风险调整后的资本收益率在信用风险管理中的应用

Application of risk adjusted return of capital in credit risk management

信用风险管理是银行战略决策的重要基础。通过事前计提每笔信贷资产的风险成本,提出了基于风险调整后的资本收益率的信贷质量管理模式。本模式利用每笔贷款的违约概率估计其对应的风险成本,通过预提风险金的方法,将信用风险的价值与利润考核结合起来,反映贷款的实际收益状态。这将会有助于银行管理者提前控制未来可能出现的风险,并在规避风险和拓展业务两者间求得平衡。

Credit risk management is an important basis for banks' strategy decision. This paper has put forward a credit quality management mode based on risk adjusted return of capital through a beforehand estimate and drawing of risk cost of every credit capital. This mode uses the probability of breach of contracts of every loan to estimate its correspondent risk cost, and combines the value of credit risk and the evaluation of profit with the method of drawing the risk deposit in advance to reflect the actual benefit of loan, which will help the bank managers to control the possible risk at an early stage and try to obtain a balance between avoidance of risk and development of business.