城市商业银行经济资本及风险管理研究

On Economic Capital and Risk Management of City Commercial Banks

文章运用相关资产组合理论和二项式扩展技术方法,尝试对城市商业银行的经济资本进行度量。首先利用2008-2013年的真实贷款数据,分析宁波银行信贷组合的行业集中情况,说明城商行的信贷组合存在行业集中风险;其次利用2008-2013年各行业的资产回报率估算行业相关系数,采用分集评分的思想构造理想信贷资产池代替现实信贷资产池,运用二项式扩展技术方法,计算宁波银行和北京银行信贷资产的预期损失和经济资本;最后比较ASRF模型和二项式扩展技术方法测算的经济资本及贷款损失准备。结果表明,在商业银行信贷组合存在行业集中风险时,ASRF会低估所需要的经济资本,城市商业银行的贷款损失准备不足以抵御潜在的风险。

Making use of the correlation of portfolio theory and the binominal expansion technology, the eco- nomic capital of city commercial banks is measured. Firstly, in order to indicate that there is a concentration risk in loan portfolios in city commercial banks, the real loans data from Bank of Ningbo from 2008 to 2013 is used to obtain the sector risk concentration. Secondly, using the rate of return on capital, the industry correla- tion coefficient is estimated and constructing a homogeneous ideal portfolio instead of the real portfolio by di- versity score, the expected loss and the economic capital with binominal expansion technology are calculated. Finally, the loan loss provision and the economic capital made by the ASRF model and the binominal expan- sion technology are compared. The results show that ASRF will underestimate the required economic capital when the sector concentration exists; while the loan loss provision of city commercial banks is not enough to ward off the potential risk.