The Study of Economic Capital Measurement Approaches of Portfolio Credit Risk of Commercial Banks
系统分析了新巴塞尔资本协议下组合信用风险经济资本计量的渐进单风险因子模型及其三个关键假设的局限性，并比较了针对借款人集中风险、行业集中风险和信用传染风险的调整方法，有助于中国商业银行选择或建立合适的计量模型。
Economic capital measure of portfolio credit risk is the core content of Credit Risk IRB in The New Basel Capital Accord.The Asymptotic Single Risk Factor model is the basis calculation model of economic capital measure of portfolio credit risk in the Credit Risk IRB.However,it has three key following assumptions: (1) Infinitely fine grained;(2) single systematic risk factor;(3) conditional default independence.From the point of practitioner,the three assumptions are too strict,and they ignore obligor concentration risk,sector concentration risk and credit contagion risk.In order to get relatively accurate economic capital measure for portfolio credit risk,we need adjust and re-measure the three kinds of risk.The adjustment methods for obligor concentration risk are HHI and granularity adjustment.The adjustment approaches for sector concentration risk are multi factors model,diversification factor model and binomial expansion technique.The adjustment approaches for credit contagion risk are credit infection model based on binomial expansion technique and extended multifactor adjustment model.This paper gives a systematic analysis and comparative study for the fundamental and applicability of these measure and adjustment approaches.It will be helpful for the commercial banks in China to select or set up appropriate measurement model of credit risk economic capital.