商业银行“多维度风险管理”

"Multi-dimensional Risk Management"of Commercial Banks

针对现阶段中国商业银行风险管理体系上的弱点,本文提出商业银行"多维度"风险管理的概念与方法,通过构建风险关联度和风险变动关联度的矩阵,尝试用多属性效用最大化方法来合理计算信用风险、利率风险、操作风险和流动性风险之间的关系,并应用于商业银行财务指标的分析之中。总体看来,这种"多维度"风险管理方法比全面风险管理方法更加实用,值得推广。

In the paper, the authors bring forward a “Multi-dimensional” risk management concept to correct the limitation of bank risk management in China. And the authors construct the matrixes of “risk correlation” and “risk change correlation”, and try to analyze the relationship between four kinds of risks by multi-attribute utility maximization. In general, this method is applicable in commercial banks＇ financial analysis and has more practicality than GRM （General Risk Management）.