【作者】 郭战琴； 赵冬青；

【Author】 Zhanqin Guo, Dongqing Zhao 1 Business school of Zhengzhou University, Zhengzhou 450001, China 2 School of Economics and Management, Tsinghua University, Beijing 100084, China

【机构】 郑州大学商学院； 清华大学经管学院；

【摘要】 2008年的金融危机表明,将信用风险和市场风险视为独立风险进行度量和管理的做法,造成了风险计量的盲目性,同时还会带来更加严重的流动性风险。本文对相关文献进行综述,分析商业银行的市场风险和信用风险的交互作用和二者的关联风险影响效应。并以当前国内银行业银行账户利率风险经济资本配置存在的局限性为基础,分析了国内银行业应以利率和信用风险的集成风险为基础进行经济资本配置。更多还原

【Abstract】 The financial crisis in 2008 has challenged the common practice of treating credit risk and market risk separately in commercial banks risk management. In this paper, we have reviewed the literatures in the interaction of credit and market risk and the impacting effect of their correlation risk. Based on the analysis of the current allocation of economic capital on banking books, we propose that the economic capital should be allocated on the banking books according to the integrated impact of interest rate and credit risk.更多还原