摘要
集团客户信用风险的防范与控制一直是商业银行风险管理的热点和难点问题。目前,我国商业银行的做法大多是设定集团最高授信额度。引入经济资本的理念和管理方法,使银行从单纯控制集团客户最高授信限额转向对最高风险限额的关注,增强了对风险的敏感性。而通过对集团成员风险限额和经济资本的优化配置,能够使银行在控制集团整体风险的基础上实现资本收益最大化。
The prevention and control of group customers＇ credit risks has always been the focus and problematic issue for the commercial banks in their credit risk management. At present, most Chinese commercial banks have set customer maximum credit quota to deal with this problem. In this paper, we apply economic capital manage- ment to united credit management of group customers, which will enhance commercial banks＇ sensibility to risk by switching their attention from maximum credit quota to risk quota. Moreover, by the means of optimizing the every member＇s credit risk quota, we will enable banks to achieve maximum RAROC on portfolio basis.
出处
《南京农业大学学报（社会科学版）》
CSSCI
2008年第2期39-43,共5页
Journal of Nanjing Agricultural University(Social Sciences Edition)
关键词
集团客户统一授信
最高风险限额
经济资本
风险调整后的收益率
United Credit Management of Group Customers
Credit Risk Quota
Economic Capital
Risk-Adjusted Return on Capital （RAROC）
