摘要
利用RAROC(Risk-AdjustedReturnonCapital)与传统CAPM(CapitalAssetPricingModel)模型相结合进行资本配置,是目前大部分银行等金融机构所采用的主流方法。但是由于这一方法忽视了RAROC与CAPM各自的假设和环境,从而导致在很多方面不匹配,因此不可避免地使基于RAROC的资本配置框架产生一些陷阱,如银行对某一类资产的过度配置或者配置不足等问题。为此,本文首先分析了这些陷阱产生的根源及导致的后果,继而针对这些陷阱提出了一系列修正措施,如修正的CAPM模型—二因素模型,文——章最后在讨论这些修正可行性的基础上,建立了新的资本配置框架。
Capital allocation encompassing RAROC and traditional CAPM model is a mainstream method adopted by most banks and financial institutions. But such a method overlooks the hypothesis and environment of RAROC and CAPM respectively, leading to incongruity in many respects. As an unavoidable result, pitfalls present themselves in a RAROC-based capital allocation framework--over-allocation or under-allocation of certain assets. In this paper, the root and consequence of these pitfalls are analyzed and remedial measures are provided, e.g. a revised CAPM model--two-factor model. Finally, a new capital allocation framework is established while the feasibility of these remedies is discussed.
出处
《金融论坛》
CSSCI
北大核心
2005年第3期10-14,62,共6页
Finance Forum
