商业银行市场风险经济资本计量与分配方法及模型研究

发布时间：2018-04-10 22:25

本文选题：市场风险 + 监管资本　；参考：《天津大学》2016年博士论文

【摘要】：风险管理是商业银行稳健经营的重要因素。银行监管者和经营者都意识到资本不仅是评估和抵御风险的重要工具,而且通过有效管理可给银行创造效益。以往商业银行以信贷业务为主要经营模式,学者多在信用风险领域研究资本管理问题。在金融全球化的背景下,商业银行经营结构逐步向金融市场业务转型,市场风险领域的资本管理成为现实问题。本文分析了金融市场业务的风险特征,结合市场风险监管资本要求,提出经济资本计量与分配方法框架及模型,用实证案例验证了方法框架及模型的有效性。本文具体的工作如下:第一,本文在市场风险领域,提出了商业银行如何计量与分配经济资本的新问题。基于金融市场业务的风险特征,区别于以往信用风险的研究领域,对该问题进行深入研究。第二,本文揭示了经济资本计量与分配方法是随着风险管理“螺旋式”上升过程而不断发展的一般规律。从内部风险管理与外部监管协同出发,在市场风险领域提出了经济资本计量与分配方法框架,包括问题剖析、模型要素分析、模型变量及参数选择、数学模型构造、模型求解与应用等方面内容。第三,本文重点研究了方法框架的核心内容——计量与分配模型。借鉴财务成本分配和信用风险资本管理的理论,建立了三类计量与分配一般模型,并采用情景分析和优化方法对模型及其变量比较分析。三类一般模型的适用范围覆盖了不同规模、不同风险管理水平和经济资本管理要求的商业银行。第四,本文提出市场风险经济资本的分配应在内部风险管理和外部监管的协同管理下进行,并给出了协同管理下经济资本与监管资本统一的狭义和广义定义,基于一般模型建立了三类特殊模型,对比各自特点,并分析三类特殊模型对我国大中型商业银行的适用性。第五,本文以我国某大型商业银行为实证案例,验证了市场风险经济资本计量与分配方法框架的有效性和模型的合理性,体现了理论研究在实践中的应用价值。
[Abstract]:Risk management is an important factor in the steady operation of commercial banks.Both bank regulators and managers realize that capital is not only an important tool for assessing and resisting risks, but also benefits for banks through effective management.In the past, the main business model of commercial banks was credit business, and scholars mostly studied capital management in the field of credit risk.Under the background of financial globalization, the management structure of commercial banks is gradually transforming to financial market business, and capital management in the field of market risk becomes a realistic problem.This paper analyzes the risk characteristics of financial market business, and puts forward the framework and model of economic capital measurement and allocation method. The validity of the method framework and model is verified by an empirical case.The specific work of this paper is as follows: first, in the field of market risk, this paper puts forward a new problem of how commercial banks measure and distribute economic capital.Based on the risk characteristics of financial market business, this problem is studied in depth, which is different from the previous research field of credit risk.Secondly, this paper reveals that the measurement and distribution of economic capital is a general law which develops with the "spiral" of risk management.Based on the coordination of internal risk management and external supervision, the paper puts forward the framework of economic capital measurement and allocation in the field of market risk, including problem analysis, model element analysis, model variable and parameter selection, mathematical model construction.Model solving and application.Thirdly, this paper focuses on the measurement and distribution model, which is the core content of the method framework.Based on the theory of financial cost allocation and credit risk capital management, three general models of measurement and allocation are established, and the model and its variables are compared and analyzed by scenario analysis and optimization method.The three general models cover commercial banks with different scales, different risk management levels and economic capital management requirements.Fourthly, this paper proposes that the allocation of market risk economic capital should be carried out under the cooperative management of internal risk management and external supervision, and gives the narrow and broad definition of the unity of economic capital and regulatory capital under cooperative management.Based on the general model, three kinds of special models are established, and their characteristics are compared, and the applicability of the three special models to large and medium-sized commercial banks in China is analyzed.Fifthly, taking a large commercial bank in China as an empirical case, this paper verifies the validity of the framework of the measurement and allocation of market risk economic capital and the rationality of the model, which reflects the application value of theoretical research in practice.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.33;F830.42

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