基于资本充足率的银行风险监管

在对银行风险监管的一系列原则中,以巴塞尔协议对银行资本充足率的监管要求影响最为广泛。从其发展历程来看,各国对于巴塞尔协议的普遍应用以及目前新巴塞尔协议的最终定稿,都为银行进行资本充足性管理提供了现实基础。本文分析了资本管理的发展过程,追溯巴塞尔资本协议演变的基本轨迹,进而分析巴塞尔资本协议在银行风险监管中体现的基本思路和原则,通过比较各国对于银行资本管理的经验,揭示了银行资本管理在银行风险管理中的重要影响力。     

宏观审慎监管框架下中国金融监管的政策选择:基于巴塞尔协议Ⅲ的视角

此次国际金融危机爆发后,全球各主要经济体都深刻认识到,维护金融体系稳定需要在现有微观审慎监管的基础上进一步加强和完善宏观审慎监管体系。巴塞尔协议Ⅲ对全球银行业控制系统性风险、维护金融系统稳定提出了更严格的监管要求。本文结合中国银行业的发展现状,通过梳理巴塞尔协议Ⅲ的主要内容,从系统重要性金融机构监管、金融创新监管、影子银行监管等角度,对如何在遵循巴塞尔协议Ⅲ的基础上构建有中国特色的宏观审慎监管制度框架、充分发挥银行业在促进经济发展中的重要作用提出相关建议。     

银行体系内生流动性风险及监管理论评述

本文指出次贷危机之后银行业系统性风险的来源已由来自银行间的债务违约转变为来自银行间内生的流动性风险所导致的价格反馈,因此对银行流动性风险的监管是构建宏观审慎监管框架的核心之一,而且实现手段有数量监管和价格监管两种,数量角度的流动性监管可通过巴塞尔协议III中规定的流动性监管指标实施,而价格角度的流动性监管可通过央行的货币政策实现。     

巴塞尔协议Ⅲ的核心原则、重要影响及展望

巴塞尔协议Ⅲ从酝酿到出台仅一年之久,体现了成员国的重视和有效监管的紧迫感。新的协议严格了资本定义,突出了普通股本的作用;提高了银行的最低资本要求;提出了设立资本防护缓冲金以提高银行的抗风险能力。本文详细探讨了新规制背后的监管理念,简析新协议对世界主要地区银行业的可能影响,并对协议的作用进行了整体评价。     

新巴塞尔协议的出台与中国的选择

经过长达5年的深入研究和听取多方面的意见．新巴塞尔协议的第三次征求意见稿即将完成，这份新的资本协议框架是以1999年6月该委员会提出的新的资本协议框架为基础修订的，根据安排．巴塞尔银行委员会打算在2003年第四季度完成新协议。新资本协议草案较之1988年的巴塞尔协议更为复杂、全面，这实际上是金融市场发展的客观反映，也满足了银行界对于风险更敏感的风险监管框架的需要，可以说新巴塞尔协议是当今国际金融环境下银行风险管理的又一国际风险监管的新规范，其最终形成和实施必然会对全球银行业、特别是大型银行产生深远的影响。     

巴塞尔协议的风险补偿观及其对风险管理的创新

1988年巴塞尔委员会发布了规定银行资本充足率的《统一资本计量与资本标准的国际协议》，简称巴塞尔协议。巴塞尔协议在推进全球银行监管的一致化和可操作性方面，具有划时代的意义。2001年巴塞尔新资本协议框架继续延续1988年巴塞尔协议中以资本充足率为核心，以信用风险为重点，突出强调国家风险的监管思路，并吸收了《有效银行监管的核心原则》中提出的最低资本金要求、外部监管、市场约束等三个支柱的原则，把有关风险的定义扩大为信用风险，市场风险和操作风险的各种风险，基本涵盖了现阶段银行业经营所面临的风险。除标准法外，允许银行运用内部评级法来衡量和测算信用风险和操作风险。新资本协议目前公布了第三次咨询稿，不久将正式实施。     

《巴塞尔协议Ⅲ》落地 福兮 祸兮

巴塞尔协议是巴塞尔委员会出台的一系列银行监管规定的统称。1974年,两家著名的国际性银行前联邦德国赫斯塔特银行和美国富兰克林国民银行倒闭,直接催生了巴塞尔银行监管委员会的成立和广义上的第一个巴塞尔协议通过。此协议经过两次修改,最后于1988年出台了《巴塞尔协议Ⅰ》。该协议为银行业建立了一套简洁的、国际通用的资本充足率标准和监管原则,在推进全球银行监管一致化和可操作性上具有重要意义。《巴塞尔协议Ⅱ》诞生于1999年,在2004年定稿。1995年的巴林银行倒闭事件和1997年的亚洲金融危机是其重要背景。该协议为全球银行业搭建了基于资本监管、外部监管和市场约束这三大支柱的统一监管体系,引入了内部评级法,并将市场风险和操作风险提升到了与信用风险同等重要的地位,提供了更为全面的风险管理框架。     

