基于组合理论的中国商业银行风险整合和资本配置研究

Research on the Risk Aggregation and Capital Allocation of Chinese Commercial Banks Based on Portfolio Theory

风险的交叉作用和异质性特征,给全面风险的量化管理带来困难。本文以现代投资组合理论为依据,在考虑风险相关性的基础上,构建了现阶段我国商业银行风险整合和资本配置的一致性模型,并选取国内具有代表性的地区商业银行为例探讨了模型的具体实施和算法。实证结果表明,由于风险间存在非线性相关性和非正态性,最合适的风险整合法应是基于连接函数的方法,等价ES资本配置法的稳健性要优于WCE法。

The mutual-effect and heterogeneity bring barriers to the quantitative management of integrated risk management （IRM）. Based on modem portfolio theory, this article aims at constructing a consistent model for risk aggregation and capital allocation of Chinese commercial banks. Through the empirical research, the authors discuss the detailed procedure and algorithm of the model. The empirical results indicate that, due to nonlinear correlation and abnormal distribution, copula function is the optimal risk aggregation technique, and VaR- matched Expected Shortfall （ES） risk allocation approach has better performance in stability than Window Conditional Expectation （WCE） approach.