商业银行信用集中风险与经济资本测度模型研究

Research on Credit Concentration Risk and Its Economic Capital Measurement of Chinese Commercial Banks

鉴于我国普遍存在着信用集中风险和对信用集中风险经济资本测度的研究薄弱性,文章构建了包含信用集中风险的名称、部门和传染三大维度、且与Basel II和III监管要求相一致的信用集中风险经济资本测度的综合模型(CCRM),并运用CCRM法对我国商业银行典型组合的信用集中风险经济资本进行了仿真研究。结果表明:该典型组合存在着显著的信用集中风险;相比较于HHI指数法、Monte-Carlo模拟法和ASRF调整模型法,CCRM法具有计算耗时少、结果稳健的优点,其较好地测度了我国商业银行中存在的信用集中风险程度。因此,CCRM模型改进了传统商业银行实践中所采用的HHI指数法和Monte-Carlo模拟法等,将在我国信用集中风险经济资本测度中发挥重要作用。

In view of the widespread credit concentration risk in China and the weak economic capital measurement of credit concentration risk, this paper constructs an integrated model to measure the economic capital of credit concentration risk （CCRM） which is consistent with the Basel II ; III regulatory requirements and contains three dimensions of credit concentration risk. name concentration risk, sector concentration risk and contagion risk. Then, this paper carries out the simulation study on credit concentration risk and economic capital in Chinese commercial banks with CCRM method, and finds that there are significant credit concentration risk. Besides, CCRM method is better than HHI index, Monte Carlo simulation and the ASRF＊ model with less time-consuming calculation and more robust results in Chinese credit portfolios. Hence, CCRM model well measures credit concentration risk degree in Chinese commercial banks and will play an important role in measuring the economic capital of credit concentration risk in Chinese commercial banks.