接轨国际信用风险内部评级法的思考

内部评级法（IRB）是新巴塞尔协议的核心，虽然目前我国还不具备条件实施IRB法，但认真借鉴新巴塞尔协议、积极创造条件接轨IRB法却是很有必要的。因为从中长期看，只有实施IRB法，才能以新的监管理念和先进的风险监管手段，从根本上提高我国银行体系的稳健性与管理水平，增强我国银行业的竞争力。     

新巴塞尔协议下商业银行监管资本套利研究

金融危机背景下巴塞尔委员会对资本监管问题出台了一系列新规,业界称之为新巴塞尔协议。随着我国进入巴塞尔协议Ⅲ的新监管时代,商业银行仍然存在着监管资本套利行为。本文在国内外研究的理论基础上,探讨了新巴塞尔协议下商业银行监管资本套利的对策,研究了商业银行监管资本套利产生的经济效应。同时给出了相关建议,监管资本无需与经济资本保持同步;增强监管资本的灵活性,促进隐性存款保险制度的转型;正确识别风险类型,降低系统性风险;鼓励开展符合政策需要的套利行为,加大监管力度。     

巴塞尔协议Ⅲ的新特点及对我国银行业的影响

一、巴塞尔协议Ⅲ产生背景 2010年11月在韩国首尔举行的G20峰会上获得正式批准实施的《巴塞尔协议Ⅲ》（BaselⅢ,以下简称巴Ⅲ）,是近年来针对银行监管领域最大规模的改革。相比强调银行内控、监管审查与市场纪律的巴塞尔协议Ⅱ,新协议更关注银行的资本质量与抗周期性风险的能力。     

巴塞尔Ⅲ在监管理论与框架上的改进:微观与宏观审慎有机结合

巴塞尔Ⅲ作为此次国际金融危机后全球金融改革的重要成果,不但改进了传统金融监管理论只专注于单个金融机构风险而忽视了系统性风险的不足,而且在监管框架设计上,既注重加强微观审慎监管,又注重宏观审慎监管的有机结合。本文从阐释推动这次全球金融监管改革的理论基础出发,深入剖析了巴塞尔Ⅲ在微观审慎监管和宏观审慎监管上改进的原因与具体进展,最后探讨了巴塞尔Ⅲ可能对中国银行业的影响并提出对中国银行业改革的建议。     

Hedging derivatives in the banking industry: Evidence of investor confusion

Hedging derivatives are complex instruments that require particular scrutiny by bank regulators to ensure that a bank’s risk profile is consistent with sound banking practices. The Basel II agreement envisions a system of banking oversight that includes market discipline as a key element of the regulatory framework. A necessary condition in achieving market discipline is that market participants must be able to decipher the underlying conditions from reported results. We examine the relationship between investor confusion and the income effects arising from fair value recognition of hedging derivatives in the banking industry. We use abnormal trading volume as a proxy for investor confusion, and we find a positive and significant relationship between fair value accounting incomes and two alternative measures of abnormal trading volume. The findings suggest that accounting requirements alone may be insufficient to communicate the complexities of hedging derivatives to investors in a way that achieves the market discipline prescribed by Basel II. Bank regulators may need to augment extant efforts for transparency to ensure that risks are adequately communicated to the market.     

系统性金融风险的识别与防范

系统性风险与集中度风险、金融危机既有区别,又有联系。银行金融机构的集中度风险是引发系统性风险的主要因素,系统性风险又是导致金融危机的直接原因。为避免和防范系统性风险,监管部门要把防范系统性风险的重点放在对银行金融机构集中度风险的监控上,加强对银行金融机构集中度风险的外部监管,不断向银行金融机构提示集中度风险,督促银行金融机构建立严格的集中度风险防控机制。银行金融机构也要有稳健的发展战略和谨慎的风险偏好,合理布局经营,严格把控资产分布结构,避免集中度风险,以便从根本上防范系统性风险,避免出现危害更大的金融危机。     

Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal,Ireland, Greece and Spain (PIGS)

Basel III represents a crucial step in strengthening the capital rules underlying banking operations, aimed at reducing the probability and severity of a systemic crisis. Alongside two supplementary capital buffers, the Basel Committee of Banking Supervision imposed severe pressure on the Value-at-Risk based Internal Models Approach in order to increase. This is to increase the capital base by adding the stressed Value-at-Risk component in an effort to reduce reliance on internal models while keeping the Standardized Approach avenue open. However, even though those measures might appear theoretically correct, evidence gathered for long and short exposures in Portugal, Italy, Greece and Spain highlights several defects in Basel III. We emphasize that leptokurtic models, primarily those derived from Extreme Value Theory, should be enforced in the regulations given their superior performance in market crises, and that Basel II could have shielded against 2008 mayhem provided that heavy-tailed techniques had been employed.     

