摘要
在系统性风险防范的视角下,本文对经济资本管理的基本方法进行了重新梳理,发现现行的经济资本管理会导致亲周期效应问题,削弱其防范系统性风险的能力。为此,要在系统性风险防范目标下改进经济资本计量方法,以科学的系统性风险预测为基础确定经济资本限额,优化经济资本在行业和地区层面的分配,以及通过贷款集中度管理追求风险分散最大化,从而实现对系统性风险的有效防范。
In the systemic risk prevention perspective, the article analyze the basic methods of economic capital management, found the current economic capital management will result in pro-cyclical effect, which undermine its ability to guard against systemic risk. To this end, we must improve the economic capital measurement methods in the objective to guard against systemic risk, determine economic capital limits based on scientific systematic risk prediction, optimizing the economic capital in the sector and district level distribution and credit concentration management in the pursuit of risk dispersion maximum, in order to achieve effective prevention of systemic risk.
出处
《上海金融》
CSSCI
北大核心
2010年第5期49-53,共5页
Shanghai Finance
基金
教育部博士点基金项目(20060532011)
关键词
系统性风险
经济资本
亲周期效应
Systemic Risk
Economic Capital
Pro-cyclical Effect
