商业银行风险准备金的确定
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摘要
依据商业银行自身持续发展的需要与监管机构的要求,商业银行迫切需要对其经营过程中面临的信用风险、市场风险和操作风险等进行更为合理的度量,以实现管理风险与获得收益之间的平衡。为应对所面临的风险损失,商业银行需要为风险预留风险准备金。传统方法中的损失准备金是通过分别计算各种类型的风险的损失准备金,然后对这些风险损失准备金进行简单求和。该方法暗含着风险损失之间完全正相关的假设,在实际运用中,会造成对风险损失的高估,从而引起风险准备金的过量,影响银行的盈利性和发展速度。
本文应用目前广泛接纳的风险价值(VaR)方法来度量商业银行所面临的信用风险、市场风险以及操作风险等风险的综合状况。对于不同风险类型之间的相关性,应用Copula函数来考察,在此基础上,建立了商业银行度量风险的模型,运用蒙特卡罗模拟方法来对风险损失情况进行模拟,获得了对风险更为合理的度量。采用10天的持有期,根据模型计算所得的风险价值VaR要比通过分别计算并简单求和的方法所得的VaR值要小,这使得商业银行可以更加合理的确定为应对风险而需要预留的准备金。
Based on their own needs of sustainable development and the requirements of regulatory agencies, commercial banks are in an urgent need for a more accurate measure of the credit risks, market risks and operational risks faced by the commercial banks in their business courses. To be well prepared for the risks, banks are required to hold capital for potential losses. In order to achieve the balance between risk management and profitability, the traditional way is to calculate a simply summation after get the loss reserve of each type of risk. This method implies that losses of different risks are completely positive related. And in the practical application, it will result in overestimation of the risk losses which leads to excessive risk reserves and then affects the profitability of the commercial banks.
We applied the widely used Value at Risk (VaR) method to measure the total risk status resulting from various risks encountered by the commercial banks. As for different types of risks, we use copula function to study their correlation. On this basis, we established a commercial bank risk management medol. We imployed Monte Carlo simulation to simulate the risk losses and got a more precise measure of the risks. Take a ten days holding period, we get a significantly smaller estimation of losses with our method than that of the traditional way thereby enabling commercial banks to determine more accurately the amount of capital they need to operate their businesses.
本文应用目前广泛接纳的风险价值(VaR)方法来度量商业银行所面临的信用风险、市场风险以及操作风险等风险的综合状况。对于不同风险类型之间的相关性,应用Copula函数来考察,在此基础上,建立了商业银行度量风险的模型,运用蒙特卡罗模拟方法来对风险损失情况进行模拟,获得了对风险更为合理的度量。采用10天的持有期,根据模型计算所得的风险价值VaR要比通过分别计算并简单求和的方法所得的VaR值要小,这使得商业银行可以更加合理的确定为应对风险而需要预留的准备金。
Based on their own needs of sustainable development and the requirements of regulatory agencies, commercial banks are in an urgent need for a more accurate measure of the credit risks, market risks and operational risks faced by the commercial banks in their business courses. To be well prepared for the risks, banks are required to hold capital for potential losses. In order to achieve the balance between risk management and profitability, the traditional way is to calculate a simply summation after get the loss reserve of each type of risk. This method implies that losses of different risks are completely positive related. And in the practical application, it will result in overestimation of the risk losses which leads to excessive risk reserves and then affects the profitability of the commercial banks.
We applied the widely used Value at Risk (VaR) method to measure the total risk status resulting from various risks encountered by the commercial banks. As for different types of risks, we use copula function to study their correlation. On this basis, we established a commercial bank risk management medol. We imployed Monte Carlo simulation to simulate the risk losses and got a more precise measure of the risks. Take a ten days holding period, we get a significantly smaller estimation of losses with our method than that of the traditional way thereby enabling commercial banks to determine more accurately the amount of capital they need to operate their businesses.
