| 经济资本在商业银行信用风险计量中的应用 |
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| 引用本文： | 丁武鹏. 经济资本在商业银行信用风险计量中的应用[J]. 经济研究导刊, 2009, 0(30): 41-42,82 |
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| 作者姓名： | 丁武鹏 |
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| 作者单位： | 首都经济贸易大学,金融学院,北京,100070 |
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| 摘 要： | 2008年的金融危机爆发后,信用风险成为理论界的关注热点,如何准确和合理的计量出信用风险是亟待解决的问题。用经济资本的计量方法对商业银行的信用风险进行管理是一个新的研究思路。经济资本作为一种风险管理的工具,用它来配置和量化信用风险的非预期损失在一定程度上使得信用风险的管理更加精确化和规范化。此外,将经济资本计量方法融入贷款项目的评估中得到的风险调整绩效,能够避免单纯的从会计账面价值角度评估项目而忽视风险的差别。
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| 关 键 词： | 信用风险 经济资本 PD LGD |
Economic Capital's Application in the Commercial Bank's Credit Risk Measurement |
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| DING Wu-peng. Economic Capital's Application in the Commercial Bank's Credit Risk Measurement[J]. Economic Research Guide, 2009, 0(30): 41-42,82 |
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| Authors: | DING Wu-peng |
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| Affiliation: | DING Wu-peng (Capital University of Economics and Business, Bejing 100070, China) |
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| Abstract: | After the financial crisis eruption,credit crisis is becoming the hot spot in financial theory field.How to measure the credit risk accurately and reasonably？ Using the economic capital（EC）measures to manage the credit risk is a new way.EC as a risk management tool,allocations and measures credit risk’unexpected loss may make the risk management become accurately and normalized.In the other side,EC is also used to evaluate risk-adjusted performance of loan project. |
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| Keywords: | PD LGD |
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