A study on the impacts of risk-adjusted return of capital on bank’s business strategies

• Main Authors: Wang Chia Yuan, 汪家垣
• Other Authors: 陳家彬
• Format: Others
• Language: zh-TW
• Published: 2006
• Online Access: http://ndltd.ncl.edu.tw/handle/41333735569646482639

碩士 === 國立中興大學 === 高階經理人碩士在職專班 === 94 === In addition to rebalancing the information of bank’s risk taking and dispel regulatory arbitrage, the implementation of New Basel Accord makes bank managers understand the real risk that they face. When the bank managers make them business policy, they should take into account capital allocation or capital budget, no matter what the size of the bank is or which method of capital charge they choose. In order to make maximize the wealth for shareholder with the limited capital, bank managers can employ the risk-adjusted performance measurement, (RAPM), or risk-adjusted return on capital, (RAROC), for the bases of capital allocation or capital budget. This text will study the Influence of the RAROC measurement based on different value at risk calculation methods, and the influence on business strategies of the bank on different capital allocation methods adjusting according to the RAROC. The conclusion studied is: (1) Using the RAROC as the index of each business line’s performance, have significant difference with the rate of returns of assets as the performance index. (2) Including the value at risk into capital allocation, have significant difference with top down approach. (3) Adjusted capital allocation for each business line growth which base on RAROC, have significant difference with top down approach which base on grow up with same proportions. (4) Adjusted capital allocation for each business line with the RAROC which calculate by BASEL standard approach or EAR approach, have significant effect on improving the expect rate of returns of the bank.