引文
[1]牟怡楠.银行业信用风险与市场风险整合研究[J].云南民族大学学报(哲学社会科学版)2007,9:109-112
[2]卓志.风险管理理论研究[M].中国金融出版社.2006.10:267-319
[3] Kjersti Aas, Xeni K. Dimakos.Risk Capital Aggregation[M]. 2005.12
[4]郭晓亭、蒲勇健、林略.风险概念及其数量刻画[J].数量经济技术经济研究.2004.2:16-17
[5] Xeni K. Dimakos, Kersti Aas.Integrated Risk Modelling[M].2003.12
[6]宋明哲.现代风险管理[M].中国纺织出版社.2003.2
[7]陈四清.商业银行风险管理通论[M].北京:中国金融出版社.2006.6:3-5,40-47,90-95
[8]沈滨,骆峰.我国商业银行市场风险管理模式研究[J].湖北社会科学.2007:27-28
[9]王先玉.商业银行管理学基础[M].,中国金融出版社.2006.7:457-500
[10]友联时骏企业管理顾问公司.风险管理—原理与方法[M].上海:复旦大学出版社.2005.1:5,17-26,63,125-127
[11]余效明,朱惠红.商业银行风险审计研究[M].中国时代经济出版社.2007.1
[12]柳永明、李宏.风险管理[M].上海财经大学出版社.2006.12
[13]谷秀娟:金融风险管理—理论、技术与应用。上海:立信会计出版社.2006.1:193-195
[14]杨珍,彭慧.整合风险管理理念在加强企业职能风险管理中的应用[J].商场现代化.2005.12:56-58
[15]陈福.论现代企业财务风险及其预警[J].价值工程.2005.4:100-102
[16] P. de Fontnouvelle, J. S. Jordan, V. DeJesus-Rueff, and E. S. Rosengren. Capital and Risk: New Evidence on Implications of Large Operational Losses. Forthcoming in Journal of Money, Credit and Banking, 2005
[17] Markus Junker & Angelika May.Measurement of aggregate risk with copulas[J].Econometrics Journal.2005.volume 8:428-454
[18]张友棠.财务预警系统管理研究[M].中国人民大学出版社.2004
[19]苏淑玲.航空运输企业风险管理及防范措施研究[D].中国农业科学院.2007.10
[20]黄锦亮、白帆.论财务风险管理的基本框架[J].财会通讯.2004.6:29-31
[21] George E. Rejda. Principles of Risk Management and Insurance[M].Addison Wesley Longman,lnc.199
[22] Basel Committee on Banking Supervision.An Explanatory Note on the Basel II IRB Risk Weight Functions. Consultative Document, 2004a.
[23] Julia Lynn Wirch, Mary R. Hardy .A synthesis of risk measures for capital adequacy[J].Insurance: Mathematics and Economics. 1999:337-347
[24] Paul J. Sobel. Auditor’s Risk Management Guide. Integrating Auditing and ERM[M].Citic Publishing House. 2003,12
[25]薛祖云、刘金星.现代企业财务风险预警系统指标体系的构建[J].财会通讯.2004.8:11-13
[26] James S. Trieschmann, Robert E. Hoyt, David W. Sommer. Risk Management and Insurance[M].Peking University Press.2006.8
[27]陈忠阳.金融风险分析与管理研究—市场和机构的理论、模型与技术[M].中国人民大学出版社.2001.4
[28] Stan Uryasev. Conditional Value-at-Risk(CVaR) Algorithms and Applications. Risk Management and Financial Engineering Lab, University of Florida.2005
[29] Michel Crouhy, Dan Galai, Robert Mark. Risk Management[M]. Peking University Press.2003
[30]王春峰.金融市场风险管理[M].天津大学出版社.2001.2:6-10
[31] Basel Committee on Banking Supervision.Trends in risk integration and aggregation. Joint Forum Working Group report,2003.
