【摘要】 经济资本是新资本协议下银行信用风险控制与管理的重要手段,但在实践中却远未成熟。本文辨析了非预期损失和经济资本的关系,从符合监管要求和便于操作实施的角度出发,介绍了基于期权定价理论和基于新资本协议资本计提公式的实用计量方法,从理论依据、计算步骤和应用评价三个维度进行了阐述。最后,对商业银行实施经济资本计量提出了若干建议。更多还原

【Abstract】 Economic capital is an important means in bank’s credit risk control and management under the new Basel capital accord,but it is far more mature in practice.The article defines the relationship between unexpected loss and economic capital,then from the angle of due diligence and operational convenience,introduces practical methods for the measurement of economic capital on the basis of option pricing theory and capital charge formula under the new capital accord.Then,it expounds the theory basis,calculation steps and evaluation of application of the measurement method.Finally,the article gives out several suggestions on the implementation of commercial bank’s economic capital measurement.更多还原