我国银行业资本监管相关问题研究——基于巴塞尔协议Ⅲ

金融危机爆发后,被各国普遍视为防范银行风险圭臬的巴塞尔协议暴露出一系列缺陷,现有资本监管框架并不能完全覆盖银行经营过程中产生的风险。作为应运而生的巴塞尔协议Ⅲ的核心内容,更高的资本监管标准,势必会对我国银行业产生影响。本文通过介绍巴塞尔Ⅲ对资本监管制度的改进及其实施后将对中国银行业产生的影响,为新背景下我国银行业发展提出政策建议。     

商业银行市场风险的VaR度量方法的概述

商业银行市场风险的度量一般采取标准法和内部模型法(即VaR模型)。《巴塞尔新资本协议》之后,VaR模型逐渐成为商业银行主要的风险评价和管理工具。然而VaR模型存在缺陷。本文论述了实际应用中的VaR度量方法及其不足之处。     

商业银行经济资本管理研究

20实际80年代以来,各国银行业和金融监管当局逐渐开始关注商业银行的资本充足情况和风险管理水平,并且随着金融市场的深化程度的加强,对其进行监管和引导对监管部门和银行来说难度大幅度加强。1988年《巴塞尔协议》的推出对银行监管系统引入了以风险为基础的资本监管理念和标准。在强化资本约束的前提下,如何通过合理配置资本使其得到更多的增加值,从而实现银行既定风险水平下的价值最大化已成为国际银行业经营管理当中着重考虑的问题之一。本文通过详细介绍经济资本有关概念和应用方法,旨在找出适合我国商业银行经营模式的管理办法。     

新巴塞尔协议下亚洲地区银行的操作风险管理——基于新加坡、香港地区和中国大陆的比较研究

操作风险引发的银行重大损失案件时有发生,引起巴塞尔委员会的关注。操作风险的定义、度量标准和管理体系等在新巴塞尔协议中得到体现。相对于新加坡,香港地区来说,我国大陆操作风险管理起步较晚,银行在公司治理、内部控制等方面存在的缺陷也使得操作风险管理呈现特殊性。从成因上看,操作风险主要由于内部欺诈,尤其是管理层欺诈引起：从制度制定上看,常常因业务先行于制度而不能有效约束风险。面对实施新巴塞尔协议带来的机遇与挑战,应结合银行业现实,建立适应中国国情的风险管理长效机制,树立正确的操作风险管理理念,正确把握操作风险资本计量。将操作风险管理纳入全面风险管理,从而提高银行整体风险管理效率。     

博弈：从新巴塞尔协议看我国的银行业监管

本在新巴塞尔协议的银行风险监管框架的基础上，对加强我国银行业的监管和防范风险提出了几点对策。通过银行操作与银行监管的动态博弈模型，对新巴塞尔协议中对银行监管的精神给予更加具体、形象的描述。     

巴塞尔协议演变历程梳理

本文按照时间顺序梳理了巴塞尔协议的发展历程。从1975年第一个协议到2010年的巴塞尔协议Ⅲ,巴塞尔协议走过三十多年的历程。先后共有6个协议:《对外银行机构监督的原则》、《巴塞尔银行业条例和监管委员会关于统一国际银行资本衡量和资本标准的协议》、《包括市场风险后的资本协议》、《有效银行监管的核心原则》、《新巴塞尔协议》、《巴塞尔协议Ⅲ》。对巴塞尔协议演变历程的梳理,有助于教学的使用与学者的学习,更有助于为银行业的经营与管理提供改革的思路与方法,促进国际银行业的健康发展。     

巴塞尔协议演变历程梳理

本文按照时间顺序梳理了巴塞尔协议的发展历程。从1975年第一个协议到2010年的巴塞尔协议III，巴塞尔协议走过三十多年的历程。先后共有6个协议：《对外银行机构监督的原则》、《巴塞尔银行业条例和监管委员会关于统一国际银行资本衡量和资本标准的协议》、《包括市场风险后的资本协议》，《有效银行监管的核心原则》，《新巴塞尔协议》、《巴塞尔协议III》。对巴塞尔协议演变历程的梳理，有助于教学的使用与学者的学习，更有助于为银行业的经营与管理提供改革的思路与方法，促进国际银行业的健康发展。     

论商业银行经济资本管理

巴塞尔新资本协议指出,资本配置的基本原则是将资本要求与风险度量直接挂钩。该原则确立了经济资本配置在银行经营管理中的重要地位,也为我国商业银行风险管理模式的变革与创新指明了方向。本文在分析经济资本的基础上,对我国商业银行实施经济资本管理提出了初步的操作思路。     

