多元化金融集团的国际监管规则及其对中国监管实践的借鉴

多元化金融集团的兴起对传统的单一监管方式形成了挑战，为此以巴塞尔委员会为主的金融集团联合论坛颁布了题为《多元化金融集团监管的最终件》，对金融集团监管提出了一系列原则与标准。本通过对该件资本充足性、适宜性要求、信息共享、协调员等制度的研究，提出了完善我国金融集团监管体制的若干建议。     

资本充足率高代表资本充足吗？--基于中国上市银行2007～2011年季度数据分析北大核心CSSCISSCI

鉴于监管压力是我国银行被动调整资本充足率的原因,本文认为,我国商业银行资本充足率高并不一定代表资本充足的真实和有效。通过计量实证和统计方法对14家银行财务数据进行的研究,本文对提高资本充足率的两种方法——资本管理和监管资本套利进行了分析。结果表明,银行没有通过贷款损失准备进行资本管理,但是通过相互持有次级债弥补资本不足。在监管资本套利方面,我国资产规模较大的银行很可能进行了监管资本套利。在金融不断深化的背景下重新审视资本监管,重视资本充足的真实有效是未来银行监管面临的重要课题。     

金融集团资本充足性计算方法的国际比较

通过对金融集团资本充足性监管的国际比较,提出对中国制定金融控股公司资本充足率计算方法的参考。     

金融控股集团资本充足的法律监管研究

资本充足监管是金融控股集团监管的一个重要方面。我国目前正在制定《金融控股公司监管条例》,而资本充足监管是其中的重要内容。本文结合联合论坛和欧盟的相关监管文件,介绍金融控股公司及由其为核心的金融集团资本衡量的主要方法以及欧盟的跨行业资本概念,并对我国的资本衡量法律创新提出了若干建议。     

资产透明度、监管套利与银行系统性风险

资产不透明的金融机构过度依赖批发性融资进行监管套利不利于系统性风险的防控。在此背景下,本文首先在经典银行道德风险模型的基础上引入关联性,从资产透明度和监管套利的视角分析银行系统性风险累积的内在机理。而后利用2007-2018年中国上市银行微观数据,构建资产透明度指标和系统性风险指标(SRISK、MES),对理论推论进行实证检验。主要结论有:(1)资产不透明、监管套利会提高银行的系统性风险。(2)监管套利弱化了资产透明度和资本监管机制对银行系统性风险承担的约束作用,资产透明度与资本监管机制在约束系统性风险承担中的协调作用不明显。(3)以大银行为主的债权银行受监管套利的影响相较于受资产透明度的影响更明显。在此基础上,我们对完善金融风险防范体系以及监管机制提出了若干建议。     

我国影子银行监管套利的动因、途径及应对思路北大核心CSSCISSCI

监管套利是我国影子银行过度膨胀的重要诱因。金融机构通过横向交叉套利和纵向资本套利达到了规避资本充足性监管、绕开信贷规模限制、逃避流动性约束和弱化存款准备金限制等目的。为遏制影子银行监管套利活动,本文建议在资本监管中引入预先承诺制,建立资本充足性区间管理的弹性机制,强化影子银行业务的微观审慎监管,将表外理财纳入宏观审慎评估体系,尽快从机构监管过渡到功能监管。     

澳大利亚对混业金融集团三级监管的实践及启示

澳大利亚金融体系在本轮国际金融危机中受损甚微,主要得益于其双峰监管模式。澳大利亚审慎监管署(APRA)发布的对混业金融集团监管草案(简称"三级监管"),确定了混业金融集团的确认原则,并从资本充足水平、公司治理、风险管理、法律授权、监管程序等各方面加强监管。这对我国加强对金融集团的监管有较强的借鉴意义。据此,本文从监管制度、法律框架、审慎监管准则、交叉性业务风险预警、人才培养和交流等方面提出完善金融集团监管的建议。     

多元化金融集团的国际监管研究

随着管制放松与竞争加剧，金融领域出现业务多元化、组织集团化趋势。传统国际金融监管手段无法适应形势需要。三大国际监管机构联全出台了《多元化金融集团监管的最终文件》。本文根据文件精神，从资本冯足与国际合作两上角度针对多元化金融集团国际合作两上角度针对多元化金融集团国际监管提出对策建议。     

商业银行监管资本套利的均衡分析

监管资本套利,产生于巴塞尔协议资本监管框架的缺陷,是一种利用资本监管制度之间的差异性以及制度内部的不协调性,运用某种手段在不改变实际风险水平的情况下提高资本充足率水平的行为。通过对以下问题的探讨:商业银行监管资本套利所获得的收益在银行与资金需求方之间的配置比例;针对某种资产的监管资本套利,对其他资产供求双方所产生的隐性套利收益的表现形式及其归属程度;由商业银行异质性所导致的监管套利顾客现象;信息不对称情况下,市场对于套利者与非套利者的逆向选择等等,认为银行监管部门应适当引导符合政策意图的套利行为,提高政策引导调控能力。     

