【摘要】 基于巴塞尔新资本协议和Credit Risk+模型,以数据仓库为基础设计了商业银行经济资本管理系统,这一系统包括以EVA为目标函数、以经济资本限额等为约束条件构建的商业银行贷款决策最优化模型。通过该系统可以实现任一贷款组合的经济资本计量,该系统可有效地运用于经济资本约束条件下商业银行的贷款优化决策。更多还原

【Abstract】 Based on the New Basel Capital Accord and CreditRisk+ model,we designed an economic capital management system for commercial banks. By using of the system,we can realize online real-time measurement of economic capital of any loan portfolio. The system also constructs the optimal commercial bank loan-decision model,which has the EVA as objective function and economic capital limitation as constraint. The system can be used to make loan-decision for commercial banks effectively on the constraint of economic capital.更多还原