风险度量的幻觉与基于模型的银行资本监管方法

《巴塞尔协议Ⅲ》将新资本协议的缺陷，看成是可以通过提高资本充足标准来改进的缺陷，没有系统地分析现有银行监管模式中所存在的问题。文章分析了风险度量模型所存在的一些内在缺陷，并指出，巴塞尔银行监管模式的基本假设——金融风险可以通过先进模型来准确度量，其实只是一种幻觉。文章同时指出，如果模型不能准确地度量风险，在现有的基于模型的银行监管模式下，更高的资本充足要求，只会激起银行更大的监管套利动机；更为重要的是，这种银行监管模式容易引发内生性风险，从而危及整个系统的稳健性。因此，在提高核心资本标准的同时，巴塞尔委员会应考虑如何更加科学地对银行实施资本充足监管。

The Illusion of Measurability of Risks and the Model-Based Approach to Capital Regulation

In December 2009, the Basel Committee on Banking Supervision submitted a proposal for a reform of the regulation of capital requirements for banks in the wake of financial crises of 2007/2008. Whereas the Basel Committee on Banking Supervision seems to go for marginal changes here and there, we call for a systematic analysis of why the existing system of capital regulation has failed so miserably in the crises. We point out in this paper, because of the complexity of the financial systems，and because there are many inherent defects in risk measurement models, the basic assumption implied by “Basel II” and by “Basel III” that financial risks can be measured accurately if we use advanced models is just an illusion. When the current system of risk-calibrated capital requirements, in particular under the model-based approach is adopted, and when financial risks have not be measured accurately, the higher capital requirements will only arouse more motivation of banks to regulatory arbi