商业银行风险偏好设置与传导——基于巴塞尔协议视角的研究  

Research on the Risk Appetite Configuration and Transmission of Commercial Banks

作　　者：张守川[1] 任宇宁[1] 邓庭[1] 

机构地区：[1]中国银行新资本协议办公室

出　　处：《国际金融研究》2012年第1期72-78,共7页Studies of International Finance

基　　金：中国银行新资本协议风险偏好量化课题的成果;课题组成员包括:张守川;任宇宁;邓庭;丁岩;杨瑾;唐文江;沈鸿;陈恩伍和王力伟等

摘　　要：风险偏好是银行在实现战略目标过程中愿意且能够承担的风险数量和种类,实质上是银行战略在风险管理上的具体体现。本轮金融危机表明,构建良好的风险偏好框架是建设稳健的全面风险管理体系的重要内容之一。风险偏好设置包括选取指标、量化指标值等;传导则包括自上而下的分解和自下而上的反馈过程。风险偏好应成为全程风险管理的主线。本文从风险偏好的定义、作用、设置和传导角度做一分析,以期对国内商业银行构建和实施科学的风险偏好框架有所启示。Risk appetite refers to the types and amount of risks that a bank is willing to take and able to bear in achieving its strategic goals, which directly expresses the strategy on risk management in substance. The financial crisis shows that one of the essential contents of Enterprise-wide Risk Management （EWRM） is to build a robust risk appetite framework. Risk appetite configuration or setting process includes indieator selection, indicator measurement, and etc. The transmission process includes the decomposition from the top to bottom and the feedback from the bottom to top. Risk appetite should become one of the cores of EWRM. This paper analyses of the definition, role, configuration and transmission process of risk appetite, with a view to assisting domestic commercial banks to build and implement an appropriate risk appetite framework.

关 键 词：风险偏好 风险调整资本收益率 银行战略 

分 类 号：F831[经济管理—金融学]