信用风险管理和RAROC

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什么是信用风险

要定义什么是信用风险管理，我们必须首先了解信用风险的概念。 信用风险是由于借款人未能严格遵守信用合同条款而产生的风险。 当客户偿还债务的时间较晚，未偿还债务金额或在本金和利息到期时未能偿还债务时，可能会发生这种情况，从而造成财务损失和商业银行业务活动的困难。

什么是信用风险管理？

信贷风险管理是识别和分析风险因素，衡量风险水平，从而选择管理信贷活动的措施以限制和消除信贷过程中的风险的过程。

什么是风险调整资本回报率？ 释义

风险调整资本回报率（RAROC）是一个用来衡量赚取回报所承担风险的指标， 它是衡量风险调整后的财务绩效的一个有效工具。 在不同企业/部门之间，它提供了一个衡量收益的统一标准。 风险调整资本回报率（RAROC）及其相关概念如风险资本报酬率（RORAC）、风险调整后报酬对风险调整后资本（RARORAC），作为衡量风险收益的主要指标，主要用于银行业和保险业。 简而言之，RAROC就是风险调整后报酬相对于风险资本的比率。
 

RAROC的发展历史。

RAROC最初是由前美国信孚银行（Bankers Trust）的一个研究团队在上个世纪70年代末开发的， 这个研究团队的初衷是用它来衡量银行投资组合的风险，以及使银行的储户和债权人能够有效规避风险的股权资本总额。 从那以后，许多银行纷纷开始运用RAROC（或开发出类似的风险评估系统）。 他们目的相同，都是希望能够量化支持他们的运营活动所必须的股权资本总额， 如传统的借贷活动、以费用为基础的交易活动，等等。

运用RAROC来配置资本的两个基本原因： 1） 风险管理； 2） 绩效评估。 风险管理方面，资金配置的主要目的是确立银行最优化的资本结构。 这一过程包含两项工作，首先对每一个借贷单位的风险占银行投资总风险的比率进行评估，进而确定每一个借贷单位对银行资本总回报的贡献。
绩效评估方面，RAROC评估体系通过将资本配置给每一个借贷单位， 除了能够确定风险调整资本回报率，最终还能够确定每一个借贷单位的经济增值。 对每个借贷公司来说，它的经济增值简而言之就是调整后的净收入减去资本支出，也即公司的股权资本乘以必须的股本回报率（详细论述见下）。 在这里，它的目是为了衡量公司对股东价值的贡献， 同时能够帮助公司的各个部门制定预算资本和激励性薪酬政策提供基础。

经济资本和三种分线类型

经济资本（风险资本）归因于以下三个最基本的风险因素：

• 市场风险，
• 信用危险，
• 运营风险。

经济资本可以被应用于各个不同的产品、客户群体、行业以及部门， 去衡量特定类型的绩效表现。 对于每一个具体的公司来说，它为把握和评估该公司的可持续绩效、管理业务组合提供一个有效的财务架构。 对于投资银行来说，则可据此将风险资本提供给那些具有战略价值、能够产生可持续回报和长期增长的公司。
 

经济利润

因为经济利润考虑到了股权成本，用它可以对RAROC做出进一步解释。 经济利润也是股东的预期收入，相当于股东购买其它银行股票的机会成本，所以这样的一个回报率既是市场所需的，也是用来衡量有没有为股东带来收益。 经济利润就是用来衡量公司的经营回报是否超过股权成本。 如果公司的经营回报超过股本，则为股东带来收益。 相反，如果一个公司的经营回报低于股本，那么股东价值就会遭受损失。此时，银行则必须寻找更为有效的资本配置方式。

风险管理的价值

有效风险管理的价值存在于以下几个方面（其排列顺序基本上也是重要性的反映）：

1. 规范与预防风险。

   • 避免自己组织遭受危机。
   • 避免其他组织遭受危机。
   • 服从企业治理标准。
   • 避免管理人员的个人责任。

2. 运营绩效。

   • 全面把握企业所面临的运营风险。
   • 评估企业经营战略风险。
   • 实现最佳绩效。

3. 企业声誉。

   • 保护企业声誉。

4. 提升股东价值。

   • 合理配置资本。
   • 通过价值管理，提高经营回报。

前摄的风险管理

前摄的风险管理，要求在风险发生之前，就要做好以下几个方面的评估工作：

• 风险发生的可能性，
• 风险的动因，
• 风险事件，
• 风险影响，
• 冲击促进因素，在风险之前实际上发生(图形： 前摄的风险管理 - Smith & Merritt ）。

参考书： John B. Caouette， Edward I. Altman - Managing Credit Risk

参考书： Carol Alexander - Operational Risk: Regulation， Analysis and Management

参考书： Michael K. Ong - The Basel Handbook: A Guide for Financial Practitioners

参考书： Donald R. van Deventer， Kenji Imai - Credit Risk Models and the Basel Accords (Wiley Finance)[中译本《信用风险模型与巴塞尔协议》，中国人民大学出版社，2005]

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