中国银行业经济资本管理的实施路径——从巴塞尔新资本协议获得的启示

Path to China's Banking Economic Capital Management——Thought Inspired by New Basle Accord

经济资本是加强商业银行内部资本管理和风险管理的重要手段。借助经济资本和其他基于风险的管理工具,金融机构可以对其面临的风险进行量化,计算应对这些风险所需的资本及得出根据实际风险进行调整后的收益。对大多数国内银行而言,经济资本的应用已经落后于其他先进国家,本文试图从新资本协议IRB方法的基本思路入手,提出国内银行业在现有条件下提升经济资本计量水平的解决方案。并提出在目前条件下,为实现有效资本管理的最终目标,要尽快开发关键风险参数的量化模型,加强资本管理IT系统建设以及建立资本计划的制定和实施程序。

Economic capital is an important means to strengthen internal capital and risk management by commercial banks. Through the use of economic capital and other risk-based management tools, financial institutions can quantify the risks they are facing and calculate the capital needed for risk reduction and profit margin after real-risk-based adjustment. Most domestic banks lag behind other advanced countries in economic capital utilization. This paper using IRB approach in New Basle Accord provides a solution for domestic banks to improve their economic capital measuring capabilities under current conditions. It is argued that to realize the ultimate goal of effective capital management, domestic banks should lose no time developing a quantifying model with key risk parameters, strengthen IT system of capital management and establish procedures for capital planning and implementation.