基于经济资本管理的贷款系统性风险防范研究

在系统性风险防范的视角下,本文对经济资本管理的基本方法进行了重新梳理,发现现行的经济资本管理会导致亲周期效应问题,削弱其防范系统性风险的能力。为此,要在系统性风险防范目标下改进经济资本计量方法,以科学的系统性风险预测为基础确定经济资本限额,优化经济资本在行业和地区层面的分配,以及通过贷款集中度管理追求风险分散最大化,从而实现对系统性风险的有效防范。

Study on the Systemic Risk Prevention of Loans based on Economic Capital Management

In the systemic risk prevention perspective, the article analyze the basic methods of economic capital management, found the current economic capital management will result in pro-cyclical effect, which undermine its ability to guard against systemic risk. To this end, we must improve the economic capital measurement methods in the objective to guard against systemic risk, determine economic capital limits based on scientific systematic risk prediction, optimizing the economic capital in the sector and dist...