| 基于监管协调创新的银行资产负债比例管理的改进 |
 点此下载全文 |
| 引用本文：彭建刚，张倚胜，刘凡璠.基于监管协调创新的银行资产负债比例管理的改进[J].湖南大学学报社会科学版,2016,(4):72-78 |
| 摘要点击次数: 985 |
| 全文下载次数: 43 |
|
|
| 中文摘要:原有的商业银行资产负债比例指标体系对宏观审慎和微观审慎均考虑不足，缺乏动态化的考虑，没有考虑经济资本的作用和逆周期管理的要求。通过引入经济资本约束和宏观审慎理念，对商业银行资产负债比例线性规划模型进行了改进。经过改进的管理模型适应了动态化的资本管理，使资产负债比例管理能够满足宏观审慎监管与微观审慎监管协调的新要求，在宏观审慎框架下实现商业银行资产负债比例管理与经济资本管理理念的有机结合，提高了商业银行控制风险的能力。 |
| 中文关键词:宏观审慎监管 资产负债比例管理 RAROC 经济资本 |
| |
| Improvement of Asset Liability Ratio Management of Bank under the Coordination of Prudential Supervision |
|
|
| Abstract:The original asset liability ratio index system of commercial banks takes insufficient account of macro-prudential and micro-prudential aspects, and lacks adequate consideration of requirements in counter-cyclical, as well as dynamic management and function of economic capital. Through the introduction of economic capital constraints and macro-prudential idea, the linear programming model of asset liability ratio management of commercial banks gets improved. The improved management model adapts to the dynamic capital management, so that the asset liability ratio management could meet the new requirement of the coordination of macro-prudential supervision and micro-prudential supervision. Meanwhile, the improved model realizes the combination of asset liability ratio management of commercial banks and the concept of economic capital management under macro-prudential framework. Therefore, it improves the ability of risk management of commercial banks. |
| keywords:macro-prudential asset liability ratio management RAROC economic capital |
| 查看全文 查看/发表评论 下载pdf阅读器 |
次