风险、风险资本与风险偏好

Risk, Capital at Risk and Risk Preference

风险资本管理对国内银行业是一个全新的课题。文章从风险定价入手,力求准确清晰地阐释预期损失、非预期损失、风险资本、风险偏好等风险管理基本概念及其经济内涵。在此基础上,综合国际银行业广泛采用的RAROC技术,给出了以风险资本为核心的经营管理框架,对确定风险偏好、进行风险资本分配的技术程序进行了初步研究,并对RAROC管理的技术基础———风险计量技术进行了讨论。

CaR(Capital at Risk)management is a new subject for banking of China We start from pricing of risk, try to clearly illustrate several crucial concepts of CaR, expected loss, unexpected loss, capital at risk, risk preference Furthermore, a integrated framework of RAROC is put forward The determination of risk preference, allocation of CaR and risk measuring are also discussed