商业银行监管资本套利与资本有效配置

监管资本套利作为巴塞尔协议的一个未曾预料的结果,在西方发达国家发展非常迅速,它在为银行创造价值的同时,却可能破坏资本充足性要求作为一个审慎政策工具的有效性。本文使用银行资本的基本理论,分析了巴塞尔协议下监管资本套利产生的原因、主要形式及其影响,并就如何降低监管资本套利,提高资本监管的效率,以及对商业银行经济资本进行有效配置提出相应的对策建议。     

Regulating financial conglomerates

We analyze the risk-taking incentives of a financial conglomerate that combines a bank and a non-bank financial intermediary. The conglomerate's risk-taking incentives depend on the level of market discipline it faces, which in turn is determined by the conglomerate's liability structure. We examine optimal capital regulation for standalone institutions, for integrated conglomerates and holding company conglomerates. We show that, when capital requirements are set optimally, capital arbitrage within holding company conglomerates can raise welfare by increasing market discipline. Because they have a single balance sheet, integrated conglomerates extend the reach of the deposit insurance safety net to their non-bank divisions. We show that the extra risk-taking that this effect causes may wipe out the diversification benefits within integrated conglomerates. We discuss the policy implications of these results.     

Financial conglomeration and monitoring incentives

If combining insurance and banking services generates scope economies in terms of monitoring the customers, competition in the financial markets becomes more intense after financial conglomeration. The pro-competitive effect reduces the prices of the financial services, increases monitoring and improves financial stability. Increased monitoring allows financial regulators apply lower capital requirements for financial conglomerates.     

On the risk situation of financial conglomerates: does diversification matter?

In general, conglomeration leads to diversification of risk (the diversification benefit) and a decrease in shareholder value (the conglomerate discount). Diversification benefits in financial conglomerates are typically derived without explicitly accounting for reduced shareholder value. However, a comprehensive analysis requires competitive conditions within the conglomerate, i.e., shareholders and debt holders should receive risk-adequate returns on their investment. In this paper, we contribute to the literature on this topic by comparing the diversification effect in conglomerates with and without accounting for altered shareholder value. We derive results for a holding company, a parent-subsidiary structure, and an integrated model. In addition, we consider different types of capital and risk transfer instruments in the parent-subsidiary model, including intragroup retrocession and guarantees. We conclude that under competitive conditions, diversification does not matter to the extent frequently emphasized in the literature. The analysis contributes to the ongoing discussion on group solvency regulation and enterprise risk management, which is of relevance to insurance groups and other financial conglomerates.     

Internal Capital Markets in Financial Conglomerates: Evidence from Small Bank Responses to Monetary Policy

This paper looks at internal capital markets in financial conglomerates by comparing the responses of small subsidiary and independent banks to monetary policy. I find that internal capital markets in financial conglomerates relax the credit constraints faced by smaller bank affiliates. Further analysis indicates that those markets lessen the impact of Fed policies on bank lending activity. The paper also examines the role of internal capital markets in influencing the investment allocation process of those conglomerates. My findings suggest that frictions between conglomerate headquarters and external capital markets are at the root of investment inefficiencies generated by internal capital markets.     

Dynamic Financial System: Complexity,Fragility and Regulatory Principles

A financial system improves the allocation of real resources and enhances the performance of the production economy, but these benefits are offset in part by the risk of financial distress and the associated deadweight loss resulting from bankruptcy costs. We argue that “tiers” of financial claims increase complexity and fragility of the financial network. In equilibrium, the financial system grows relative to the real economy as the allocation of funds and risks becomes more sophisticated and as more financial claims are tiered. Growth is limited by the risk of a tiered, complex financial network and by the need to set aside additional capital as the financial sector grows. We discuss several sources of fragility in the financial system. We propose that regulators should limit the breaks in the system and do more to improve the resiliency of the network and less on individual issues that are only symptoms of fundamental problems of a network. We advocate a market based system of regulation in which market participants regulate each other, to a degree. In order for this to be feasible, the financial network must be organized according to three principles: trading transparency, competitive markets and competitive regulators, and incentive alignment of participants. Insofar as these regulatory approaches are successful in limiting network fragility, capital requirements can be reduced. Regulators should keep in mind this tradeoff between capital and regulation. With regard to regulatory policy, regulators should let the three principles be their guide in adapting to the evolving financial system rather than implementing narrowly conceived regulations that are quickly outmoded.     

