信用风险的巴塞尔资本公式之比较（英文）  

Reconciliation of Two Approaches of Basel Capital Formula for Credit Risk

作　　者：Shamita Dutta Gupta Shamita Dutta Gupta(Department of Math,Pace University,New York,NY 10038,American)

机构地区：[1]丕士大学数学系

出　　处：《宁夏大学学报（自然科学版）》2019年第4期310-314,323,共6页Journal of Ningxia University(Natural Science Edition)

摘　　要：巴塞尔资本协议是国际银行资本金法律要求的基石,其中的关键条款经过了反复的协商以及改进.大概地讲,有两种方法:一个是风险加权资产,另一个是VAR方法.论文试图比较这两种方法在信用风险上的应用.研究发现,在一定的假设前提下,这两种方法的结果是相仿的.在实践中,一般大银行用VAR法,而小银行多用风险加权方法.The Basel accord is the corner stone of the international banking regulation on capital requirement.The key component of the capital methodology underwent many iterations and enhancements.Broadly speaking,the methodologies are RWA(Risk Weighted Asset)formula based,or VAR(Value at Risk)based/model based.The two approaches of the Basel Capital formula for the credit risk is reconciled.It is observed that under certain assumptions,the two approaches provide overall consistent results.It is not surprising that in practice,large institutions use VAR based approach,and small institutions uses RWA based approach,due to resource constraints for extensive model building and also inherent bias in the methodology itself.

关 键 词：巴塞尔资本协议 风险加权资产 VAR方法 

分 类 号：O29[理学—应用数学] F840.4[理学—数学]