金融双语

什么是信用衍生产品？信用衍生产品是属于场外交易的金融合约，其支付取决于特定发行者的信用等级变动。这里说的特定发行人一般不是参与信用衍生产品合约的某一方。信用衍生产品的种类很多，比如信用违约互换、总收益互换、资产支持的信用票据等。     

金融危机中处置有问题银行的政策选择研究

选择有效处置有问题金融机构和不良资产的政策是政策制定者在应对金融危机时的关键问题,政策选择不仅影响处理危机的财政成本,也会影响金融机构未来的风险承担行为。本文提出了一个在信息不对称条件下分析政府处置有问题银行的各种政策选择的模型,通过考察各种政策的事后道德风险和事后财政成本,对这些政策进行了比较分析,并结合美国不良资产救助计划(TARP)实施重点的转变,说明了为什么股权注资比收购不良资产更有效。     

The Impact of Derivatives Activity on Commercial Banks: Evidence from U.S. Bank Holding Companies

We have examined the impact of derivatives activity on commercial banks based on panel data from 18 large U.S. bank holding companies (BHC). This paper found that in general the larger the notional values of non-traded derivatives, the more derivative positions held by banks, meaning potentially better performance. The derivatives activity increased the BHCs’ overall risk level, the reason is that most US BHCs are able to take more speculative positions in derivatives contracts in the name of risk management, excluding the impact of held-for-trading positions. Additionally, we found that while participative banks took more speculative positions in derivatives contracts in the name of risk management, while dominant banks preferred to hold derivatives positions for the sake of hedging the underlying risks. Furthermore, we found that the BHCs take more speculative positions in derivatives contracts in the name of risk management before the sub-prime mortgage loan crisis than after the sub-prime mortgage loan crisis, so they assumed more risks before the sub-prime mortgage loan crisis. Overall, our findings suggest that the usage of derivatives for commercial banks is a double-edged sword. Using derivatives maybe a matter of managerial risk appetite to hedge underlying risks for commercial banks, however, it maybe also increase the commercial banks’ overall risks if the derivatives positions are used to speculate, though derivatives activity could increase the profitability of BHCs.     

商业银行金融衍生业务的风险控制

金融衍生业务是20世纪70年代在世界各大金融机构发展起来的一项用以规避风险和套期保值的新型业务,本文分析了商业银行的主要衍生业务及其风险类型,并着重从商业银行的角度提出对金融衍生业务风险控制的措施.     

利率衍生工具与我国商业银行利率风险管理

随着我国利率市场化的推进,商业银行已积聚了巨大的金融风险同时还将面临利率频繁波动所带来的利率风险。然而传统法的资产负债管理法无法满足利率风险管理的需要;虽然利率衍生工具能够有效地化解商业银行利率风险,但衍生市场还处于刚刚起步阶段。因此借鉴国际经验,结合现实情况,我国应尽快发展利率衍生工具市场,完善商业银行利率风险管理模式。     

金融衍生工具在我国商业银行发展中的作用和潜在风险

金融衍生工具从产生到现在已有30多年了,最近十多年来,金融衍生工具在国际金融市场的作用越来越重要。在我国,虽然金融衍生工具的发展还不是很成熟,但它对商业银行的发展还是起到了一定的作用。在利用金融衍生工具的同时,我们应该注意到它的潜在风险,并对其进行有效、有力的金融监管,确保其健康稳定发展。     

金融衍生品对商业银行信贷风险控制的影响研究

近年来,许多中国企业从事金融衍生品交易受到重创并陷入财务困境,给相关银行带来巨大的信贷风险。本文从商业银行信贷风险控制的角度,首先探讨了企业利用金融衍生品进行套期保值的积极意义以及该业务一旦转化为投机给企业带来的巨大风险,发生这种转化的关键原因是其内部控制失效。商业银行不应对正常套期保值的企业惜贷,但必须对涉及金融衍生品交易的企业贷款提高风险意识,一方面要严格监控贷款企业的相关内部控制机制,另一方面也要建立银行自身与衍生品交易企业贷款有关的内部控制机制,这一机制包括事前防范、事中监控和事后处理三个方面。     

