate are respectively 24.69% and 27.49%. Because most China's enterprises are the type of debt-based currency mismatch, when RMB is appreciating, the positive effect of balance sheet is greater than the negative effect of import and export, which will increase the company's credit capacity. The opposite is the other way around. In other words, the financial crisis balance sheet model is applicable to China. The effect of exchange rate risk is the strongest in the next stage, and its effects in current and long term are not obvious. When assessing rate risk, bank should pay more attention to the effect on balance sheet.(4) In the operational risk event caused by internal fraud, employee and audit both have inner impulse of fraud, and the latter's impulse is greater. Bank can influence the behaviors of employee and auditor, and reduce the incidence of internal fraud by controlling some parameters such as extra profit of auditor's fraud and internal system construction. By increasing the penalty for employee's fraud, bank can only suppress corruptions in the short term, but in the long run, it will not reduce the events of fraud and its only consequence is making the auditor more undutiful. However, increasing the penalty for undutiful auditor, bank can reduce employee's corruptions effectively, although in the long run, it will not have any effect on reducing the occurrence of such undutiful behavior of auditors.