绩效衡量与风险管理系统.pdf

績效衡量與風險管理系統 Economic value added (EVA) …an approach to measuring performance that compares a bank ’s (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 increment to market value and is determined by the present value of current and expected economic profit: MVA = Mkt Value of Capital - Hist. Amt of Invested Capital • 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: EVA = Net Operating Profit After Tax (NOPAT) - Capital Charge where the capital charge equals the product of the firm’s value of capital and the associated cost of capital. Difficulties in measuring EVA for the entire bank • It is often difficult to obtain an accurate measure of a firms cost of capital. • 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 firm. Thus, traditional GAAP-based accounting data, which distort true profits, must be modified to obtain estimates of economic profit. A. Balance Sheet Assets $Millions Rate Liabilities Equity $Millions Rate EVA Cash $150 0 Demand deposits $800 Securities $800 6.5% MMDAs $1800 3% Commercial loans