An operational risk profile: the experience of British firms

This study provides an analysis of 163 operational loss events experienced by a variety of British firms over the period 1999–2008. 10 different hypotheses are tested to examine the distribution of loss severity and frequency with respect to business line, event type and corporate entity type. We also test hypotheses on the relation between loss severity and the decline in the market value of the announcing firm and whether or not the decline in market value is greater if the loss results from internal fraud. The results indicate that loss severity does not depend on firm size, that the decline in market value bears no stable relation to the loss amount and that they decline in market value relative to the loss amount is positively related to firm size.     

新巴塞尔协议与我国商业银行操作风险管理

新巴塞尔协议首次将操作风险纳入管理框架,操作风险正受到全球银行业的关注。和西方商业银行相比,我国商业银行在操作风险管理方面面临更多的问题,实施新巴塞尔协议难度更大。如管理基础薄弱、法人治理结构不完善、内部控制不健全、外部环境较差等。因此,我国商业银行必须高度重视操作风险管理,通过完善法人治理结构、加强基础管理和内部控制体系建设等措施,提高操作风险管理水平,逐步满足新巴塞尔协议的要求。     

利用PCR进行商业银行资本监管的思路与方法研究

本文的目的是讨论如何利用征信体系中的公共信用信息系统（PCR）服务于新巴塞尔协议意义下的商业银行资本监管。首先,基于历史经验和操作实践,肯定了PCR能够有效地服务于资本监管。其次,指出利用PCR服务资本监管的立足点应该是检验。提出了利用PCR进行资本监管的工作思路图,在总结3个国家的经验的基础上,给出了具体的操作步骤。最后,从资本监管的角度提出PCR应该包含的最小信息集。     

新巴塞尔协议与我国商业银行信息披露制度的完善

提高商业银行信息披露的质量和程度是我国进一步完善市场经济机制，强化对银行的市场约束，提高金融透明度的必然要求，是我国参与国际金融市场竞争的重要条件，也是国际银行监管发展的趋势。现阶段我国商业银行还存在披露的信息不真实、不充分，披露形式不规范，披露无统一标准，各银行披露信息之间缺乏可比性等主要问题。目前我国商业银行信息披露远远没有规范化，与国际上通行的信息披露标准还存在很大的差距。     

新巴塞尔协议框架下的风险分类和控制:银行和保险

新巴塞尔协议将银行的风险控制和有效监督建立在三大支柱基础上,即最低资本充足率、监管当局的监督检查和市场纪律。详细介绍了新巴塞尔框架下银行风险的分类与测度方法,并在此基础上,提出了保险业风险控制的三大支柱。     

Cyclical adjustment of capital requirements: A simple framework

We present a model of an economy with heterogeneous banks that may be funded with uninsured deposits and equity capital. Capital serves to ameliorate a moral hazard problem in the choice of risk. There is a fixed aggregate supply of bank capital, so the cost of capital is endogenous. A regulator sets risk-sensitive capital requirements in order to maximize a social welfare function that incorporates a social cost of bank failure. We consider the effect of a negative shock to the supply of bank capital and show that optimal capital requirements should be lowered. Failure to do so would keep banks safer but produce a large reduction in aggregate investment. The result provides a rationale for the cyclical adjustment of risk-sensitive capital requirements.     

Value-at-risk capital requirement regulation,risk taking and asset allocation: a mean–variance analysis

In this study, the mean–variance framework is employed to analyze the impact of the Basel value-at-risk (VaR) market risk regulation on the institution's optimal investment policy, the stockholders’ welfare, as well as the tendency of the institution to change the risk profile of the held portfolio. It is shown that with the VaR regulation, the institution faces a new regulated capital market line, which induces resource allocation distortion in the economy. Surprisingly, only when a riskless asset is available does VaR regulation induce the institution to reduce risk. Otherwise, the regulation may induce higher risk, accompanied by asset allocation distortion. On the positive side, the regulation implies an upper bound on the risk the institution takes and it never induces the firm to select an inefficient portfolio. Moreover, when the riskless asset is available, tightening the regulation always increases the amount of maintained eligible capital and decreases risk.     

Loan pricing under Basel II in an imperfectly competitive banking market

The new Basel II Accord (2006), established new and revised capital requirements for banks. In this paper we analyze and estimate the possible effects of the new rules on the pricing of bank loans. We relate to the two approaches for capital requirements (internal and standardized) and distinguish between retail and corporate customers. Our loan-equation is based on a model of a banking firm facing uncertainty operating in an imperfectly competitive loan market. We use Israeli economic data and data of a leading Israeli bank. The main results indicate that high quality corporate and retail customers will enjoy a reduction in loan interest rates in (big) banks which, most probably, will adopt the IRB approach. On the other hand high risk customers will benefit by shifting to (small) banks that adopt the standardized approach.     

‘Trust is good,control is better’: The 1974 Herstatt Bank Crisis and its Implications for International Regulatory Reform

With its international supervisory and regulatory implications, the failure of Bankhaus Herstatt is one of the landmarks of post-war financial history. This article offers the first comprehensive historical account of the Herstatt crisis, and contributes to the wider discussions on international supervisory and regulatory reform since the mid-1970s, including regulatory capture, markets' self-regulation and resolution of failed banks. In doing so, it first argues that contrary to a widely held view, the German authorities received early and repeated warnings about Herstatt's dealings but this involved only limited and ineffective regulatory/supervisory responses, then it turns to the actual collapse of the bank in June 1974, and finally explores the wider regulatory issues raised by the Herstatt case.     

《巴塞尔协议Ⅲ》：监管利器还是经济枷锁

《巴塞尔协议Ⅲ》，将金融监管的理念从自由放任转向行政管制，传统的注重效率的监管核心价值观将让位于更加注重安全。作为医治西方银行业过度发展的《巴塞尔协议Ⅲ》，我们应保持理性审慎的态度。我国金融监管当局在修正银行监管规则时，应全面评估其可能对商业银行经营和实体经济带来的负面影响，金融监管的重心应放在国内商业银行风险控制流程和风险管理体系的建构优化和完善方面。