基于内部模型的商业银行市场风险经济资本分配方法研究

The Allocation Methodology of Market Risk Economic Capital Based on Internal Model

本文分析了商业银行金融市场业务的市场风险特征,从区别于信用风险经济资本分配的角度,研究并提出市场风险经济资本分配的三个重要前提:一是金融市场产品特征决定经济资本分配应遵循投资组合的层级结构;二是在内部风险管理和外部监管的协同管理下实现市场风险经济资本分配;三是分配方法应多样化。在市场风险经济资本分配模型方面,本文从内部风险管理与外部监管协同管理出发,基于监管资本计量使用的内部模型及其变量,设计了用于市场风险经济资本分配的三类方法:自上而下的间接比例方法、自下而上的直接转换方法和混合法,构建了各自的数学模型。通过某大型商业银行的实证分析对三类方法进行对比,阐明了各自特点和适用性,为我国银行业市场风险经济资本分配提供理论基础,对商业银行的实际应用具有一定参考价值。

During the financial globalization process, the business model of commercial bank is gradually moving to the financial market business. The management of market risk economic capital becomes a realistic problem faced by commercial banks because of increasing market risk. Compared to credit risk and operational risk economic capitals, market risk has many different characteristics. The specialized research on market risk is relatively rare in the existing literature. This paper clarifies that commercial banks should allocate their market risk economic capital based on internal model from the synergetic perspective of internal risk management and external supervision. This paper tries to establish an economic capital allocation methodology to solve this issue. In addition, this paper provides a theoretical basis for the allocation of market risk economic capital and to provide some references for the management practice of commercial banks. The first part analyzes the characteristic of the market risk of financial market business of commercial banks. This paper provides a different perspective in the allocation of credit risk economic capital. This part puts forward three important premises of the market risk economic capital allocation based on the internal model. The first premise is that the features of financial market products follow the hierarchical structure of portfolios. The second premise is that the allocation of market risk economic capital should consider the synergy management of internal risk management and external supervision. The third premise is that the allocation methods should be diversified. The second part designs three models of the allocation method of market risk economic capital based on the internal model of the regulatory capital and its variables. The internal model uses three allocation methodologies of financial costs and credit risk economic capital as a reference： the indirect proportion method （top-down）, the direct conversion method （bottom-up）, and the hybrid method. This part establishes mathematical models, and provides a theoretical comparison of their characteristics. The third part is the empirical analysis of a large commercial bank. This part uses the bank＇s actual daily data of market risk from its internal model and variables from 2012 to 2013. Three models are used to calculate the market risk economic capital of the bank＇s financial markets portfolios. This part researches on their characteristics and applicability by comparing their results. The indirect proportion method （top-down） allocates the overall economic capital by equaling the regulatory capital to the lower levels portfolios, as well as based on the fact that the sum of all the portfolios in the same level equals to the overall economic capital. The top-down method prevents capital arbitrage as a whole, but it may cause the issue that the allocating economic capitals of the lower level portfolios do not match their actual risk profiles. The direct conversion method （bottom-up） uses the internal model of the regulatory capital and its variables, in response to the actual risk profiles of portfolios directly. The method may allocate the overall economic capital more frequently without the limitation of the calculation frequency of the regulatory capital. However, it may cause the discrepancy between the overall economic capital and the entire regulatory capital, and it is not suitable for strongly hedged portfolios. The hybrid method absorbs the advantages of the two aforementioned methods. In addition, the method can not only achieve the following objectives： （1） the overall economic capital equals to the entire regulatory capital and allocates it to the lower level portfolios, and （2） meeting the requirement of economic capital assessment of portfolios from their own actual risk profiles. Finally, the hybrid method does fit the allocation of market risk economic capital in Chinese banking industry at the current stage. The fourth part made the following conclusions： all of three methods can be applied to the large and medium sized commercial banks based on their internal models. In the management practice, commercial banks should choose the allocation method according to their management requirements and portfolio characteristics. Finally, the paper points out the future research direction that the allocation methodology of market risk economic capital should be continuously improved with the changes of regulatory requirements and the development of internal models.