| 我国商业银行市场风险计量及波动性研究 |
| |
| 引用本文： | 张剑光,刘江涛.我国商业银行市场风险计量及波动性研究[J].国际金融研究,2009(9). |
| |
| 作者姓名： | 张剑光 刘江涛 |
| |
| 作者单位： | 中国银行股份有限公司法律与合规部;南开大学经济学院;中国银行股份有限公司深圳市分行; |
| |
| 摘 要： | 本文结合巴塞尔委员会和我国监管当局对市场风险计量的规定,选取上市商业银行为样本,研究了我国上市商业银行风险计量的主要方式和特点,并分析了上市商业银行的市场波动性和系统性风险。分析主要结论为:(1)市场风险计量是市场风险管理的重要环节,风险计量模型的演变是从简单的风险计量发展到综合的风险收益计量的过程;(2)我国商业银行市场风险计量方式正在不断提高,风险价值分析和经济资本配置等方式正在逐步实施;(3)上市商业银行自身市场波动性较小,对于稳定资本市场起到了积极作用。
|
| 关 键 词： | 市场风险 计量模型 波动性 |
A Study on Market Risk Measurement and Fluctuation of Commercial Bankin China |
| |
| Zhang jianguang Liu Jiangtao.A Study on Market Risk Measurement and Fluctuation of Commercial Bankin China[J].Studies of International Finance,2009(9). |
| |
| Authors: | Zhang jianguang Liu Jiangtao |
| |
| Institution: | Zhang jianguang Liu Jiangtao |
| |
| Abstract: | This article analyses the rules to measure market risk issued by Basle Committee and supervisor of China, and makes a study on market risk measurement and fluctuation of commercial bank in China . Conclusions can be drawn as follows:(1) Market risk measurement is the key to market risk management, and it turns from simple risk measurement to risk-profit measurement;(2) VaR and Economic Capital Model are actualized in China, and advanced tools will be brought into effect gradually with the development of com... |
| |
| Keywords: | Market Risk Measurement Model Fluctuation |
| 本文献已被 CNKI 等数据库收录！ |
