《績(jī)效衡量與風(fēng)險(xiǎn)管理系統(tǒng)》由會(huì)員分享，可在線閱讀，更多相關(guān)《績(jī)效衡量與風(fēng)險(xiǎn)管理系統(tǒng)（26頁(yè)珍藏版）》請(qǐng)?jiān)谘b配圖網(wǎng)上搜索。

1、,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,Click to edit Master title style,Click to edit Master text styl

2、es,Second level,Third level,Fourth level,Fifth level,*,Click to edit Master title style,Click to edit Master text styles,Second level,Third level,Fourth level,Fifth level,*,按一下以編輯母片標(biāo)題樣式,按一下以編輯母片,第二層,第三層,第四層,第五層,*,績(jī),效衡量,與,風(fēng)險(xiǎn),管理系統(tǒng),Economic value added(EVA),an approach to measuring performance that com

3、pares a banks(or line of business)net operating profit after-tax(NOPAT)with a capital charge.,Economic Value Added(EVA)is the capital charge which represents the required return to stockholders assuming a specific allocated risk capital amount.,Market and economic value added,MVA represents the incr

4、ement to market value and is determined by the present value of current and expected economic profit:,Stern Stewart and Company measures economic profit with EVA,which is equal to a firms operating profit minus the charge for the cost of capital:,where,the capital charge equals the product of the fi

5、rms value of capital and the associated cost of capital.,MVA=,Mkt,Value of Capital -,Hist,.Amt of Invested Capital,EVA =Net Operating Profit After Tax(NOPAT)-Capital Charge,Difficulties in measuring EVA for the entire bank,It is often difficult to obtain an accurate measure of a firms cost of capita

6、l.,The amount of bank capital includes not just stockholders equity,but also includes loan loss reserves,deferred(net)tax credits,non-recurring items such as restructuring charges and unamortized securities gains.,NOPAT should reflect operating profit associated with the current economics of the fir

7、m.Thus,traditional GAAP-based accounting data,which distort true profits,must be modified to obtain estimates of economic profit.,EVA,c,alculation For Ameribank,EVA calculation for,a,meribank after sale of,$1 billion in credit card loans,RAROC/RORAC analysis,RAROC refers to risk-adjusted return on c

8、apital,while RORAC refers to return on risk-adjusted capital.,In order to analyze profitability and risk precisely,each line of business must have its own balance sheet and income statement.,These statements are difficult to construct because many nontraditional activities,such as trust and mortgage

9、-servicing,do not explicitly require any direct equity support.,Even traditional activities,such as commercial lending and consumer banking,complicate the issue because these business units do not have equal amounts of assets and liabilities generated by customers.,The critical issue is to determine

10、 how much equity capital to assign each unit.,Assigning equity capital to each unit,Alternative capital allocation methods include:,using regulatory risk-based capital standards,assignment based on the size of assets,benchmarking each unit to“pure-play”peers that are stand-alone,publicly held firms;

11、and,measures of each line of businesss riskiness.,RAROC/RORAC,often used interchangeably,but are formally defined as follows:,Risk adjust return on capital(RAROC),RAROC=Risk-adjusted income/Allocated capital,Using this method,income is adjust for risk.,Typically,income is adjusted for expected losse

12、s.,Return on risk adjusted capital(RORAC),RORAC=Net income/Allocated risk capital,Using this method,capital is adjusted for risk.,Typically,capital is adjusted for a maximum potential loss based on the probability of future returns or volatility of earnings.,Risk-adjusted income and economic income,

13、Two adjustments are frequently made to income in line of business profitability analysis:,The return is adjusted for risk by subtracting expected losses,The return nets out required returns expected by stockholders.,This minimum required return,or cost of equity,represents a hurdle rate,or stockhold

14、ers minimum required rate of return.,The specific concern is whether RAROC is greater than the firms cost of equity.,Example:,PNC reported results for seven distinct lines of business,Banking Businesses,Regional Community Banking,Corporate Banking,PNC Real Estate Finance,PNC Business Credit,Asset Ma

15、nagement and Processing,PNC Advisors,BlackRock,PFPC.,The data were obtained from PNCs management accounting system based on internal assumptions about revenue and expense allocations and assignment of equity to each line of business.,PNCs profitability analysis for 2000-2001,Two lines of business fo

16、r PNC are detailed,Corporate Banking,represents products and services provided nationally in the areas of credit,equipment leasing,treasury management,and capital markets products to large and mid-sized corporations and government entities.,Community Banking,encompasses the banks traditional deposit,branch-based brokerage,electronic banking and credit products to retail customers along with products to small businesses such that it is primarily a deposit-generating unit.,PNCs Profitability Analy