Economic Capital Allocation Derived from Risk Measures

Abstract

We examine properties of risk measures that can be considered to be in line with some “best practice” rules in insurance, based on solvency margins. We give ample motivation that all economic aspects related to an insurance portfolio should be considered in the definition of a risk measure. As a consequence, conditions arise for comparison as well as for addition of risk measures. We demonstrate that imposing properties that are generally valid for risk measures, in all possible dependency structures, based on the difference of the risk and the solvency margin, though providing opportunities to derive nice mathematical results, violates best practice rules. We show that so-called coherent risk measures lead to problems. In particular we consider an exponential risk measure related to a discrete ruin model, depending on the initial surplus, the desired ruin probability, and the risk distribution.     

Coherent Distortion Risk Measures and Higher-Order Stochastic Dominances

Abstract

We show that the only coherent distortion risk measure that is consistent with respect to 3-convex order and hence with stochastic dominance of order 3 is the expected value, thus generalizing previous results of Hurlimann and solving a problem posed by Yamai and Yoshiba.     

经济资本配置与操作风险管理

对我国的商业银行来说,操作风险管理历来是一个薄弱环节,而针对操作风险的经济资本配置更是一个"盲区",引起业界的广泛关注.本文在巴塞尔新资本协议的框架下,从理论和实务两个方面,探讨了关于操作风险的经济资本计量模型、配置方法与管理流程,并结合我国银行业的实际情况,提出了一个较为可行的操作风险经济资本管理的实施路线.     

国外两种商业银行经济资本计量方法的比较分析

国外银行使用不同方法对经济资本进行计量,有的借助资本乘数计量经济资本,有的使用贷款组合的损失分布计量经济资本。本文对瑞士波士顿银行和美国银行采用的经济资本计量方法进行比较,分析这两种方法在我国商业银行运用的局限性以及改进的思路。     

会计信息失真与信贷风险防范

会计信息失真干扰了正常的经济秩序,直接威胁商业银行信贷资产的安全。导致会计信息失真的根本原因是“利益驱动”。防范信贷资产风险的措施有：提高会计人员的业务素质,加大对企业的限制。完善企业信用评价体系和风险评级体系,健全法制建设,加强公众监督等。     

信用风险经济资本计量:国际演进及对中国的启示

自20世纪70年代信孚银行提出RAROC方法以来,风险由资本覆盖便成为银行风险管理的基本理念,经济资本管理在商业银行风险管理中扮演着越来越重要的角色。本文研究了20世纪80年代以来国际银行业信用风险经济资本计量的历史演进过程,以2000年单因子渐进模型的提出为分界点,将信用风险经济资本计量的演进分为两个阶段,并将经济资本计量模型分为银行内部模型和监管模型两类。本文分析比较了两类模型对国内商业银行的适用性,并提出国内计量模型的发展方向,即结合银行实际对监管经济资本计量模型——单因子渐进模型进行适当修正。     

经济资本、风险测度与保险公司的价值管理

传统的风险管理模式已经不能适应保险公司发展的需要.经济资本管理已经成为国际保险业风险与资本管理领域的核心工具.保险公司经营的特殊性决定了保险公司要实施经济资本管理.经济资本可以广泛地应用于内部资本充足率管理和价值创造管理,为保险公司的关键决策提供依据.经济资本管理体系核心是准确计量风险、优化资本配置与评估风险调整绩效.中国保险业要实施经济资本管理,必须要统一认识,整合资源,优化组织结构,积极推动经济资本管理体系建设.     

银行操作风险经济资本计量方法在我国应用的实证研究

操作风险经济资本计量由于存在强烈的尖峰厚尾分布特征和缺乏历史数据的难题及与市场风险和信用风险等的高度相关性,很难进行度量。本文详细介绍了目前银行操作风险经济资本计量的常用方法,具体分析我国银行操作风险特征,对我国四家国家控股银行和七家股份制银行的操作风险经济资本进行简单计提,计算发现四家国有控股银行计提的操作风险经济资本额度远高于七家股份制银行,七家股份制银行中经营效益较好的招商银行和浦发银行计提的操作风险经济资本明显高于另外几家股份银行。建议我国银行业操作风险的计提可以考虑基本指标法,但同时必须结合记分卡、因素分析法和贝叶斯网络法等对操作风险进行客观实际的评估和管理。     

Risk Management, Risk Capital, and the Cost of Capital

In a recent JACF article, Prakash Shimpi proposed a new way of calculating a firm's cost of capital that incorporated a concept of "risk capital" as well as operational capital. The premise of the Shimpi approach was that purchasing hedging instruments effectively "releases" equity that is no longer needed to ensure the firm's creditworthiness.
This article shows that Shimpi's cost of capital calculations incorporate this released equity in a misleading way, exaggerating the capital base and underestimating its true cost. It also demonstrates how conventional cost of capital approaches can be modified to integrate risk capital, thereby avoiding such distortions and accurately representing the cost of capital of a company with a policy of active risk management.     