A perspective on the symptoms and causes of the financial crisis

Prior to the 2007–2008 financial crisis, banking sector profits were very high but the profitability of financial intermediation was poor. Using a novel model of banking, this article argues that the high profits were achieved through balance sheet expansion and growing default, liquidity, and term risk mismatches between assets and liabilities. As a result, large banks’ financial leverage rose as they became less liquid, setting the conditions for a systemic banking crisis. This article argues that the increase in financial leverage was possible due to misguided changes in the regulatory framework, specifically, the Basel I capital accord and reductions in reserve requirements. Finally, this article overviews and assesses the policy response in the aftermath of the crisis.     

What Is Systemic Risk?

The traditional view of risk in a financial system is that it is the summation of individual risks within the system. However, the financial crisis that started in 2007 has driven home that this view of risk is inadequate. It is the interactions of financial institutions and markets that determine the systemic risks that drive financial crises. We identify four types of systemic risk. These are (i) panics—banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; and (iv) foreign exchange mismatches in the banking system.     

宏观审慎政策协调能否抑制国际性银行危机传染？——基于跨境金融关联视角的实证研究

本文基于跨境金融关联视角对宏观审慎政策能否抑制国际性银行危机传染这一重要的理论与实践问题进行了实证研究。选取亚洲金融危机和全球金融危机时期遭受冲击的10个代表性国家作为样本,构建Logit模型和多元回归模型探讨本国及具有金融关联的国家协调实施宏观审慎政策对本国系统性银行危机传染的影响。研究表明,具有金融关联的国家出现金融危机会显著增加本国系统性银行危机的发生概率,具有金融关联的国家实施宏观审慎政策对本国信贷的影响比对房价的影响更明显,本国及具有金融关联的国家协调实施宏观审慎政策会显著降低本国系统性银行危机的发生概率。在调整银行危机指标及考虑贸易关联和流动性风险的影响后,研究结果依然保持稳健。本文的研究结论揭示了加强宏观审慎政策协调有助于维护全球金融稳定,对于中国政策当局强化宏观审慎管理具有极其重要的政策含义。     

The Interplay between Regulations and Financial Stability

The crisis demonstrated that microprudential regulation focusing on the risks taken by individual banks is not sufficient to prevent crises. This is because it ignores systemic risk. Six types of systemic risk are identified, namely: (i) panics – banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; (iv) financial architecture; (v) foreign exchange mismatches in the banking system; (vi) behavioral effects from Knightian uncertainty. We focus on the first three as they are arguably the main causes of the 2007–9 crisis and consider regulatory and other policies to counteract them.     

次贷危机对新资本协议实施的影响

本文以风险管理为切入点,讨论次贷危机与新资本协议之间的关系,试图回答业界对新资本协议制度合理性的某些质疑。与1988年资本协议相比,新资本协议建立了更具灵活性、适应性和前瞻性的资本监管制度,赋予资本充足率更加丰富的风险管理内涵,为商业银行改进风险管理提供了正向激励;次贷危机不仅未否认新资本协议的合理性,反而进一步凸现了全面实施新资本协议的重要性;新资本协议应顺应金融创新的趋势,吸取次贷危机的教训,做出适应性调整;虽然实施新资本协议不可能阻止金融危机再度发生,但可以提升银行体系应对外部冲击的能力,至少可以缓解未来金融危机的破坏力,从而提高社会福利。     

Contagion risk in the Australian banking and property sectors

The Australian banking system emerged from the global crisis virtually unhurt, with most banks still profitable, adequately capitalized, and with AA credit ratings. Are there any risks or vulnerabilities in this success story? This paper analyzes Australia’s systemic banking risk and attempts to determine if this risk increased with the recent global crisis and whether this risk is related to the downturn experienced in the real estate market. We use extreme value theory to measure banks’ and property firms’ univariate Value at Risk, as well as multivariate intra-sector and inter-sector contagion risks. Of the 13 sectors analyzed, we find that the property sector exhibits the highest level of extremal dependence with the banking sector. The credit crisis significantly increased the probability of a bank or property firm crashing. Moreover, contagion risks significantly increased not only within the banking and property sectors, but also between those sectors.