| Capital is considered as the most valuable and scarce resource for banks,due to its vital role in bank operation to resist risks,absorb losses,meet regulatory requirements and ensure stable operations.Moreover,the economic capital,as one of capitals to absorb unanticipated losses,has been playing an increasingly important role in value creation and resource allocation,risk measurement and performance evaluation of commercial banks in recent years,because of its theoretical objectivity and practical effectiveness.Driven by the implementation of Basel Capital Agreement in China,Chinese commercial banks are positive in introducing and exploring ways to manage the economic capital.However,compared with other large commercial banks around the world,certain gaps are seen in the measurement,allocation and pricing of the economic capital.In this context,31 listed companies in Guangdong province which are customers of Bank A in 2016 are sampled in the paper,and the calculated interest rates are compared with the actual lending rates based on the RAROC loan pricing model.The result shows that the actual average loan interest rate of these enterprises is lower than that of RAROC model,and the loan price is at the risk of underestimation.It suggests that commercial banks should set up a more scientific and objective loan pricing based on comprehensive analysis of the cost and income structure,together with customer relations and market factors.This paper also improves the calculation method of commercial bank loan pricing model based on RAROC and puts forward suggestions to improve the loan pricing level of commercial banks,so that the model is easier to use for commercial banks in china.In addition,13 banks,such as ICBC,ABC,CCB,BC,China Merchants Bank,China Ever Bright Bank,are sampled with the RAROC tool to analyze the volatility of allocation efficiency of the economic capital.The result shows a rather uneven standard deviation of the risk adjusted return rate of the listed commercial banks in China.The business development varies from different banks,and there is still room for the efficiency of economic capital allocation.Besides,some countermeasures and suggestions on economic capital allocation efficiency of China's commercial banks are put forward in the paper.Finally,combined with the actual situation of Chinese commercial banks,the paper proposes such measures and suggestions as to maximize the value of risk management,to better the organizational structure and system,to improve techniques and methods on economic capital management,to strengthen the construction on data accumulation and information system,to use the big data technology,to carry out data mining and risk quantitative analysis,and to build up an IT platform that runs through the entire process of economic capital management.Therefore,Chinese commercial banks can enhance the management system on the economic capital based on RAROC. |
