浅谈经济资本管理在我国银行经营及风险管理中的借鉴

所谓经济资本管理,是基于银行全部风险之上的资本,因此又称为风险资本,它是一种虚拟的、与银行风险的非预期损失等额的资本。本文主要探讨了经济资本管理在我国银行经营及风险管理中的借鉴,对于经济资本管理在商业银行风险控制中的作用,及其改革的必然选择。     

经济资本在商业银行风险管理中的运用

经济资本管理作为商业银行风险管理的核心工具,其应用日益广泛。通过经济资本管理,银行可以量化经营所面临的全部风险并确定抵御风险的资本。实现经济资本管理,需要建立银行内部的评级体系,这涉及银行数据体系的建立和维护。由于整个社会信用文化的缺失以及有效数据的缺乏,我国的商业银行在这方面需做大量工作。     

对经济资本在股份制商业银行应用的思考

经济资本在股份制商业银行风险管理和资本管理中扮演着重要的角色,其不仅是对风险的缓冲,同时也是资本配置的风向标.文章通过经济资本的计量,准确度量商业银行的经济增加值,体现出商业银行的风险回报水平和股东回报,对商业银行绩效考评体系起到了重要的作用.     

论商业银行资本风险管控的有效性策略

伴随着当今世界经济形势复杂化和大型商业银行国际化的趋势,商业银行的资本风险管控越来越成为银行经营过程中的重要一环。本文从商业银行资本风险定义及资本风险的划分入手,以当下商业银行资本结构数据为依托,试图对我国商业银行资本风险管控提出合理化建议。     

以资本管理为核心的银行治理综合评价指标研究

商业银行的特殊性体现在风险性、外部性和多重治理目标上，尤其集中体现在风险管理的本质上。风险管理日益成为现代商业银行的主体活动和核心职能，资本管理成为现代商业银行风险管理的核心。在整合EVA和RAROC指标的基础上。文章构建了以资本管理为核心的银行治理的综合评价指标，以求真实反映银行经营的成果，有效衡量风险收益和风险成本的对比关系，从而反映以资本管理为核心的银行风险管理的过程、能力和效率。     

当前我国金融风险的表现、成因及防范对策

近年来，随着我国改革开放的日益深入与市场经济体制的逐步建立和完善，我国金融改革进程也在加快，金融业所面临的风险也日益加大。金融风险的加大，严重影响了我国金融、经济和社会的协调健康发展。因此，加强金融监管，采用科学的管理方法，加大金融风险防范力度，已成为金融业的当务之急。一、当前我国金融风险的具体表现1、资本风险。由于改革开放以来我国银行业务发展迅速，银行资产过度扩张。但商业银行资本积累机制不健全，在风险资产日益增多的情况下，资本充足率呈日益下降的趋势。2‘支付风险。由于银行在日常经营活动中，不能严…     

银行合规风险管理研究

近年来,随着我国社会经济不断的调整,有关商业银行合规风险管理问题逐渐显现出来,那么如何才能更好的规避商业银行合规管理中的风险,降低银行业商业管理投资风险,逐步成为各大商业银行关注和讨论的焦点问题,对此本文首先从银行合规风险管理的概述入手,其次分析现阶段造成商业银行合规风险管理过高的原因,最后针对原因给出妥善解决和规避银行合规风险的有效措施,促使银行承担起风险管理责任,进而为我国社会经济的可持续稳定运行发展奠定坚实的银行合规管理基础。     

商业银行风险管理问题探析

一、当前我国商业银行风险管理存在的主要问题 应该说，近年来我国商业银行风险状况逐步向好的趋势转变，风险管理水平也在不断提高，但是潜伏的银行风险仍不容忽视，银行风险管理的现代化进程依然任重而道远。与国外先进银行相比，我国商业银行风险管理水平的差距还相当大，尤其是风险的定量管理还很落后。     

基于RAROC的我国上市商业银行经济资本配置分析

在资本约束日益严格的情形下,研究我国商业银行经济资本配置问题具有重要意义。基于2014年我国13家上市银行的相关数据,以RAROC指标为核心分析了我国上市商业银行经济资本配置的效率高低问题。研究结果显示：我国各上市商业银行风险调整后收益率的标准差水平普遍都不够理想,各类业务之间的发展均衡性不高。此外,银行各类业务发展的均衡水平与风险调整后收益率的大小匹配度不高,最终提出相关建议。     