金融衍生产品发展的新特点与国内商业银行的策略研究

近年来，国际金融衍生产品市场呈现三个新特点：市场需求及市场规模日趋扩大，产品创新层出不穷，风险防范问题日渐突出，并由此对国际金融市场的发展和稳定带来深刻影响。随着我国人民币汇率制度改革、利率市场化及资本市场股权分置改革等进程的不断加快，金融衍生产品在国内市场的发展契机已经到来。我国发展金融衍生市场应遵循“适应经济金融改革进程、满足市场需求、结构上由简到繁、风险上由低到高”的总体原则。国内商业银行应当以资产保值增值为目的，选择适当的产品切入金融衍生市场，并注重提高金融衍生产品的核心竞争力，加强风险防范和人才的培养与引进。     

国际金融衍生产品发展及其对中资银行的借鉴

在金融自由化和金融创新浪潮的冲击下,国际金融衍生产品市场得到迅速发展,而国内商业银行开展金融衍生产品交易主要是为对公、对私提供代客外汇衍生产品交易为主,尚没有提供人民币衍生交易。在目前制度框架下,我国商业银行应积极推动与人民币相关的衍生产品的创新和发展,着力提高国内商业银行结构性衍生产品拆分和衍生产品定价衍生产品风险控制能力。     

Financing Loan Growth at Banks*

We analyze investment and financing decisions for a broad sample of affiliated and independent banks during the 1994–1998 period. Our results indicate that growth in lending at affiliated banks is supported by net equity financing flows from parent holding companies. We also provide evidence that loan growth at affiliated banks, relative to independent banks, is less constrained by capital availability. Both findings appear relevant to understanding the diminishing role of independent banks in aggregate lending.     

商业银行业务流程再造研究的文献综述

随着金融自由化、金融全球化和金融信息化的不断深入发展,国际商业银行业务流程全面再造的时代即将来临。本文通过对商业银行业务流程再造理论国内外研究现状的回顾,并对其进行了系统性的评述,目的在于为我国商业银行今后的业务流程再造提供了坚实的理论支持和方法上的借鉴。     

我国商业银行应用金融衍生工具的制约因素与发展对策

一、我国商业银行应用金融衍生工具业务发展现状及存在问题 金融衍生工具,又称金融衍生产品,是指价值派生于某些标的物的价格合约.国际会计准则委员会对衍生工具定义为:"衍生工具,指具有如下特征的金融工具:(1)其价值随着特定利率、证券价格、商品价格、外汇汇率、价格或汇率的指数、信用等级和信用指数或类似变量的变化而变化;(2)不要求初始净投资或相对于市场条件具有类似反应的其他类型的合约所要求的初始净投资较少;(3)在未来日期结算.     

Discerning the Impact of Derivatives on Asset Risk: The Case of Canadian Banks

The Canadian banks have shown remarkable resilience to the financial crisis that intensified in the late 2008. The interesting question is whether this stability is due to their prudent lending practices to limit the original risk exposures or due to effective risk management through hedging by using financial derivatives. In this paper, we implement the option‐theoretic model of Merton to calculate the implied asset risk and discern the impact of these derivatives on the aggregate risk for Canadian banks over the period 1997–2008. An algorithm of iterative procedure is developed to impute asset value and risk from bank stock prices. Our estimates show that the risk for Canadian banks is low and even decreasing till the unfolding of the recent crises in 2008. Further analyses reveal that such low risks are not due to reliance on hedging, nor is it related to trading in derivatives, after disentangling the intertwined effects of hedging and trading. These results suggest that involvements in derivatives, in and of themselves, should not be blamed for causing the bank crises; rather, it is conservatism in controlling original risk exposures that remains fundamental for safeguarding a healthy financial system.     

