基于TailVaR的中国商业银行经济资本度量研究

Study on the Economic Capital Measurement of Chinese Commercial Banks Based on TailVaR

如何确定经济资本以弥补潜在的损失是商业银行风险管理中的一个核心问题,金融资产风险的度量应该体现分散化效应,而传统的VaR方式不能保证分散化效应的次可加性,文章应用风险度量一致性及TailVaR函数对商业银行的经济资本度量进行了实证分析。

It is a key problem for commercial banks to determine its economic capital to buffer potential losses. Diversification of portfolios should be reflected in risk measure, but the traditional VaR can＇t satisfy suhadditivity. This paper makes an empirical analysis of the economic capital measurement of Chinese commercial banks with the application of the risk measure coherence and TailVaR.