商业银行不良贷款的经济资本配置：方法与差异

我国商业银行经济资本计量方法都是基于巴塞尔监管资本要求,却忽略或无法准确衡量不良贷款的经济资本问题。事实上,商业银行不良贷款的经济资本配置和正常贷款是不同的。文章利用解析法和蒙特卡罗模拟法对三类具有不同粒度构成的不良贷款组合进行计算、分析和比较。结果表明,贷款组合分散化程度越高,损失分布与正态分布越接近,此时适合采用解析法计算经济资本。当贷款组合分散化程度较低但不含支配型贷款时,采用解析法和模拟法所得结果相差并不大。但是当组合含支配型贷款时,损失分布与正态分布出现较大偏离,模拟法更加适用。另外,贷款组合所需的经济资本量与贷款组合的分散程度大小一般呈负相关。

Economic Capital Allocation for Non-performing Loans of Commercial Banks

Economic capital allocation for non -performing loans is different from that for performing loans. Three different types of portfolios are studied by both analytical method and Monte Carlo simulation method. The re- sults show that, the higher the degree of diversification of the portfolio is, the closer its loss distribution is to a normal distribution, and we should adopt the simple analytical method in this case. When the portfolio is not so diversified and do not include dominant loans, results from two methods make little difference. However, when the portfolio in- cludes dominant loans, its loss distribution would be highly deviated from the normal distribution, and the simulation method is much preferred. The article also detects the negative correlation between required capital and the degree of diversification of the portfolio.