商业银行集中度风险资本计量模型研究  

Economic Capital Model of Concentration Risk in Commercial Bank

作　　者：李超[1] 

机构地区：[1]中国建设银行风险管理部

出　　处：《投资研究》2016年第11期151-159,共9页Review of Investment Studies

摘　　要：考虑到渐近单风险因子模型(ASRF)的局限性,监管部门在资本监管二支柱部分特别提出了有关集中度风险的评估要求。本文以非预期损失模型为基础,按照《商业银行资本管理办法(试行)》有关定义,提出了覆盖地区、行业集中风险、借款人集中风险和信用风险缓释工具集中风险的经济资本计量模型,并且分析了各类集中风险对商业银行的影响,有助于商业银行开展量化风险评估工作,分析和判断业务经营管理过程中实际承担的风险大小。Based on evolution of information technology to our country modern agriculture comprehensive stock of financial supply constraints and influence the development of structure state study.Conclusion shows that the evolution of information technology and with financial background,formed in the long-term historical development process of the influence factors of agricultural financial development,still is our country modern agriculture financial supply constraints and the structure is a key element of the development of stocks.But the evolution of financial and information technology integration,commercial finance supply have influences on long-term trend of modern agriculture.

关 键 词：集中度风险 商业银行 经济资本 

分 类 号：F832.33[经济管理—金融学]