商业银行经济资本配置:思路与模型构建

Allocation of Economic Capital in Commercial Banks:the Idea and Modeling

经济资本是一种稀缺而宝贵的资源,科学的配置能够使商业银行承担的风险和取得的收益协调一致,从而提升商业银行的风险管理能力和盈利能力。本文首先探讨了商业银行经济资本配置的思路,继而在对动态配置约束条件进行分析的基础上,进行了动态配置模型的构建研究。最后,结合中国商业银行的经营实际,对推进中国商业银行经济资本配置管理提出了建议。

Economic capital is a rare and valuable resource and the scientific allocation of economic capital will enable commercial banks to achieve harmony between risk taking and profit making, which will improve the commercial banks＇ ability of managing risks and making profits. This paper begins with a discussion of the idea of allocating economic capital in commercial banks, then researches the construction of a dynamic allocation model on the basis of analysing the constraints of dynamic allocation and finally in combination with Chinese commercial banks＇ operation practice puts forward suggestions on promoting Chinese commercial banks＇ economic capital allocation and management.