[32] Y. Malevergne1, V. Pisarenko, and D. Sornette .Empirical Distributions of Log-Returns.between theStretched Exponential and the Power Law[M].2007.3
[33]林莹、朱建平.Copula函数的比较及其在风险度量中的应用问题[J].统计教育.2007.1:8-10
[34] Shaun S. Wang, Ph.D., FCAS, ASA .A RISK MEASURE THAT GOES BEYOND COHERENCE,SCOR Reinsurance Co. One Pierce Place, Itasca, IL USA 60143.2004
[35]张宏毅、陆静.运用损失分布法的计量商业银行操作风险[J].系统工程学报.2008.8:411-416
[36](澳)马滕(Matten,C)著;王洪、漆艰明等译.银行资本管理:资本配置和绩效测评(原书第二版)[M].北京:机械工业出版社.2004.1:15-16,24,71-76,130-139,145-186
[37]王新军.财产损失分布建模与实证分析研究[J].统计研究.2003,3:19-21
[38](美)桑德斯(Saunders,A)著,刘宇飞译.信用风险度量:风险估值的新方法与其他范式[M].北京:机械工业出版社.2001
[39] Dalton F.Andrade, Pedro A. Barbetta, Paulo J. de Freitas Filho, Ney A. de Mello Zunino, Carlos Magno C. Jacinto. Using Copula in Risk Analysis[R].Proceedings of the 2006 Winter Simulation Conference.2006
[40]路阳,李平.基于Copula函数的风险预算新方法[J].统计与决策(理论版).2007.2:23-25
[41]何旭彪.金融风险综合评估方法最新研究进展[J].国际金融研究.2008.6:63-68
[42]杨益党,罗羡华.Copula函数的参数估计[J].新疆师范大学学报(自然科学版).2008,5:120-122
[43]张金清,李徐.资产组合的集成风险度量及其应用[J].系统工程理论与实践.2008.6:6-10
[44]姜继姣,杨乃定.基于软系统的集成风险管理概念模型[J].科学管理研究.2008,2:95-98
[45]张玲.基于经济附加值的上市公司财务困境预警实证研究[J].财经理论与实践.2004.5:42-44
[46]张峰,胡艳连.金融风险度量VaR方法及其应用[J].长春师范学院学报(自然科学版)2006.12:22-24
[47] Fredrik Andersson1and Stanislav Uryasev. Credit Risk Optimization with Conditionall Value-at-Risk. Creterion Research Report 92-99,Center for Applied OptimizationDept. of Industrial and Systems Engineering,University of Florida, Gainesville, FL 32611,Date. August 30, 1999
[2]卓志.风险管理理论研究[M].中国金融出版社.2006.10:267-319
[3] Kjersti Aas, Xeni K. Dimakos.Risk Capital Aggregation[M]. 2005.12
[4]郭晓亭、蒲勇健、林略.风险概念及其数量刻画[J].数量经济技术经济研究.2004.2:16-17
[5] Xeni K. Dimakos, Kersti Aas.Integrated Risk Modelling[M].2003.12
[6]宋明哲.现代风险管理[M].中国纺织出版社.2003.2
[7]陈四清.商业银行风险管理通论[M].北京:中国金融出版社.2006.6:3-5,40-47,90-95
[8]沈滨,骆峰.我国商业银行市场风险管理模式研究[J].湖北社会科学.2007:27-28
[9]王先玉.商业银行管理学基础[M].,中国金融出版社.2006.7:457-500
[10]友联时骏企业管理顾问公司.风险管理—原理与方法[M].上海:复旦大学出版社.2005.1:5,17-26,63,125-127
[11]余效明,朱惠红.商业银行风险审计研究[M].中国时代经济出版社.2007.1
[12]柳永明、李宏.风险管理[M].上海财经大学出版社.2006.12
[13]谷秀娟:金融风险管理—理论、技术与应用。上海:立信会计出版社.2006.1:193-195
[14]杨珍,彭慧.整合风险管理理念在加强企业职能风险管理中的应用[J].商场现代化.2005.12:56-58
[15]陈福.论现代企业财务风险及其预警[J].价值工程.2005.4:100-102
[16] P. de Fontnouvelle, J. S. Jordan, V. DeJesus-Rueff, and E. S. Rosengren. Capital and Risk: New Evidence on Implications of Large Operational Losses. Forthcoming in Journal of Money, Credit and Banking, 2005
[17] Markus Junker & Angelika May.Measurement of aggregate risk with copulas[J].Econometrics Journal.2005.volume 8:428-454
[18]张友棠.财务预警系统管理研究[M].中国人民大学出版社.2004
[19]苏淑玲.航空运输企业风险管理及防范措施研究[D].中国农业科学院.2007.10
[20]黄锦亮、白帆.论财务风险管理的基本框架[J].财会通讯.2004.6:29-31
[21] George E. Rejda. Principles of Risk Management and Insurance[M].Addison Wesley Longman,lnc.199
[22] Basel Committee on Banking Supervision.An Explanatory Note on the Basel II IRB Risk Weight Functions. Consultative Document, 2004a.
