论商业银行资产负债优化的资本约束

Study on the CaR Restriction for Commercial Banks' Asset-Liability Optimization

本文以新巴塞尔协议对资本约束的有关要求为背景,深入探讨了商业银行风险损失与其资本准备的关系。研究认为商业银行资产负债管理必须受到经济资本的约束,其非预期损失必须控制在经济资本范围以内,论文还引入VaR框架对商业银行资产负债管理和优化的资本约束条件作了定量分析,为在实践中计量和控制风险提供了具有较强操作性的方法。

This paper investigates the relationship between the loss of banks' risk and its capital provision. The paper concludes that banks' asset-liability management(ALM) must be subjected to the restriction of capital at risk((CaR),)and banks' CaR should keep higher level than its' unexpected loss. The paper employes the framework of VaR to analysize the CaR restriction condition of banks' ALM and optimization, and provids a operational method for the dimension and control of risk.