| 信用风险监管资本测度优化 |
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| 引用本文： | 陈德胜. 信用风险监管资本测度优化[J]. 当代经济管理, 2011, 33(11): 76-84. DOI: 13-1356/F.20111112.1530.016 |
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| 作者姓名： | 陈德胜 |
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| 作者单位： | 国家信息中心,北京100045;西南财经大学金融学院,四川成都610074 |
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| 摘 要： | 在巴塞尔新资本协议框架下的IRB模型基础上,通过违约相关性模型的推导,得出了降低信贷资产组合信用风险加权资产的一些有效途径;通过对同质类资产组合和异质类资产组合的风险集中度调整的方法,提出了风险分散的具体路径;通过由银行的资本总成本最小化约束模型和监管者破产银行数目最小化约束模型联合组成的激励相容模型,将银行出于内部风险管理目的而计算出来的风险价值,同监管当局出于监管目的而要求银行确定的监管资本有效地联系起来。
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| 关 键 词： | 信用风险 监管资本 违约相关性 风险集中度 激励相容 |
Optimization of Supervise Capital Measurement of Credit Risk |
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| Chen Desheng. Optimization of Supervise Capital Measurement of Credit Risk[J]. Contemporary Economic Management, 2011, 33(11): 76-84. DOI: 13-1356/F.20111112.1530.016 |
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| Authors: | Chen Desheng |
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| Affiliation: | Chen Desheng1,2(1.State Information center,Beijing 100045,China,2.Institute of Finance,Southwestern University of Finance and Economics,Chengdu 610074,China) |
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| Abstract: | This paper deals with default relativity model and incentive compatible model based on internal ratings-based model in measurement of supervisory capital of credit risk under Basel Accord II.Default relativity model provides some methods to reduce credit risk asset of portfolio and risk dispersing paths by risk concentration adjust to portfolio.By total capital cost of bank minimum model and total banks of bankruptcy minimum model of incentive compatible model risk value for internal risk management of bank... |
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| Keywords: | credit risk supervise capital default relativity risk concentration incentive compatible |
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