[23] Julia Lynn Wirch, Mary R. Hardy .A synthesis of risk measures for capital adequacy[J].Insurance: Mathematics and Economics. 1999:337-347
[24] Paul J. Sobel. Auditor’s Risk Management Guide. Integrating Auditing and ERM[M].Citic Publishing House. 2003,12
[25]薛祖云、刘金星.现代企业财务风险预警系统指标体系的构建[J].财会通讯.2004.8:11-13
[26] James S. Trieschmann, Robert E. Hoyt, David W. Sommer. Risk Management and Insurance[M].Peking University Press.2006.8
[27]陈忠阳.金融风险分析与管理研究—市场和机构的理论、模型与技术[M].中国人民大学出版社.2001.4
[28] Stan Uryasev. Conditional Value-at-Risk(CVaR) Algorithms and Applications. Risk Management and Financial Engineering Lab, University of Florida.2005
[29] Michel Crouhy, Dan Galai, Robert Mark. Risk Management[M]. Peking University Press.2003
[30]王春峰.金融市场风险管理[M].天津大学出版社.2001.2:6-10
[31] Basel Committee on Banking Supervision.Trends in risk integration and aggregation. Joint Forum Working Group report,2003.
[32] Y. Malevergne1, V. Pisarenko, and D. Sornette .Empirical Distributions of Log-Returns.between theStretched Exponential and the Power Law[M].2007.3
[33]林莹、朱建平.Copula函数的比较及其在风险度量中的应用问题[J].统计教育.2007.1:8-10
[34] Shaun S. Wang, Ph.D., FCAS, ASA .A RISK MEASURE THAT GOES BEYOND COHERENCE,SCOR Reinsurance Co. One Pierce Place, Itasca, IL USA 60143.2004
[35]张宏毅、陆静.运用损失分布法的计量商业银行操作风险[J].系统工程学报.2008.8:411-416
[36](澳)马滕(Matten,C)著;王洪、漆艰明等译.银行资本管理:资本配置和绩效测评(原书第二版)[M].北京:机械工业出版社.2004.1:15-16,24,71-76,130-139,145-186
[37]王新军.财产损失分布建模与实证分析研究[J].统计研究.2003,3:19-21
[38](美)桑德斯(Saunders,A)著,刘宇飞译.信用风险度量:风险估值的新方法与其他范式[M].北京:机械工业出版社.2001
[39] Dalton F.Andrade, Pedro A. Barbetta, Paulo J. de Freitas Filho, Ney A. de Mello Zunino, Carlos Magno C. Jacinto. Using Copula in Risk Analysis[R].Proceedings of the 2006 Winter Simulation Conference.2006
[40]路阳,李平.基于Copula函数的风险预算新方法[J].统计与决策(理论版).2007.2:23-25
[41]何旭彪.金融风险综合评估方法最新研究进展[J].国际金融研究.2008.6:63-68
[42]杨益党,罗羡华.Copula函数的参数估计[J].新疆师范大学学报(自然科学版).2008,5:120-122
[43]张金清,李徐.资产组合的集成风险度量及其应用[J].系统工程理论与实践.2008.6:6-10
[44]姜继姣,杨乃定.基于软系统的集成风险管理概念模型[J].科学管理研究.2008,2:95-98
[45]张玲.基于经济附加值的上市公司财务困境预警实证研究[J].财经理论与实践.2004.5:42-44
[46]张峰,胡艳连.金融风险度量VaR方法及其应用[J].长春师范学院学报(自然科学版)2006.12:22-24
[47] Fredrik Andersson1and Stanislav Uryasev. Credit Risk Optimization with Conditionall Value-at-Risk. Creterion Research Report 92-99,Center for Applied OptimizationDept. of Industrial and Systems Engineering,University of Florida, Gainesville, FL 32611,Date. August 30, 1999