银行监管与企业融资的跨国实证分析

依据世界银行对各国银行监管与微观企业调查的跨国数据,运用实证分析方法,考量巴塞尔协议三大银行监管手段对企业融资的影响。结果发现：资本充足率要求与私营部门监测均会降低融资可得性,且对中小型企业的影响更大;而政府部门监管权力能提高企业融资可得性。鉴于此,监管机制设计应充分考虑不同政策的相互影响,特别是对中小型企业融资的冲击,慎重调整资本充足率与对私人监测程度的监管要求,妥善应用政府监测程度监管权力来实现金融稳定与企业融资的双赢,增强金融服务实体经济能力。     

The Sensitivity of the Loss Given Default Rate to Systematic Risk: New Empirical Evidence on Bank Loans

We verify the existence of a relation between loss given default rate (LGDR) and macroeconomic conditions by examining 11,649 bank loans concerning the Italian market. Using both the univariate and multivariate analyses, we pinpoint diverse macroeconomic explanatory variables for LGDR on loans to households and SMEs. For households, LGDR is more sensitive to the default-to-loan ratio, the unemployment rate, and household consumption. For SMEs, LGDR is influenced by the total number of employed people and the GDP growth rate. These findings corroborate the Basel Committee’s provision that LGDR quantification process must identify distinct downturn conditions for each supervisory asset class.

Procyclicality and the new Basel Accord - banks’ choice of loan rating system

Summary. The Basel Committee on Banking Supervision is proposing to introduce, in 2006, new risk-based requirements for internationally active (and other significant) banks. These will replace the relatively risk-invariant requirements in the current Accord. The new requirements for the largest bank will be based on bank ratings of the probability of default of the borrowers. There is evidence that the choice of loan ratings which are conditional on the point in the economic cycle could lead to sharp increases in capital requirements in recessions. This makes the question of which rating schemes banks will use very important. The paper uses a general equilibrium model of the financial system to explore whether banks would choose to use a countercyclical, procyclical or neutral rating scheme. The results indicate that banks would not choose a stable rating approach, which has important policy implications for the design of the Accord. It makes it important that banks are given incentives to adopt more stable rating schemes. This consideration has been reflected in the Committees latest proposals, in October 2002.Received: 25 October 2003, Revised: 27 April 2004, JEL Classification Numbers: D58, E44, G28. Correspondence to: Dimitrios P. TsomocosThe authors are grateful to Pamela Nickell for carrying out some of the calculations and Nicola Anderson, Charles Goodhart, Andy Haldane, Glenn Hoggarth, Nobu Kiyotaki, William Klein, Alistair Milne, William Perraudin, Hyun Shin, Paul Tucker, seminar participants at the Bank of England XI European Workshop on General Equilibrium Theory, Federal Reserve Bank of Boston, INSEAD, LSE, the University of Oxford and especially H.M. Polemarchakis for helpful comments and remarks. However, all remaining errors are ours. The views expressed here are those of the authors and do not necessarily reflect those of the Bank of England, and the Bank of Spain.     

巴塞尔新资本协议下加强我国银行业风险管理的思考

《巴塞尔新资本协议》已于2004年6月26日由巴塞尔银行监管委员会发布。这对我国银行业来说必然带来一系列深刻影响,包括风险管理理念、内控机制、资本充足水平、信息披露、风险管理文化乃至风险管理技术等。     

巴塞尔新资本协议框架中的市场约束

从监管理念角度考察,在2001年的新资本框架中,信息披露和市场约束的作用得到了空前的强调,市场约束与1988年版的最低资本金约束、以及外部监管一起,共同成为巴塞尔新资本协议框架的三大支柱之一。应当说,市场约束机制正式成为新资本协议框架的支柱之一,是现代公司治理结构研究重大进展情况在银行监管领域的具体体现。在新的资本框架中,巴塞尔委员会对于银行的资本结构、风险状况、资本充足状况等关键信息的披露提出了更为具体的要求。     

关于零售市场信用风险建模的问题讨论

与一些传统的信用风险度量方法相比,期权理论结构模型(如KMV和Moody'sRiskCalc)以及缩减式模型(如CreditRisk )在零售信用风险的应用上提供了另一种选择。这些模型的考虑重点是借款公司的资产价值。这些模型的问题在于零售借款者通常不具备上市条件,因应用于流动性的原因它们的资产价格往往是不可得的或者是不可靠的。并且,CreditRisk 应用的重点在中间市场,必须开发出能够直接评估零售借款者的数据库,以便模型能够在零售借贷中使用。     

我国商业银行面临的主要问题及解决对策

目前，我国商业银行发展迅速，初步形成了银行体系，同时经营范围扩大，资金规模增加标志着银行发展进入了全新的时代。但不容忽视的是，我国商业银行面临着诸多问题亟待解决，在金融市场逐步对外开放的背景下，机遇与挑战并存。只有解决存在的问题，全面提升银行的实力才能使银行得到全面发展。     

国有商业银行公司治理改革问题研究

国有商业银行改革是深化金融体制改革的重要步骤,国有商业银行的现代企业制度建设以及相应的公司治理机制的完善已成为改革的焦点。本文结合巴塞尔银行公司治理准则,借鉴发达国家典型的公司治理模式,以代理成本及资本结构理论为基础,针对目前国有商业银行治理结构的缺陷,提出股权的适度集中、引入战略投资者是当前建立良好公司治理结构的有效办法,并对完善我国国有商业银行的公司治理提出了具体的建议。     

我国商业银行治理结构改革的现实选择

为了培育与外资银行进行全面竞争的能力，我国商业银行的许多方面都还需要更深入的改革和调整，其中，银行的法人治理结构是一个关键性问题。通过对世界各国商业银行治理结构的成功经验进行研究，并依据我国国情，提出我国商业银行治理结构进一步改革的操作思路和举措。     

Asset correlations in single factor credit risk models: an empirical investigation

The internal ratings–based (IRB) approach (based on a single risk factor model) was designed by the Basel Committee on Banking Supervision (BCBS) to determine banks’ regulatory credit risk capital. Key inputs of the model – asset correlations – are prescribed by the regulator; relevant banks must use them for capital determination. To ascertain whether these correlations are too onerous or too lenient, empirical asset correlations embedded in loss data spanning different loss milieu were backed out of the regulatory model. Static and rolling correlations over a period of time were compared with the prescribed correlations for developed and developing economies and found to be significantly more conservative.