经济资本配置的一致性方法——τ值法

    Coherent Capital Allocation Method -Value Method

    • 摘要: 经济资本配置在商业银行风险管理中发挥着重要作用。首先结合破产问题的研究介绍了子值法及其满足的特性,然后论证了其用于银行经济资本配置的合理性。最后,证明了τ值法是一致性的经济资本分配方法。

       

      Abstract: Capital allocation plays a more and more important role in banking risk management. This paper begins with the introduction of the characters of value method with its utility in solving the bankruptcy problem, then investigates the feasibility of application of value method in credit risk capital allocation in banking system. At the end of the paper, value method is proved to be coherent in risk capital allocation.

       

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