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:2008204222:(1977),,,:82()2008.8(2)VOL.8,NO.220086JournalofNanjingAgriculturalUniversity(SocialSciencesEdition)Jun.,2008(,210095):,,,,:;;;:F830.5:A:16717465(2008)02003905,,,,20038,(),,,[1],[2],[3],,[4-5],,,,,,,,,,93(EconomicCapital:EC)(CapitalatRisk:CaR),,2090,,,,,(Risk-AdjustedReturnonCapital:RAROC),,:RAROC=-,,,(ROEROA),RAROC,1.(),()(),:CMCQ=Min[E3V,ni=1CMCQi]:CMCQ(CustomerMaximumCreditQuota),E,V,CMCQii,:(1)();(2);(3),,15%2.CMCQCMRQ(CustomerMaximumRiskQuota),,,,,(ExpectedLoss:EL)(UnexpectedLoss:UL)EC[6]:EL=EAD3PD3LGD(1)UL=L=D(L)=EAD3PD32LGD+LGD232PDEAD3PD3(1-PD)3LGD(2)EC=3UL-EL=EAD33PD32LGD+LGD232PD-ELEAD33PD3(1-PD)3LGD-EL(3):EAD;PD,;LGD,,LGD;,,EADPDLGD,,,04()8:(EL)(UL),,,,Altman(1998):,,,RAROCp[7],:(1),,;(2),;(3)1;(4):maxRAROCp=ERp-ELpECs.t.ECCMRQ:RAROCp;ERp,;ELp,;EC,EAD31EAD32EAD3n,,,,,,,i,j=1,:ULp=ni=1nj=1i,j3ULi3ULj=ni=1ULi,:ELp=ni=1ELi,:EC=3ULp-ELp=3ni=1ULi-ni=1ELi=ni=13ULi-ni=1ELi=ni=1ECi,,EC=CMRQ,ERp=ni=1EADi3EriELp=ni=1EADi3EliEC=ni=1EADi3Eci(EADii,Eri,Eli,Eci),:maxni=1EADi3Eri-ni=1EADi3Elis.t.EC=ni=1EADi3Eci=CMCQ,:LEAD1,EAD2,EADn,=ni=1EADi3Eri-ni=1EADi3Eli-(EC-CMRQ)EADi,,EAD31EAD32EAD3n:5L5EAD3i=Eri-Eli-3Eci=0Eri-EliEci=(i=12n)X3i,:EAD313Er1-EAD313El1EAD313Ec1=EAD323Er2-EAD323El2EAD323Ec2==EAD3n3Ern-EAD3n3ElnEAD3n3Ecn=RARPC,:RAD3i3Eri-EAD3i3EljEAD3i3Ecii142:RAROCi,RAROCi,,:RAROCi=EAD3i3Eri-EAD3i3PDi3LGDEAD3i3Eci,RAROCi,,:(1)EADi,RAROCi,RAROCi,Eci,(2),RAROCiEri,RAROCi(3)/,,RAROCi,,RAROCi0.5%,40%,6,1003,1,11rPDLGD14.4%0.29%45%26.0%1.05%20%35.3%0.72%35%1.(1)(3),::ELp=10000000.5%40%=2000:CMRQ=ECp=510000000.5%(1-0.5%)40%-2000=167280.832.RAROC,RAROC,RAROCRAROC,EADiEADi,,RAROC:MaxRAROCp=ERp-ELpECps.t.3i=1ELi=3i=1(EADiPDiLGDi)=ELp=20003i=1ECi=3i=1EADiPDi(1-PDi)LGDi-ELi=167280.83matlab:EAD1=285895EAD2=414340EAD3=299765,100285895414340299765339785.8178195.249322.48,31%,30.68%:,,1.24()8,RAROCi,RAROC,,RAROCi,,,2.:,(),,;,,;,,,;,,,,,:[1].[D].:,2004.[2],,.[J].,2007(6).[3].[J].,2007(4).[4].[D].:,2006.[5].[M].:,2005:155-186.[6].[M].:,2003:72-86.[7]AltmanE,SaundersA.CreditRiskMeasurement:Devel2opmentovertheLast20Years[J].JournalofBanking&Finance,1998(21):1721-1745.()ApplicationofeconomiccapitalmanagementtounitedcreditmanagementofgroupcustomersZHOUKai(CollegeofEconomicsandManagement,NanjingAgriculturalUniversity,Nanjing210095,China)Abstract:Thepreventionandcontrolofgroupcustomerscreditriskshasalwaysbeenthefocusandproblematicissueforthecommercialbanksintheircreditriskmanagement.Atpresent,mostChinesecommercialbankshavesetcustomermaximumcreditquotatodealwiththisproblem.Inthispaper,weapplyeconomiccapitalmanage2menttounitedcreditmanagementofgroupcustomers,whichwillenhancecommercialbankssensibilitytoriskbyswitchingtheirattentionfrommaximumcreditquotatoriskquota.Moreover,bythemeansofoptimizingtheeverymemberscreditriskquota,wewillenablebankstoachievemaximumRAROConportfoliobasis.Keywords:UnitedCreditManagementofGroupCustomers;CreditRiskQuota;EconomicCapital;RiskOAdjus2tedReturnonCapital(RAROC)342: