商业银行总体经济资本测度方法比较研究

A comparative study on measurement method on overall economic capital of commercial banks

总体经济资本测度是商业银行实施《新巴塞尔资本协议》的关键。本文比较研究了商业银行总体经济资本的两种测度方法:资产波动法和收益波动法,分别介绍了两种测度方法的基本原理、计算步骤以及各自的应用范围和侧重点,并对两种方法相对应的经济资本加总技术,如搭积木法、椭圆分布法、Copula连接函数方法、多因子模型和混合多因子模型等进行了比较研究。

The measure of total economic capital is the key process of The New Basel Capital Accord. This paper gives a comparative study on two methods of overall economic capital of commercial： assets fluctuations and earnings volatility. We introduced the basic principles, calculation steps, application scope and focus of the two methods. We also comparatively analyze the risk aggregation technologies corresponding to the two methods, such as building block approach, elliptical distribution method, Copula connecting function method, multi-factor model and mixed multi-factor model.