论巴塞尔协议的演进及其改革发展

巴塞尔协议的演进是一个风险资本监管深化的过程,也是一个漫长的实施过程。被认为代表了银行监管发展新趋势的新巴塞尔资本协议在此次金融危机中受到了一些监管当局及国际金融机构的质疑。从巴塞尔协议的演进及其在金融危机中的表现,重新审视了新巴塞尔资本协议的优点和不足,并从资本充足率和系统性风险管理两个角度阐述了笔者对巴塞尔协议今后改革和发展方向的一点想法。     

资本充足率指标对我国商业银行财务预警的有效性分析

自1988年巴塞尔协议出台后,资本充足率指标就成为具有广泛国际影响力的金融监管工具。我国将该指标作为银行风险管理和资本监管的核心指标,通过规定银行资本充足率指标的最低要求,来增强金融危机下对银行风险的监管。用实证的方法分析了资本充足率对银行各类财务风险预警的敏感程度,并初步探讨了资本充足率的财务预警效果。     

The impact of capital requirements on banks’ cost of intermediation and performance: The case of Egypt

In 1991, the Central Bank of Egypt increased the minimum capital requirements for the banking industry vis-à-vis risk-weighted assets to 8%, along the lines proposed by the Basel Committee on Banking Supervision. In this paper, we investigate the effects of capital regulations on cost of intermediation and profitability. Higher capital adequacy increases the interest of shareholders in managing banks’ portfolios. The result is a higher cost of intermediation and profitability. A number of factors have increased the cost of intermediation in the post-capital regulation period: higher capital-to-assets ratios, an increase in management efficiency, an improvement of liquidity and a reduction in inflation. The reduction in output growth countered these effects. A number of factors contributed positively to banks’ profitability in the post-regulation period: higher capital requirements, the reduction in implicit cost, and the increase in management efficiency. The reduction in economic activity had opposite effects on banks’ profitability. Overall, the results support the Central Bank's efforts to enforce capital regulations to improve the performance of the banking sector in Egypt.     

Toward global regulatory harmonization in banking

Several principles of international bank regulatory jurisdictions have emerged since the mid-1970s. Each principle has advantages and disadvantages in promoting cross-border competition, ensuring prudent banking practice, and maintaining worldwide financial stability. At the same time, simultaneous application of different principles by different countries has caused overlapping, underlapping, or sheer avoidance of bank regulations, resulting in less transparency and an uneven playing field for internationally competing banks. To level the playing field, bank regulatory harmonization has been advocated, particularly under the auspices of the Basle Committee on Banking Supervision. However, as demonstrated in the case of setting minimum capital standards for market risks, a successive harmonization approach may not be the panacea. There is a need for rethinking of efficiency in regulation, including incentive-compatible approaches.     

Adam Smith and the Political Economy of a Modern Financial Crisis

Financial crises have occurred periodically for hundreds of years, and Adam Smith had important insights into their causes. Although by no means all that we know about such crises has been derived from Smith, it is interesting and important to reflect on what he did know and how ignoring his warnings about the creation of excess liquidity has contributed to the current crisis. In addition to the complexity of contemporary finance and the role of central banks and other regulatory institutions, a major difference between Smith's day and ours is the emergence of “moral hazard” as an important policy issue and its corollary, “immoral results.” It is important to realize that the risks of financial crisis, moral hazard, and immoral results cannot be avoided by financial and accounting gimmicks, and that there is no substitute for adequate capital in the creation of liquidity.     

Banking is essential,banks are not. The future of financial intermediation in the age of the Internet

This paper examines the question how the future of financial intermediaries and banks as special financial intermediaries may look like in the age of the Internet. The reduction of transaction costs caused by the Internet will reduce the barriers to enter the market for financial products, because there may be no longer a need to run a large system of cost-intensive branches. But as closer examination of the functions of financial intermediaries shows, not everybody can sell and distribute financial products. This is true because of asymmetric information problems in financial business which require an intermediary with a good reputation and because of the need to keep large funds of capital to transform the risk of assets. Both requirements represent an important barrier to enter the market for financial intermediation. Not every financial product will be exposed to more competition due to the rise of the Internet but only products which are standardized and have a low risk. Moreover, large firms with high amounts of capital and a good reputation can be considered as new competitors for banks.     

