基于期权的商业银行总体经济资本测度研究

本文基于期权定价方法和在险价值原理,提出了两种新的商业银行总体经济资本测度方法,并给出了相关参数的估计方法和计算步骤。与自下而上的经济资本测度相比,我们的测度方法不仅能够反映宏观经济和市场环境变化的影响,且能体现出银行的内部经营和风险管理能力,也能反映银行管理者的风险偏好。同时,它还与在险价值资本测度的目标一致,揭示了经济资本的期权本质。估计方法比较简单,所需数据容易获得,估算结果为商业银行风险管理和资本结构决策提供了参考。

The Gross Economic Capital Measurement of Commercial Banks Based on Option Pricing

Based on the value at risk(VaR)methodology and option pricing formula,this study,this study establishes two new measures of gross economic capital for commercial banks.We also give the estimation methods and calculation steps of the relevant parameters.Compared with bottom-up measure,our measures are not only able to reflect the macroeconomic and market environment,but also measure the capabilities of internal operations and risk management,and bankers' risk preference.Meanwhile,they are consistent with the...