| Credit transaction is the most ancient and important business of commercial banks. Commercial banks from both home and abroad attach the same importance to credit transaction’s expanding and innovations with management diversification. With the advance of China’s financial revolution and the interest rate liberalization process, commercial banks’ profit from interest rate gets lower and the competition becomes more and more intense. Besides, the structural adjustment of macro economy and other factors makes the high NPL rate which drags commercial banks’ long-term and healthy development. Improving the management efficiency with the control of credit risk is an important issue for commercial banks. The history of western commercial banks gives us a reference that a complete and scientific performance evaluation is a considerable solution.RAROC is a core index applied in performance management sector of international advanced commercial banks. The core idea of the index is that It turns predictable bank loss into quantifiable current cost and quantify the unpredictable loss to economic capital reserve which could direct adjust banks’ current income. RAROC provides commercial banks a method to measure income under the consideration of risk and it is an unified framework for commercial banks to evaluate performance.At present, The research of performance measurement based on RAROC is at its infancy, many defects still exists in data collection and parameter measurement. From the writing structure, this thesis starts with the discourse of existing research, analysis the effect in banking performance measurement of RAROC, trying to build the basic frame of RAROC-based performance measurement system. Secondly, this thesis take empirical research for the application of RAROC index in different performance measurement dimension applying KMV model to measure EDF which is the key variable of the calculation of RAROC. In the last part of the thesis, analysis the difficulties in applying RAROC index to performance measurement practice in China’s commercial banks and gives some relating advises. |
