基于行业维度的银行组合限额管理研究

Research on Bank Portfolio Limit Management Based on Industry Dimension

摘要: 实现组合限额管理对银行贯彻风险偏好和战略意图，平衡风险、收益和资本以及健全全面风险管理体系具有重要意义。本文对如何开展行业组合限额管理进行了分析，即将行业维度的风险、收益与资本管理的要求作为目标条件，构建组合限额计量模型，根据各行业组合不同的风险、收益和资本占用特点选择最合适的授信额度配比，并进一步结合战略发展、银行资产质量、管理经验、历史限额占比等模型外因素，对组合限额设置结果进行修正。组合限额控制措施主要包括政策调整和资产组合再平衡两种，在日常的限额执行过程中，通过评估组合限额调整必要性后开展定期或不定期调整，保障满足授信需求的同时信贷资产得到充分有效的使用。

Abstract: The realization of portfolio limit management is of great significance for banks to implement risk preference and strategic intention, balance risk, return and capital, and improve the comprehen-sive risk management system. This paper analyzes how to carry out the industry portfolio limit management, which takes the risk, income and capital management requirements of the industry dimension as the target conditions, constructs the portfolio limit measurement model, and selects the most appropriate credit rating ratio according to the different risk, income and capital occu-pation characteristics of each industry portfolio, and further combines the factors outside the model of strategic development, bank asset quality, management experience and proportion of historical quota to modify the results of portfolio limit setting. Portfolio limit control measures mainly include policy adjustment and asset portfolio rebalancing. In the daily limit implementation process, regular or irregular adjustment is carried out after the necessity of portfolio limit adjustment is evaluated, so as to ensure the full and effective use of credit assets while meeting the credit demand.