CAJ | 학술논문

长期的风险计量和管理实践中，市场风险和信用风险一直被视为互不相关的两种风险，金融机构根据每种风险单独评估需配置的经济资本。本次危机丰富了我们关于风险之间相关性的观察，在流动性匮乏的市场条件下，信用风险和市场风险互为触发、相互加强形成一个螺旋下降的恶性循环。在未来的风险管理实践中，难以再割裂地对待市场风险和信用风险，需充分考虑两者之间的相关性，把握两者交互作用对宏观经济总体表现和单家银行风险轮廓的影响。在风险计量方面，无论采用集成法还是分类法，都应充分考虑风险加总过程中的复合效应。
장기적풍험계량화관리실천중，시장풍험화신용풍험일직피시위호불상관적량충풍험，금융궤구근거매충풍험단독평고수배치적경제자본。본차위궤봉부료아문관우풍험지간상관성적관찰，재류동성궤핍적시장조건하，신용풍험화시장풍험호위촉발、상호가강형성일개라선하강적악성순배。재미래적풍험관리실천중，난이재할렬지대대시장풍험화신용풍험，수충분고필량자지간적상관성，파악량자교호작용대굉관경제총체표현화단가은행풍험륜곽적영향。재풍험계량방면，무론채용집성법환시분류법，도응충분고필풍험가총과정중적복합효응。
In the practices of risk measurement and. management, market and credit risk have always been trea- ted as two independent risk for a long time, these two risks have been measured separately, and economic capital against each risk has been assesses separately. The recent financial crisis has enriched this observation on the interaction of market and credit risk. The deteriorating market liquidity often forces market and credit risk to trigger each other and reinforce each other, and put them in motion a downward spiral. In the future, in risk management, the market and credit risk should not be treated separately any more. And the interaction between these two risks should be fully taken into account, especially the impact on the overall macroeconomic perform- mace and the risk profile of individual bank. On balance, when measuring the overall risk, no matter which method is used, the integrated approach or compartmentalized approach, the compounding effect, which is produced from the process of adding the two risks, should be fully consideration.