新资本协议下经济资本计量的实用方法  

The Practical Methods for the Measurement of Economic Capital under the New Basel Capital Accord

作　　者：赵正龙[1] 陈兵[2,3] 

机构地区：[1]交通银行,上海200120 [2]复旦大学经济学院,上海200433 [3]上海立信会计学院金融学院,上海201620

出　　处：《上海金融》2011年第9期113-116,共4页Shanghai Finance

摘　　要：经济资本是新资本协议下银行信用风险控制与管理的重要手段,但在实践中却远未成熟。本文辨析了非预期损失和经济资本的关系,从符合监管要求和便于操作实施的角度出发,介绍了基于期权定价理论和基于新资本协议资本计提公式的实用计量方法,从理论依据、计算步骤和应用评价三个维度进行了阐述。最后,对商业银行实施经济资本计量提出了若干建议。Economic capital is an important means in bank＇s credit risk control and management under the new Basel capital accord, but it is far more mature in practice. The article defines the relationship between unexpected loss and economic capital, then from the angle of due diligence and operational convenience, introduces practical methods for the measurement of economic capital on the basis of option pricing theory and capital charge formula under the new capital accord. Then, it expounds the theory basis, calculation steps and evaluation of application of the measurement method. Finally, the article gives out several suggestions on the implementation of commercial bank＇s economic capital measurement.

关 键 词：新资本协议 经济资本 期权定价理论 资本计提公式 

分 类 号：F830[经济管理—金融学]