基于一致性原理的商业银行经济资本配置方法  

On the method of economic capital allocation of commercial banks based on coherence principle

作　　者：彭建刚[1] 吴云[1] 马亚芳[1] 

机构地区：[1]湖南大学金融管理研究中心,长沙410079

出　　处：《系统工程理论与实践》2013年第2期338-344,共7页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(70673021;71073048)

摘　　要：论文以一致性原理和博弈论中的夏普利值为基础,对Denault方法进行了质的改进,提出了适用于商业银行的经济资本配置方法.通过引入Yasumitsu条件得到了夏普利值满足一致性的充要条件,找到了判断夏普利值是否满足一致性的更完备的理论依据.这一方法符合银行整体最优的要求,可以使商业银行从整体最优的角度确定各分支机构的风险贡献,评估经营绩效,最终确定各分支机构年度经济资本限额.According to the principle of coherent capital allocation and the Shapley value of game theory, this paper makes an essential improvement to Denault＇s method. On this basis, we develop a suitable method to allocate economic capital for commercial banks. By introducing the Yasumitsu condition, we find a sufficient and necessary condition to judge whether the Shapley value satisfies the coherence principle. With this method which is consistent with the requirements of the bank＇s overall best, the commercial banks can stand the perspective of general optimality to calculate risk contribution of its sub branches and determine their annual economic capital limits.

关 键 词：商业银行 经济资本配置 一致性原理 风险贡献 夏普利值 

分 类 号：F832.21[经济管理—金融学]