信用衍生品在我国商业银行信用风险管理中的应用

我国商业银行针对其面临最重要的风险之一的信用风险采取的信用风险管理方式长期以传统模式为主,这种方式较为被动,缺少积极性及动态有效性。该种方式的缺陷在经济全球化的形势下显得更为严峻,而信用衍生品作为能够有效转移信用风险的创新产品,很有须要将其引进到信用风险管理中。在学习与借鉴前人关于信用衍生品在银行信用风险管理应用的经验上,运用了实证分析方法,对银行信用资产质量与信用衍生品交易量的关系作出了研究,得出了信用衍生品在一定程度上对于降低或转移商业银行信用风险产生了作用,进而保证了信用资产质量的结论,结合了信用衍生品在我国实际的发展现状与条件,提出了该产品在我国商业银行信用风险管理中运用的建议。     

The Use of Interest Rate Derivatives by End-users: The Case of Large Community Banks

This paper investigates the use of interest-rate derivatives by U.S. commercial banks with total assets between $100 million and $1 billion. These banks are interesting, because they allow us to focus on the end-users of interest-rate derivatives rather than dealers. Over our four-year test period, 1990–1993, only 10% of these large community banks, on average about 250 banks per year, used any interest-rate derivatives. We find evidence that the use of interest-rate derivatives is positively related to exposure to interest-rate risk as measured by the absolute value of the 12-month maturity gap. In addition, a community bank's decision to participate in interest-rate contracts is positively related to size. Nevertheless, we find no positive relationship between size and the extent of participation in the derivatives market. Finally, our evidence suggests that banks that participate more heavily in interest-rate swaps have stronger capital positions, an indicator of market or regulatory discipline or both.     

关于当前银行改革的若干思考

银行制度与体系重构银行按经济区域设置体现了银行利润最大化目标的内在要求。近年来 ,四大国有独资商业银行清理整顿分支机构 ,撤并了大量机构和冗员 ,但按行政区域设置、“三级管理、一级经营”的格局未取得根本性改变。当然 ,作为一个历史问题 ,内含巨大的改革成本 ,渐进改革需要一定的时间和过程。但是 ,加入ＷＴＯ ,银行业面临的激烈竞争要求银行必须打破常规、加大改革力度。按经济区划设置 ,首先要求银行明确各地经济发展水平和市场信贷需求 ,以及本行的经营状况 ,然后按照精干、高效的原则对现有机构进行战略性的重组和调整。其中 ,…     

我国问题保险公司退出路径研究

在我国问题保险公司退出机制的建立中,退出路径的选择是关键一环.造成问题保险公司退出的原因不尽相同,要根据对问题保险公司风险性质和危机程度的判定,制定多层次的市场退出方式,增强市场退出制度的科学性,提高其退出绩效.本文具体分析了我国问题保险公司的退出路径,为201O年底将要出台的<保险公司风险处置管理办法>献计献策.     

Interest Rate Risk at Commercial Banks: An Empirical Investigation

This paper develops and estimates models to measure banks' exposure to interest rate risk. The models are estimated for the 1976–1983 period to determine whether banks' exposure to interest rate risk increased as a result of increased interest rate volatility and financial deregulation. The major findings are that banks changed their risk management strategies after 1979 and that total exposure to interest rate risk remained quite small.     

A Comparison of Syndicated Loan Pricing at Investment and Commercial Banks

We reject the hypothesis that investment and commercial banks have identical loan-pricing policies. We find that compared to commercial banks, investment banks lend to less profitable, more lever aged firms, price riskier classes of term loans more generously, and offer relatively longer-term credits, usually with term, not commitment contracts. Investment banks typically establish higher credit spreads, although the premium declines when a commercial bank joins as syndicate co-arranger. Investment banks also price riskier classes of term loans more generously to borrowers than do commercial banks. Commercial-bank funding advantages do not appear to be a source of the pricing differences.