摘要
本文在介绍资产组合管理理论、工具和模型的基础上,针对目前中国银行业风险管理的现状,选取了样本银行的历史数据作为检验样本,采用CreditRisk+模型和RAPM模型分别对银行零售信贷资产和公司信贷资产进行实证分析。主要结论为:(1)CreditRisk+模型可以应用于估计中国银行业零售信贷资产组合的损失分布并确定相应的经济资本;(2)RAPM模型对银行公司信贷资产在行业和客户规模的组合优化方面提供了量化分析工具;(3)对中国银行业采用现代风险管理理念、技术、手段来提升授信资产组合的管理水平提供了可供参考的发展路径。
On the basis of introducing theory, instrument and model of portfolio management, this article analyses the actuality of risk management in China＇s banking, and makes an empirical study on retail loan by CreditRisk＋ model and corporate loan by RAPM model using actual historical data of the sample bank. Conclusion can be drawn as follows： （1）CreditRisk＋ model can estimate the loss distribution of retail loan in China＇s banking and decide the corresponding economic capital; （2） RAPM model can give an optimum portfolio management for corporate loan in the area of industries and custom scales; （3） Advisable route can be given to upgrade loan portfolio management in China＇s banking by using modern risk management theory, technology and instrument.
出处
《国际金融研究》
CSSCI
北大核心
2007年第6期23-31,共9页
Studies of International Finance
