基于风险-收益均衡控制的信用风险管理研究

风险—收益均衡是风险和收益同时实现最优的一个状态。风险优化是风险—收益均衡控制的具体过程。我国商业银行正处于财务目标和风险目标约束同时增强的风险管理制度转型阶段,制度转型的方向是改革单向风险管理制度,建立风险—收益均衡控制的信用风险管理制度。本文以《巴塞尔新资本协议》框架下的信用风险计量、经济资本和风险优化理论为指导,探讨在缺乏有效资本管理制度条件下,如何建立基于风险—收益均衡控制的过渡性信用风险管理模式,重点研究了RAROC风险管理思想和风险控制技术,并展开了实证分析。RAROC修正模型与过渡方案具有可行性,并有很强的信贷政策指向意义。

Credit Risk Management Based on a Balanced Control of Risk and Profit

When a balance is stricken between risk and profit,risk and profit are at their best.Risk optimization is the concrete process in which risk and profit are balanced.Now our commercial banks are in a transitional period of risk management system with financial objective and risk objective under stricter restraint.Their goal of system transformation is to change one-way risk management system and institutionalize a credit risk management system based on a balanced control of risk and profit.In this paper,theories on credit risk measurement economic capital and risk optimization under the framework of new Basel Accord are adopted.Discussion is concentrated on how to set up a transitional credit risk management model balancing risk and profit when an effective capital management system is non-existent.At the same time,attention is also paid to risk management concept and risk control technology under RAROC with empirical analysis.RAROC's improved model and transitional proposal are feasible,signifying a credit policy direction.