巴塞尔流动性框架的最新修订及对我国的启示北大核心SSCI

2013年1月,巴塞尔委员会公布了流动性监管框架的阶段性成果《第三版巴塞尔协议:流动性覆盖比率及流动性风险监测工具》,相较于2010年12月颁布的《第三版巴塞尔协议:流动性风险计量、标准和监测的国际框架》有许多重要修订。本文着重对四项重要修订问题进行分析,并以此为基础探讨我国践行新的流动性管理框架的应对之策。研究结果表明:我国应丰富金融资产种类,在计算二级资产上限时纳入平仓机制,积极推动存款保险制度建立,在过渡期内按照我国中小企业标准制定现金流出率,降低现金流出率以避免对实体经济的扰动,完善压力时期流动性管理框架。     

跟进巴塞尔协议Ⅲ,全面提升风险管理水平

2010年9月12日,27国中央银行代表一致通过巴塞尔协议Ⅲ。2010年12月12日,巴塞尔委员会网站公布了《巴塞尔第三版协议:更加稳健的银行和银行体系的全球监管框架》和《巴塞尔第三版协议:流动性风险计量、标准和监测的国际框架》等文件。这是巴塞尔委员会针对美国次贷危机引发的全球金融危机而亡羊补牢出台的全球银行业资本新规。其在各国金融业接连掀起波澜。巴塞尔协议     

关于商业银行流动性覆盖率的调查北大核心

2010年巴塞尔协议Ⅲ首次在资本规则之外独立提出全球统一的、可计量的流动性监管标准,即流动性覆盖率和净稳定资金比例,突出了流动性风险监管的重要性。经过两年的讨论修订,巴塞尔委员会于2013年1月正式颁布《第三版巴塞尔协议：流动性覆盖率及流动性风险监测工具》（以下简称修订稿）。     

巴塞尔协议Ⅲ流动性监管新规及其影响

巴塞尔银行监管委员会于2013年1月推出了新修订的《巴塞尔协议Ⅲ:流动性覆盖率和流动性风险监测工具》,体现了国际流动性监管改革的最新发展趋势。本文介绍了巴塞尔协议Ⅲ流动性风险监管改革及其修订的背景,对流动性监管新规的内容进行了分析和评价,探讨了流动性监管新规可能产生的影响,并为我国监管当局如何应对国际流动性风险监管改革提出了相关的政策建议。     

Basel Ⅲ下我国商业银行风险预警指标体系的构建

第三版巴塞尔协议和《商业银行资本管理办法(试行)》的相继发布,标志着我国商业银行的监管将走向微观审慎和宏观审慎相结合的模式。本文正是基于这一研究背景,通过分析第三版巴塞尔协议的改进和《商业银行资本管理办法(试行)》的创新,并根据我国银行业的实际情况,从信用风险、市场风险、操作风险、流动性风险和经营风险这几个方面,选取20项指标,构建了商业银行风险预警的指标体系。     

要闻回放

银监会发布《中国银行业实施新监管标准指导意见》。 中国银监会5月3日发布《中国银行业实施新监管标准指导意见》,确立了我国银行业实施新监管标准的政策框架。《指导意见》表示,将根据《第三版巴塞尔协议》确定的银行资本和流动性监管新标准,提高资本充足率、杠杆率、流动性、贷款损失准备等监管标准,增强银行业金融机构抵御风险的能力。     

“巴川”的中国路经

6月8日,商业银行资本管理新规出台,中国版巴塞尔协议Ⅲ中的最重要一环终于尘埃落定。《商业银行资本管理办法（试行）》（以下简称《资本办法》）于2011年8月发布征求意见稿后,经过数轮与银行讨论。定稿与征求意见稿相比,内容上改动不大,但在时问上宽松了许多。如今,中国版巴塞尔协议Ⅲ框架下的四大监管工具中,只有流动性风险监管指标尚未最终确定。据悉,《商业银行流动性管理办法》也即将公布。     

巴塞尔协议Ⅲ最终方案落地实施对国内大型商业银行业务发展影响的思考

2008年国际金融危机以来,金融体系的系统性风险引起国际各方监管机构的高度重视。为提升银行系统的稳健性和抗风险能力,巴塞尔委员会在坚持资本监管基本框架的基础上对《巴塞尔协议Ⅱ》进行了新的修订和发展,进一步完善了资本计量方法,增加了宏观审慎及流动性监管维度,最终形成《巴塞尔协议Ⅲ最终方案》,并要求于2023年1月1日开始在各成员国落地实施。中国银行保险监督管理委员会根据《巴塞尔协议Ⅲ最终方案》的监管规则和要求,发布了中国版的巴塞尔协议Ⅲ即《商业银行资本管理办法(征求意见稿)》。本文通过对《巴塞尔协议Ⅲ最终方案》出台背景、意义以及主要变化的介绍,结合《商业银行资本管理办法(征求意见稿)》要求,分析了方案落地实施后对国内大型商业银行经营管理模式、资产业务结构、风险管理能力等方面的影响,并提出相应的意见建议,为商业银行应对国内外新的监管要求和趋势提供参考。     

