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本文以现代资产组合理论和巴塞尔新资本协议的有关规范为基础,分析国内信贷资产组合结构评价实践中的问题,包括评价体系与发展战略、评价体系与巴塞尔监管指引、总行层面评价与分行层面评价、分行层面评价与区域差异性等方面存在的衔接问题,进而提出以投资效用为主线的评价方法。该评价方法是将信贷资产组合的投资效用作为评价的主标尺,把预期收益、风险作为效用标尺的两大基本考量因素,而将风险偏好作为效用标尺的调整参数,评价过程尽可能运用巴塞尔新资本协议高级方法的计量成果。
Based on the theories of modern portfolio theory and Basel II, this paper analyzes the problems in the evaluation of domestic portfolio structure of credit assets, including the evaluation system and development strategy, the evaluation system and the Basel supervision guidelines, the head office level evaluation and branches Level evaluation, branch level evaluation and regional differences and other aspects of the existing problems in convergence, and then put forward the investment effectiveness of the main line of evaluation methods. The evaluation method is to use the credit utility portfolio’s investment utility as the main measure of evaluation and take the expected return and risk as the two basic factors of utility scale, and the risk preference as the adjustment parameter of utility scale. The evaluation process uses Basel Measurement of advanced methods of the New Capital Accord.