Should business groups be dismantled? The equilibrium costs of efficient internal capital markets

We analyze the relationship between conglomerates’ internal capital markets and the efficiency of economy-wide capital allocation, and we identify a novel cost of conglomeration that arises from an equilibrium framework. Because of financial market imperfections engendered by imperfect investor protection, conglomerates that engage in winner-picking (Stein, 1997 [Internal capital markets and the competition for corporate resources. Journal of Finance 52, 111–133]) find it optimal to allocate scarce capital internally to mediocre projects, even when other firms in the economy have higher-productivity projects that are in need of additional capital. This bias for internal capital allocation can decrease allocative efficiency even when conglomerates have efficient internal capital markets, because a substantial presence of conglomerates might make it harder for other firms in the economy to raise capital. We also argue that the negative externality associated with conglomeration is particularly costly for countries that are at intermediary levels of financial development. In such countries, a high degree of conglomeration, generated, for example, by the control of the corporate sector by family business groups, could decrease the efficiency of the capital market. Our theory generates novel empirical predictions that cannot be derived in models that ignore the equilibrium effects of conglomerates. These predictions are consistent with anecdotal evidence that the presence of business groups in developing countries inhibits the growth of new independent firms because of a lack of finance.     

中国的“影子保险”:来自监管自然实验的证据

影子保险在金融稳定中扮演着重要角色,但现有文献较多关注影子银行,对影子保险关注不足。“影子保险”即保险公司通过再保险方式将保险业务转移给不受监管或者受监管较弱的关联企业的活动,这会推高其真实的杠杆水平,增加金融体系脆弱性。然而,由于影子保险的不透明性和缺少自然实验,现有研究仅基于有限数据或模型给出简单的特征事实或结构性估计,很少能从因果关系上清楚地识别影子保险活动及其机制。本文利用中国加强对中资保险公司(处理组)再保险关联交易监管的政策冲击这一自然实验,使用微观数据和双重差分方法,识别了中国金融体系中的影子保险活动。研究发现,相关监管有效降低了影子保险活动,这一效应对集团公司的影响尤为显著;在机制方面,相关监管通过影响中资保险公司资产负债表两端的结构性调整进而降低了其风险承担行为,提高了经营稳定性。本文方法对识别金融机构的监管套利和防范系统性金融风险具有一定参考意义。     

Spin‐offs: Tackling the Conglomerate Discount

Spin‐offs and other restructuring actions have risen sharply in 2011, driven by the need to streamline business models and increase corporate values. These transactions can be an effective tool for addressing the conglomerate valuation discount that has been a pervasive phenomenon over the past decade, affecting conglomerates in most regions across the world. In particular, North American and Western European conglomerates trade at valuation multiples that are roughly 10% lower than those of their pure‐play peers. A conglomerate discount also prevails in some of the emerging markets, including CEEMEA and Asia. Nevertheless, in some regions, notably Japan and Latin America, conglomerates typically trade at a premium. Although the average conglomerate discount narrowed during the financial crisis due to the perceived benefits of diversification during downturns, almost half of the conglomerates globally trade at a discount, and almost a third of all conglomerates have persistently traded at a discount during the past five years. For such companies, fixing the discount requires a simplification of the business model. The authors show that recent announcements of spin‐offs have led to significant share price outperformance by the parent company in both the short and the longterm, highlighting their effectiveness as a tool to enhance valuation. Spin‐offs can be particularly attractive for those conglomerates that operate unrelated business segments since these firms trade at a sharper discount than diversified firms operating in related businesses. The authors discuss how management should think about the financial implications of spin‐offs, including capital structure considerations, dividend policy, and turnover in the shareholder base.     

金融集团的共享服务战略及运营策略研究

金融集团实施共享服务战略,可以为金融企业带来一系列竞争优势,使其实现规模经济、范围经济、业务多元化、风险分散和金融创新等集团化优势。在金融集团共享服务战略的实施中,应当在职能定位、组织结构设计以及信息管理体系设计等方面充分考虑金融行业监管的特点;同时,通过集团治理结构的优化、科学的管理体系的建立、决策权的合理配置以及服务交易的标准化等措施,有效地控制集团服务共享所产生的内部交易,避免集团内部风险的传递和“内部人控制”下的内部交易弊端。为了提高集团的战略灵活性,在共享服务战略实施初期,就应为其设计相应的退出通道。     

金融集团的共享服务战略及运营策略研究

金融集团实施共享服务战略，可以为金融企业带来一系列竞争优势，使其实现规模经济、范围经济、业务多元化、风险分散和金融创新等集团化优势。在金融集团共享服务战略的实施中，应当在职能定位、组织结构设计以及信息管理体系设计等方面充分考虑金融行业监管的特点；同时，通过集团治理结构的优化、科学的管理体系的建立、决策权的合理配置以及服务交易的标准化等措施，有效地控制集团服务共享所产生的内部交易，避免集团内部风险的传递和“内部人控制”下的内部交易弊端。为了提高集团的战略灵活性，在共享服务战略实施初期，就应为其设计相应的退出通道。