美国CCAR与我国商业银行全面风险管理体系构建  

U.S. CAAR and the Construction of China's Comprehensive Risk Management System

作　　者：刘瑞霞 

机构地区：[1]中国工商银行风险管理部

出　　处：《金融监管研究》2017年第9期29-47,共19页Financial Regulation Research

摘　　要：金融危机后,为提高金融机构的风险应对能力,美国银行业开始以压力测试为基础,全面评估银行各项业务及资产的抗风险能力,进而在风险预测基础上优化业务及资产结构。本文借鉴美国银行业全面资本评估与评审压力测试管理理念,结合我国商业银行实际情况,构建了一套动态、前瞻性的全面风险管理体系,可以实现从宏观经济分析、压力情景设置、损失估计与收入预测,到全面业务规划、资本规划与风险规划,从风险偏好、风险限额,到各资产组合经营管理的有机衔接。同时,本文还以某大型商业银行各类风险数据、资产负债数据、收入支出数据等为样本,对构建的拨备前净收入预测模型及各类风险的损失估计模型进行了实证分析。实证分析表明,模型拟合优度和稳定性较高,敏感性较强,整体预测效果较好。在此基础上,本文尝试构建了一个全面风险管理体系,不仅可以使商业银行预测正常情况和危机情况下的资本、收入和风险情况,也可以预测未来两年每一类资产、每项业务的收入、风险与资本变化情况。After the global financial crisis, in order to improve the risk management ability of financial institutions, the U.S. banking industry began to use stress tests to comprehensively evaluate the risk management ability of banks, and optimize their business and asset structure on the basis of risk forecasting. Drawing experiences from U.S. Comprehensive Capital Analysis and Review financial regulatory reform, combined with the reality of China's commercial banks, this paper constructs a dynamic and forward-looking comprehensive risk management system, which combines macroeconomic analysis, stress testing, loss estimation, revenue forecasting, and integrates business planning, capital planning, risk planning, as well as risk appetite, risk limit and portfolio management. Meanwhile, this paper also takes a large commercial bank in China as an example, with its data of risk, asset-liability, and revenue and expenditure as sample, and develops a pre-provision net revenue forecasting model and the risk estimation model of various risk types. The empirical analysis shows that the models have good fitness and stability, strong sensitivity and great prediction effect. The comprehensive risk management system constructed in this paper not only enables the commercial banks to predict the capital, revenue and risk under normal situation, but also to predict them in the crisis situation. It not only can predict the capital, revenue and loss in the current situation, but also project revenue, risk and capital change for each business over the next two years.

关 键 词：全面资本评估与评审 压力测试 资本充足率 全面风险管理 

分 类 号：F832.33[经济管理—金融学]