监管资本与经济资本存在本质区别吗?

Are There Any Essential Differences between Regulatory Capital and Economic Capital?

本文将监管资本的内部评级法与经济资本CreditRisk+模型的违约概率参数进行匹配,在此基础上对两者计算的非预期损失进行比较,数值分析结果显示随着信贷组合规模的增大两者数值趋于相同,其差异大小主要取决于信贷组合的分散化程度。通过对穆迪1970-2010行业违约率数据进行分析,并构建考虑违约相关性的经济资本模型计算非预期损失,研究结果表明实际商业银行的内部经济资本计量模型的输出往往会小于监管资本,这种差异是因经济资本模型与监管资本模型中信贷组合的风险特征不同所造成。

The paper matches the probability of default parameters of the Internal Rating-based Approach(IRB) for regulatory capital and the CreditRisk+ model for economic capital,and on this basis,compares the unexpected losses derived from different calculations.Numerical results show that with the increase in the size of the credit portfolio,both of the unexpected losses tend to be the same value,while the degree of differ-ence between them depends on the degree of diversification of the credit portfolio.Through the analysis of the Moody's industry default rate data from 1970 to 2010,the paper constructs an economic capital model,which contains default correlation,to calculate the unexpected loss.The results show that the actual output of a commercial bank's internal economic capital measurement model tends to be smaller than regulatory capital,and this difference is caused by the different risk characteristics of the credit portfolio in economic capital models and regulatory capital models.