信用风险内部评级法下商业银行监管资本套利策略研究——从监管资本公式视角出发

为了获得更有效的资本竞争优势,首先从核心定义入手,阐述了新资本协议信用风险内部评级法下商业银行进行监管资本套利的可行性。随后,以信用风险内部评级法监管资本公式为基础,利用数理解析和图形分析等方法,详细分析了监管资本要求(K)与违约概率(PD)、违约损失率(LGD)、有效期限(M)之间的相关性,以及在不同风险暴露中监管资本要求(K)的系统性差异。最后,以数理分析和图形分析结果为基础,提出商业银行应采取积极推进内评应用、优化资产结构、以组合管理模式积极推进微型和小型企业业务发展、提升合格风险缓释品的覆盖比例、设置合规且有效的合格风险缓释拆分规则等策略,实现监管资本套利。     

银监会发布实施新资本协议监管规章

近日,银监会发布了实施新资本协议第一批监管规章,包括《商业银行银行账户信用风险暴露分类指引》、《商业银行信用风险内部评级体系监管指引》、《商业银行专业贷款监管资本计量指引》、《商业银行信用风险缓释监管资本计量指引》和《商业银行操作风险监管资本计量指引》。     

对商业银行在新资本协议实施中有效落实违约定义的思考

违约定义是商业银行实施新资本协议信用风险内部评级法的关键基础定义之一,其是否得到有效落实直接关系到银行内部风险参数计量的准确性和监管资本计算的可靠性。本文对违约定义实施的相     

LGD、IRB和商业银行信用风险管理

风险的配置和管理是商业银行的职能之一，信用风险是银行业最大的风险之源。巴塞尔新资本协议资本监管下的内部评级法是信用风险管理的全新方式，违约损失率(LGD)是内部评级法(IRB)中最为重要和计量最为困难的参数。对IRB、LGD的进行了总结分析，并提出了我国商业银行发展内部评级法的意义和建议。     

商业银行信用风险缓释工具及LGD估值研究

在信用风险内部评级初级法下,违约损失率(LGD)的估值是由监管当局给定的,然而在债项层面.依然有许多工作值得研究,一般说来,至少包括三个层次:一是合格风险缓释工具的认定;二是风险缓释工具价值及其覆盖的风险敞口的计量;三是组合风险缓释工具下违约损失率的估算.初级法下合格信用风险缓释工具通常包括抵质押品、净额结算、保证和信用衍生工具四大类,每类缓释工具对债项发挥不同的信用风险缓释功能,对于运用组合风险缓释工具的债项,在估算违约损失率时,应将债项违约风险暴露划分成若干部分,每一部分由一种或一类信用风险缓释工具覆盖,然后进行加权计算.     

新资本协议内部评级法对宏观经济运行的影响：亲经济周期效应研究

新资本协议内部评级法大幅度提高了资本监管的风险敏感度,有助于增强银行体系的运行效率和稳定性,但可能导致信贷运行和经济周期的过度波动。本文认为,由于信用风险是变化的,违约概率、违约损失以及违约风险暴露具有亲周期的特点,亲周期程度取决于银行所采用的模型方法和预测时间;通过第一支柱下降低风险参数的风险敏感度、降低风险权重函数曲线的斜率,第二支柱下的压力测试、设立超额资本要求、平滑风险权重函数的输出值,以及提取动态准备金和实施宏观经济政策等方法能够有效缓解内部评级法的亲经济周期效应;监管当局应在更宏观的框架下分析内部评级法的宏观经济效应,选择合理的政策工具解决亲经济周期效应问题。     

采用信用风险模型计提监管资本:问题和对策

实施基于商业银行内部信用风险模型的资本监管制度对监管当局和商业银行都提出了严峻的挑战。信用风险计量模型不仅在理论上应经得起推敲,其计量结果在实证上需经得起检验,并且在不同银行间应具有可比性。本文为美联储的五位高级监管人员(Beverly J.Hirtle,Mark Levonian,Marc Saidenberg,Stefan Walter,David Wright)发表在《纽约联储经济政策评论》2001年3月号上的研究报告。该报告对采用风险计量模型计提信用风险资本所涉及的许多重大问题进行了深入讨论,揭示了内部评级法的技术原理,业界关于内部评级法的许多争论很大程度上都围绕这些问题展开,部分问题在新资本协议最终稿以及巴塞尔委员会发表的监管文件中可以找到答案,如时间跨度、使用测试、贷款损失准备处理、报告频率等;但有些问题仍未解决,讨论还在继续,如计量模型的具体形式、模型验证技术。本报告对于读者深入理解内部评级技术和监管要求具有很强指导作用。     

杠杆率限制与资本监管有效性研究

在新资本协议的高级内部评级法框架下,最低资本要求取决于商业银行的风险水平.然而,监管当局与商业银行存在严重的信息不对称,为追求利益最大化,商业银行存在隐瞒其真实风险状况的动机,而监管当局审查和验证银行风险状况的能力是有限的,这可能导致银行持有的资本过少,从而危及银行体系的稳定.杠杆率限制可以降低有限负债下的看跌期权价值,提高银行净值,从而提高资本监管的有效性.次贷危机的教训也要求我国在实施高级内部评级法过程中应重视初始杠杆率.     

