基于巴塞尔新资本协议视角的风险定价研究

Research on Risk Pricing under the New Basel Capital Accord

在资本约束、金融脱媒和利率市场化条件下,我国商业银行内外部经营环境已发生深刻的变革。2006年底实施的巴塞尔新资本协议,明确了在法规下,风险损失准备金用于抵御,经济资本用于抵御。本文首先阐述风险定价的内容和原理,然后从巴塞尔新资本协议的视角研究及其计量,并在此基础上构建引入风险调整函数的模型,探讨其核心思想和贷款风险定价基本流程,最后提出相关建议。

With the development of capital restraint, financial disintermediation and rate marketization, china commercial banks are extremely under the pressure from changes in the internal and external environment. Based on the IRB approach of the New Basel Capital Accord, banks should have put aside loss provisions to complement expected loss. Beside that, they should also have adequacy capital to complement unexpected loss. In this paper we introduce the contents and principies of risk pricing.Then the caculation of EC under the New Basel Capital Accord is obtained, and the RAROC model of risk-adjusted function is constructed. At Iast we discuss the feasibility and procedure of RAROC, and give some suggeations.