基于VaR和ES的经济资本配置方法比较分析  

Comparison between the Economic Capital Allocation Methods based on Value at Risk and Expected Shortfall

作　　者：詹原瑞[1] 刘俊梅[1] 

机构地区：[1]天津大学管理与经济学部,天津300072

出　　处：《北京理工大学学报（社会科学版）》2013年第6期46-50,共5页Journal of Beijing Institute of Technology：Social Sciences Edition

基　　金：国家自然科学基金资助项目(70573076);高校博士学科点专项科研基金资助项目(20050056057)

摘　　要：经济资本配置是商业银行进行经济资本管理的一种有效方法,为了研究在商业银行经济资本配置中,在险价值(Value at Risk,VaR)和预期短缺(Expected Shortfall,ES)这两种风险量度所表现出的差异性,借助于信用组合损失分布的Vasicek单因素模型框架,对VaR和ES两种风险量度下的经济资本配置实现方法进行推导,并通过案例,对这两种风险量度在经济资本配置上表现出的差异性进行比较分析。研究结果表明:尽管由ES确定的经济资本比由VaR确定的经济资本要保守,但基于ES的经济资本配置方法比基于VaR的经济资本配置方法更能反映资产的风险特征,更便于实施。The paper is aimed at analyzing the differences in economic capital allocation between the two risk measures, i.e VaR （value at risk）and ES （expected shortfall）. Based on the Vasicek＇s model for the loss distribution of credit portfolio and the two risk measures, the two allocating approaches to economic capital are discussed, and by a case study, the differences in economic capital allocation between these VaR and ES is compared. The results show that, the economic capital determined by ES is more conservative than the one determined by VaR, and compared with the method based on VaR, the allocating method of economic capital based on ES better reflects the risk characteristic of assets, and can be implemented more easily.

关 键 词：经济资本配置 风险贡献 在险价值(VaR) 预期短缺(ES) 

分 类 号：F830[经济管理—金融学]