违约概率测度：商业银行信用风险管理的关键

在商业银行信用风险管理中，违约概率是指借款人在未来一定时期内不能按合同要求偿还银行贷款本启、或履行相关义务的可能性。对借款人进行违约概率的测度，已经被列为巴塞尔新资本协议内部评级法的关键内容，是现代商业银行信用风险管理的重要环节。巴塞尔新资本协议要求，采用内部评级法的银行必须对处于风险暴露中的每一借款人进行评级，并估计其违约概率。     

新资本协议下我国商业银行内部评级体系的构建

随着我国实施新资本协议步伐的加快,商业银行在进行信用风险管理时被要求使用新资本协议中的内部评级法。《新巴塞尔协议》最主要的创新之一就是计算信用风险的内部评级法。本文对我国商业银行在应用内部评级法时存在的问题进行分析,提出了构建完善的内部评级体系的设想。     

Cost accounting standard and cost accounting systems in Japan. Lessons from the past - recovering lost traditions

This paper aims to show two things. The first is how Japanese culture has contributed to the development of Japanese cost accounting history. The second is to reveal the research possibilities of cost accounting history. This paper also reviews the salient features of several important examples of these aspects of cost accounting practice in Japan. It therefore explores, through some practical illustrations, how and why Japanese cost accounting differs from that found in the West.     

Shared Standard Setting in the Public Interest:A Strong Model

正The last two decades have been a definitive era in the evolution of the accountancy profession.In the wake of major corporate scandals at the turn of the century,an international public debate arose on the need for more effective and well-considered regulation;this debate then reignited during the global financial and sovereign debt crises.     

HOW TO PUT TOGETHER A COMPLETE PACKAGE

正Many Institute members know they cannot rely purely on technical knowledge and business acumen to remain competitive.As soft skills are increasingly important,Jemelyn Yadao finds out how CPAs can maintain     

Guidelines for Manuscripts Submitted to The China Journal of Accounting Research

【正】The China Journal of Accounting Research‘‘CJAR’’(ISSN 1755-3091)publishes quarterly.It contains peer-reviewed articles and commentaries on accounting,auditin...     

Bayesian Risk Management for Equity-Linked Insurance

This paper describes how to apply Markov Chain Monte Carlo (MCMC) techniques to a regime switching model of the stock price process to generate a sample from the joint posterior distribution of the parameters of the model. The MCMC output can be used to generate a sample from the predictive distribution of losses from equity linked contracts, assuming first an actuarial approach to risk management and secondly a financial economics approach. The predictive distribution is used to show the effect of parameter uncertainty on risk management calculations. We also explore model uncertainty by assuming a GARCH model in place of the regime switching model. The results indicate that the financial economics approach to risk management is substantially more robust to parameter uncertainty and model uncertainty than the actuarial approach.     

The historical significance of the revaluation of fixed assets in Japan's state-owned railway system, 1955-6

The Government Railways of Japan (GRJ) established a fixed assets accounting system on the accruals basis after the Second World War. The revaluation of tangible fixed assets was indispensable for GRJ's introduction of depreciation in 1948. GRJ scheduled the revaluation to secure a reasonable depreciation expense, because the company had applied the replacement method to all tangible fixed assets since its foundation in 1869. At the same time, GRJ assumed the balance of the revaluation reserve account to be a means of dealing with possible future accumulated losses.     

Effects of speculation and interest rates in a “carry trade” model of commodity prices

The paper presents and estimates a model of the prices of oil and other storable commodities, a model that can be characterized as reflecting the carry trade. It focuses on speculative factors, here defined as the trade-off between interest rates on the one hand and market participants' expectations of future price changes on the other hand. It goes beyond past research by bringing to bear new data sources: survey data to measure expectations of future changes in commodity prices and options data to measure perceptions of risk. Some evidence is found of a negative effect of interest rates on the demand for inventories and thereby on commodity prices and positive effects of expected future price gains on inventory demand and thereby on today's commodity prices.     

Religion and stock price crash risk:Evidence from China

This paper investigates whether religious traditions influence firm-specific crash risk in China.Using a sample of A-share listed firms from 2003 to 2013,we pro...     

Optimal Dynamic Premium Control in Non-life Insurance. Maximizing Dividend Pay-outs

In this paper we consider the problem of finding optimal dynamic premium policies in non-life insurance. The reserve of a company is modeled using the classical Cramér-Lundberg model with premium rates calculated via the expected value principle. The company controls dynamically the relative safety loading with the possibility of gaining or loosing customers. It distributes dividends according to a 'barrier strategy' and the objective of the company is to find an optimal premium policy and dividend barrier maximizing the expected total, discounted pay-out of dividends. In the case of exponential claim size distributions optimal controls are found on closed form, while for general claim size distributions a numerical scheme for approximations of the optimal control is derived. Based on the idea of De Vylder going back to the 1970s, the paper also investigates the possibilities of approximating the optimal control in the general case by using the closed form solution of an approximating problem with exponential claim size distributions.     

'More a national asset than an investor's paradise': financial management and the British Motor Corporation, 1952-68

This paper undertakes a comparative analysis of financial management in the British motor industry in the 1950s and 1960s. We question whether US ownership automatically implied greater financial control and immunity from capital market pressures and discuss whether the problems BMC/BMH (British Motor Corporation/British Motor Holdings) experienced were symptomatic of the absence of financial imperatives among British management at this time. Finally we widen the agenda to place our findings on financial management into a wider literature dealing more generally with the problems of managerial control and corporate governance within the motor vehicle industry in the 1950s and 1960s.