A Model for Partnering with Not-for-Profits to Develop Socially Responsible Businesses in a Global Environment

Responsible risk management is central to banking ethics. With the 1999 publication of the Basel Committee’s proposal, Basel II, for a New Capital Accord to replace the 1988 agreement, Basel I, an attempt has been made to address the problem of correlating banks’ risk management with their capital requirements. The Basel II framework, finalised in June 2004, is designed to improve risk management by using models based on past performance to help set the amount of capital banks are required to hold by regulators, with the purpose of improving the efficiency of capital allocation. The objectives of this study are to investigate how banks generally, but particularly those located in China, could improve their risk management systems and what the implications of these new regulations are for them. Three relevant propositions were formulated, namely, Basel II will improve risk management; Basel II will improve capital allocation efficiency; and compliance with advanced risk management systems is biased in favour of the large banks. Evidence was assembled with which to evaluate these three propositions by gathering relevant primary data by means of a representative survey of Chinese banking executives involved in risk management. The findings strongly support the first two of the above propositions and partly support the third proposition.     

资本约束下我国商业银行的风险偏好现状与对策研究

随着巴塞尔协议Ⅲ和中国银监会印发的《中国银行业实施新监管标准指导意见》的出台,确立了我国银行业实施新监管标准的政策框架。受此影响,当一部分银行资本充足率不迭标时,可以约束盲目信贷扩张,抑制经济过热的手段之一,调控商业银行整体风险水平;当大部分银行都达到了最低资本充足率要求时,资本约束效应将明显弱化,其他政策工具将是调控信贷的主要手段;而大部分银行为了降低风险。会选择“分母”对策,调整其资产组合。监管部门应我国银行业现状出发,以平滑信贷供给的过度波动为目标,逆风向调整资本充足率,以满足监管要求。     

中国银行业实施巴塞尔Ⅲ：进展与趋势

巴塞尔Ⅲ以资本要求、监管检查、市场约束为三大支柱,主要侧重第一支柱的改革,在重视资本监管的同时,将流动性风险提升到信用风险同等重要的高度;在第二支柱和第三支柱上也有所调整,引入了宏观审慎监管,将其与微观监管手段相结合。中国银行监管当局明确了宏观审慎与微观审慎兼顾、资本监管和流动性监管并重、资本数量和质量同步提高的改革方向,并提出同步推进实施巴塞尔Ⅱ和巴塞尔Ⅲ。2008年金融危机之后,中国宏观经济基本面复苏强劲,为中国银行业顺利推行巴塞尔Ⅲ创造了良好的外部环境,中国银行业在危机中的损失较小、其自身各项经济指标相对稳健也为推行巴塞尔Ⅲ创立了有利的先决条件,但是当前监管工具和银行自身存在的诸多问题仍会影响巴塞尔Ⅲ实施的进程和效果。     

Financial flows to mexico: implications for foreign investors

The 1994–1995 Mexican peso crisis occurred with the presence there of a “new” financial force, namely nonbank private funds. Mexico's economic reforms have in recent years led to massive amounts of highly liquid (and volatile) foreign capital inflows. As the country further embraces market-based principles, long- and short-term capital will flow at an even larger scale across its border, subjecting providers as well as recipients to greater risks. This paper examines the trends in both the “traditional” as well as the “new” forms of capital inflows for the period 1981–1996. Our analysis should help the two sides of this issue: foreign investors to be better prepared in managing future economic challenges, and emerging economies—including several in Southeast Asia that suffered Mexican-style exchange-rate crises in 1997—to implement more appropriate policies, especially as they pertain to currency stability.     

金融危机理论演进与发展研究

随着我国金融开放的深度和广度的不断提高,旧有风险进一步暴露,新的风险进一步产生。我国经济受全球经济波动的影响越来越大,发生金融危机的可能性也在增大。由于金融危机的最大特征就是货币的急剧贬值,关于货币危机的研究也最为成熟,目前已形成四代理论模型。而银行业危机理论和外债危机理论的研究比较分散,还没有形成像货币危机理论那样完善的体系。     

Finanzkrise: Der Reformeifer geht am Kern des Märkteproblems vorbei

Financial globalisation since the early 1980s was supposed to stabilise markets, essentially via wise speculators bringing prices back to equilibrium at any time. In reality, this era has been characterised by more instability and financial crises. In fact, speculators driven by herding tend to produce over- or undershooting. The basic assumption then that ever more trading makes markets ever more efficient seems questionable. Banking should be brought back much closer to its former levels. And regulators should stop designing reforms which do not help counteract herding and overshooting - as is the case for regulating bonuses, which are more of a symptom than the origin of instability. A broadening of financial transaction taxes, as well as much higher capital requirements for banks, would be much more helpful. Both could be designed countercyclically and be raised above normal levels in times of exuberance.