强化市场纪律 第三支柱改革渐行渐近

作为对第一支柱资本充足率和第二支柱监督检查的重要补充,第三支柱市场纪律起到了推动银行建立规范的信息披露制度,帮助市场参与者了解银行的风险状况的重要作用。然而,2007-2009年国际金融危机也暴露出了现行第三支柱监管框架的不足。作为第三版巴塞尔协议配套改革的重要组成部分,巴塞尔银行监管委员决定对第三支柱进行修订,其改革方向和内容值得我国银行业思考和借鉴。     

积极推动《第三版巴塞尔协议》稳步实施不断提升银行业监管有效性

非常高兴参加中国金融会计学会2011年学术年会。中国金融会计学会聚集各领域的专家学者，共同研讨中国实施《第三版巴塞尔协议》之大计，具有非常重要的意义。下面，我就《第三版巴塞尔协议》及其在我国银行业的实施问题谈点看法。     

The Liquidity Coverage Ratio and security prices

What is the added value of a security which qualifies as a “high-quality liquid asset” (HQLA) under the Basel III “Liquidity Coverage Ratio” (LCR)? In this paper, we quantify the added value in terms of yield changes and, as suggested by Stein (2013), call it “HQLA premium”. To do so, we exploit the introduction of the LCR in Switzerland as a unique quasi-natural experiment and we find evidence for the existence of an HQLA premium in the order of 4 basis points. Guided by theoretical considerations, we claim that the HQLA premium is state dependent and argue that our estimate is a lower bound measure. Furthermore, we discuss the implications of an economically significant HQLA premium. Thereby, we contribute to a better understanding of the LCR and its implications for financial markets.     

A Dilemma between Liquidity Regulation and Monetary Policy: Some History and Theory

History suggests a conflict between current Basel III liquidity ratios and monetary policy, which we call the liquidity regulation dilemma. Although forgotten, liquidity ratios, named “securities-reserve requirements,” were widely used historically, but for monetary policy (not regulatory) reasons, as central bankers recognized the contractionary effects of these ratios. We build a model rationalizing historical policies: a tighter ratio reduces the quantity of assets that banks can pledge as collateral, thus increasing interest rates. Tighter liquidity regulation paradoxically increases the need for central bank's interventions. Liquidity ratios were also used to keep yields on government bonds low when monetary policy tightened.     

The interplay between liquidity regulation,monetary policy implementation and financial stability

I outline a simple framework for thinking through how the Basel III liquidity regulations – in particular, the Liquidity Coverage Ratio (LCR) – will impact short-term interest rates and the process of monetary policy implementation. This framework suggests that a regulatory premium may arise in some market interest rates, creating a new wedge in the monetary transmission mechanism. I discuss ways in which a central bank could react to this new wedge, highlighting what may be a fundamental tension between implementing monetary policy effectively and using liquidity regulation to promote financial stability.     

Liquidity and bank capital structure

Bank capital requirements reduce the probability of bank failure and help mitigate taxpayers’ sharing in the losses that result from bank failures. Under Basel III, direct capital requirements are supplemented with liquidity requirements. Our results suggest that liquidity provisions of banks are connected to bank capital and that changes in liquidity indirectly affect the capital structure of financial institutions. Liquidity appears to be another instrument for adjusting bank capital structure beyond just capital requirements. Consistent with Diamond and Rajan (2005), we find that liquidity and capital should be considered jointly for promoting financial stability.     

Sovereign collateral as a Trojan Horse: Why do we need an LCR+

Sovereign bonds are widely used as collateral in banks’ funding and trading operations. If a sovereign becomes distressed, the collateral mechanism impairs and banks are suddenly facing significant liquidity calls. Basel III's Liquidity Coverage Ratio (LCR) protects banks against unexpected liquidity calls, but currently excludes sovereign distress. Thus, all banks fulfilling the LCR are still exposed to a liquidity risk stemming from distressed sovereign debt and materializing through the collateral channel. Our paper shows that this unaddressed risk can translate into a system-wide liquidity shock. To gauge the potential damage caused by such a shock, we develop a model based on banks’ home sovereign exposures and a bundle of simplifying assumptions in which sovereign distress triggers bank distress. Our model describes how deteriorating sovereign collateral can lead to an overall liquidity squeeze and non-compliance with Basel III liquidity standards. As this risk is too material to be neglected, we propose an alternative version of the LCR, LCR+, which includes the liquidity impact of sovereign distress.     

