信用风险经济资本计量:国际演进及对中国的启示  

Credit Risk Economic Capital Measurement:Evolution and Its Implication to China

作　　者：吴仕建[1] 李心愉[1] 

机构地区：[1]北京大学经济学院,北京100871

出　　处：《南方金融》2012年第12期37-41,共5页South China Finance

摘　　要：自20世纪70年代信孚银行提出RAROC方法以来,风险由资本覆盖便成为银行风险管理的基本理念,经济资本管理在商业银行风险管理中扮演着越来越重要的角色。本文研究了20世纪80年代以来国际银行业信用风险经济资本计量的历史演进过程,以2000年单因子渐进模型的提出为分界点,将信用风险经济资本计量的演进分为两个阶段,并将经济资本计量模型分为银行内部模型和监管模型两类。本文分析比较了两类模型对国内商业银行的适用性,并提出国内计量模型的发展方向,即结合银行实际对监管经济资本计量模型——单因子渐进模型进行适当修正。Since Bankers Trust proposed the RAROC approach in 1970s, it has become a basic concept that capital should cover risk, and economic capital management becomes more and more important in banks＇ risk management. In this paper, the authors study the evolution of credit economic measurement since 1987, and take the emergence of Asymptotic Single Risk Factor （ ASRF ） model as a dividing line, and classify the economic capital measurement models as internal models and regulatory models. The authors also compare the advantages and disadvantages of each type, and advised that the best choice for Chinese banks is to use the IRB model as a start point and make necessary adjustment to suit for the bank＇s own portfolios.

关 键 词：银行风险管理 信用风险 经济资本 单因子渐进模型 内部评级法 

分 类 号：F831.1[经济管理—金融学] F224