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。     

经济资本回报约束条件下的贷款风险定价

近年来，《巴塞尔新资本协议》（以下简称“新资本协议”）一直是各国银行业关注的焦点。但是，《新资本协议》中的经济资本管理和风险定价思想，如此迅速地就对支行的业务经营产生直接影响，还是让金穗支行的赵行长感到增加了一些新的压力。2005年初，总行参照《新资本协议》的相关条款，制定下发了《中国农业银行经济资本管理暂行办法》和《中国农业银行综合绩效考核暂行办法》等一系列新的管理制度，分行相应制定了新制度的实施细则。     

人力资本投资:风险与风险规避

自美国经济学家发现人力资本对经济发展的巨大贡献以来,人们的注意力主要集中于阐述人力资本投资的高收益性,而人力资本投资的风险性却很少被论及。实现有效的人力资本投资,必须建立在充分认识人力资本投资特点的基础上,而规避人力资本投资风险的根本途径是明晰人力资本产权和建立人力资本市场。     

首航节能“欺诈门”风险乍观

市场最大的风险是信用风险,如果首航节能"商业欺诈"属实,也必将会被市场处于极刑。电厂直接空冷系统供应商北京首航艾启威节能技术股份有限公司(以下简称"首航节能")自2012年3月上市,短短半年时间,已卷入多起负面事件。近期更深陷"商业诈骗"漩涡,虽然公司发布澄清公告,然后其股价     

Risk in Banking and Capital Regulation

This paper investigates the role of bank capital regulation in risk control. It is known that banks choose portfolios of higher risk because of inefficiently priced deposit insurance. Bank capital regulation is a way to redress this bias toward risk. Utilizing the mean-variance model, the following results are shown: (a) the use of simple capital ratios in regulation is an ineffective means to bound the insolvency risk of banks; (b) as a solution to problems of the capital ratio regulation, the “theoretically correct” risk weights under the risk-based capital plan are explicitly derived; and (c) the “theoretically correct” risk weights are restrictions on asset composition, which alters the optimal portfolio choice of banking firms.     

“热钱”尚未成规模集中流入

2010年以来,在主要发达国家量化宽松货币政策造成全球流动性过剩的背景下,我国经济逐步复苏,宏观经济增长的内生性动力增强,经济基本面良好。在人民币升值预期、本外币利差等诱因的刺激下,国际性投机套利资本伺机而动,中国面临的热钱等异常跨境资金流入压力进一步加大。而关于热钱的争议与讨论始终是社会各界关注的焦点。     

Managing Economic and Virtual Economic Capital Within Financial Conglomerates

Abstract

In this paper we show how the optimal amount of economic capital can be derived such that it minimizes the economic cost of risk-bearing. The economic cost of risk-bearing takes into account the cost of the economic capital as well as the exposure to residual risk. In addition to the absolute problem of determining the amount of economic capital, we also consider the relative problem of how to establish the allocation of economic capital among subsidiaries. Because subsidiaries are juridical entities, they will also consider the absolute problem of economic capital allocation themselves. In an equilibrium situation, the relative allocation derived by the conglomerate and the absolute allocation derived by the subsidiaries coincide. We show that the diversification benefit that is typically obtained in a conglomerate construction creates a virtual economic capital for subsidiaries within the conglomerate. We show further that the approach we propose to solve the absolute problem of economic capital allocation also can be applied to the problem of optimal portfolio selection, extending the well-known Markowitz approach and providing a tool for management by economic capital.     

汇丰银行风险与资本管理

汇丰银行(HSBC)是老牌国际活跃银行之一,2007年资产规模达2.35万亿美元,在英国权威杂志<银行家>2008金融品牌500强排名中名列榜首,成为全球最具价值的银行品牌.