Financial flexibility and corporate liquidity

I provide an overview of the topics covered in this Special Issue of the Journal of Corporate Finance on “Financial Flexibility and Corporate Liquidity.” This burgeoning literature encompasses studies of the determinants and consequences of corporate cash holdings, as well as the impact of flexibility considerations on corporate capital structure and payout policies. The papers published in this special issue make important contributions to this literature and point towards several promising areas for future research.     

商业银行流动性缺口管理的改进方法及实证分析

本文在中国当前使用的流动性缺口管理方法的基础上,结合巴塞尔委员会《流动性风险计量、标准和监测的国际框架(征求意见稿)》(2009),给出关于流动性风险计量的改进方法。改进方法使用了高质量流动资产、净流动性缺口和净流动性缺口占总资产的比率三个指标,克服了传统流动性缺口管理没有充分考虑资产质量和资产流动性特征等缺点,更好地反映商业银行的流动性风险。通过实证分析先对国内3家银行2006~2009年年报数据进行比较,然后对国内10家银行2009年年报数据进行比较,进一步验证了改进方法的优越性。     

Bankers Trust and the Birth of Modern Risk Management

A leading financial practitioner traces the origins of the risk management concepts and applications widely used in today's financial institutions to their development at Bankers Trust in the 1970s. The bank became a pioneer out of necessity and entrepreneurship. Lacking the relationships with large corporations enjoyed by J.P. Morgan and Chase, Bankers Trust had to find ways to offer financial products its well‐established competitors could not. The innovations in risk management came from the Bank's “Resources Management” group, which was responsible for its trading and funding activities (but not corporate lending). By applying probability theory to its trading positions, the bank found an effective way to measure “market risk.” Extensions and refinements of this methodology were then used to measure credit risk and, later, liquidity risk and operational risk. These statistical methods and probabilistic concepts were brought together in a metric called Risk Adjusted Return On Capital, or “RAROC,” as it eventually became known throughout the financial services industry. RAROC was a concise way to measure and communicate the economic profits that had been generated by a transaction, product, or business unit, given the amount of “risk‐based” equity capital that was necessary to generate that profit. At Bankers Trust, RAROC eventually was used not only to evaluate profitability, but to guide strategic planning, capital allocation, and incentive compensation. And tools incorporating the same concepts, but with names like Value at Risk (or VaR), were later adopted by many other banks as well as regulators, including the framers of the Basel Accords. The author closes by suggesting how and why Bankers Trust's risk management culture began to deteriorate after 1995, and the bank was acquired by Deutsche Bank in 1998.     

A note on beneficial changes in random variables

This paper is an extension of Jack Meyer's paper titled “Beneficial Changes in Random Variables Under Multiple Sources of Risk and Their Comparative Statics” published in the June 1992 issue of this journal. The extension consists of showing which of the sufficient conditions in Meyer's Theorems 1 and 3 are also necessary, and which are not. In addition, conditions are provided which are necessary and sufficient for general beneficial changes to imply a decrease in the demand for insurance.     

Do Analyst Stock Recommendations Piggyback on Recent Corporate News? An Analysis of Regular‐Hour and After‐Hours Revisions

Analysts often update their recommendations following corporate news. Questions have been raised regarding analysts’ ability to generate new information beyond recent corporate events. Employing a comprehensive database on corporate news, we show that only a small minority, or 27.9%, of all recommendation revisions directionally confirm the information in the preceding corporate events and even these “confirming revisions” facilitate the information discovery of corporate events and thus cannot simply be dismissed as “piggybacking.” Our analysis further shows that analysts not only facilitate price discovery to corporate news through issuing trending revisions but also help reverse prevailing market sentiments following corporate news by issuing contrarian revisions. Our study is the first to investigate short‐window intraday market reactions to revisions issued after hours, which account for 70% of all recommendation revisions in our sample period. Analysts’ incentives to issue revisions after hours appear to reflect demands from large institutional clients, who dominate after‐hours trading. More importantly, we show that the after‐hours revisions are associated with significantly greater price reactions and different price reaction patterns than revisions issued during regular trading hours. Collectively, our evidence indicates that analysts are a significant source of new information beyond recent corporate news and they also help shape the market's assessment of corporate disclosures.