管理会计视角下对国有商业银行提升经济资本回报率的建议

作为商业银行最昂贵和稀缺的资源,经济资本是商业银行资本管理和风险管理中的一个重要概念,对银行管理与发展意义深远。商业银行对经济资本的管理,一方面要确保充足的经济资本覆盖非预期损失,保证资本充足率;另一方面还要确保经济资本高效、经济地运用,保证较高水平的资本回报率。近年来,各大国有商业银行纷纷提速战略转型,资本集约化的经营管理理念在银行业逐渐深入人心,商业银行提升经济资本回报率的需求日益紧迫。因此,借助管理会计工具,积极探索经济资本回报率的提升策略,有效推动国有商业银行经济资本绩效水平,是破解资本管理难题的关键,也是提升银行可持续发展能力的关键。     

Financial Liberalization and Foreign Bank Entry on the Domestic Banking Performance in MENA Countries

Abstract: This study examines the impact of financial liberalization and foreign bank entry on the domestic banking sector from 1996 to 2007, and builds upon and expands the work of Lee (2002). We find that foreign bank entry, financial liberalization, ownership structure and degree of openness of foreign bank entry positively impact domestic banking system operating efficiency, capitalization, risk management, long‐term soundness, financial performance as well as economic and financial development. However, foreign bank entry is associated with reduced profit margins and increased operating costs of domestic banks in countries with less developed capital markets. Empirical evidence seems to support the argument that foreign bank presence leads to better allocation of capital and eliminates connected lending practices.     

资本账户开放对商业银行风险的影响研究——来自新兴经济体的经验证据

资本账户开放对一国宏观经济至关重要。文章总结了资本账户开放影响商业银行风险的财富与估值效应、周期效应、道德风险效应和竞争效应,利用2011-2017年期间22个新兴经济体111家商业银行的微观数据,构建动态面板广义矩估计（GMM）模型实证检验了资本账户开放对商业银行风险的影响,并且进行了异质性检验。实证结果显示：（1）资本账户开放与商业银行风险呈正U型关系。（2）资本越雄厚、规模越大的商业银行抵抗资本账户开放影响的能力越强。为避免银行体系风险的过度积累,政府应考虑银行业资本充足情况与宏观经济情况,不断探索宏观审慎工具,合理安排资本账户开放程度。     

银行分项监管对银行风险的影响——基于发展中国家数据的实证分析

基于43 个发展中国家357 家银行数据,运用系统GMM 方法,研究银行分项监管对银行风险的影响。其中,银行监管包括12 类分项监管,银行风险包括总体风险、信用评级风险和破产风险。回归结果显示：资本监管、内部管理监管、存款保险监管、信息披露监管和监管效率5 类分项监管均能降低3 类银行风险。其他分项监管能降低1 到2 类银行风险,即准入监管能够降低总体风险,增加信用评级风险;所有权监管会增加信用评级风险,降低破产风险;外部审计监管增加银行总体风险和破产风险,降低信用评级风险;流动性监管降低银行破产风险,对总体风险、信用评级风险不显著;资产分类和处置监管降低总体风险、信用评级风险,但增加破产风险;退出监管增加银行总体风险、信用评级风险,降低银行破产风险。本文的研究对我国加强银行监管,降低银行风险有很强的现实参考意义。     

跨境资本流动对银行风险的影响--基于风险累积效应和风险传染效应的视角

从风险累积效应和风险传染效应两个视角揭示跨境资本流动对银行风险的影响机理,并基于2000年第一季度至2020年第四季度时间序列数据进行经验检验,结果表明:跨境资本流动、跨境资本流入、跨境资本流出均显著增加了银行风险,且三者对银行风险的影响均存在显著的风险累积效应;跨境资本流动、跨境资本流入、跨境资本流出均通过影响金融机构人民币各项贷款余额同比增速、金融机构外币各项贷款余额同比增速、金融机构本外币各项贷款余额同比增速以及境内住户中长期消费贷款同比增速等信贷渠道显著提高银行风险承担水平,实现银行风险累积,从而增加银行风险;跨境资本流动、跨境资本流入、跨境资本流出均显著提高了股票价格、房地产价格和实际汇率的波动水平,且跨境资本流动通过股票市场、房地产市场和汇率市场将波动水平传染至银行系统,增加了银行风险,股票市场、房地产市场和汇率市场更是强化了这种传染效应。     

Navigating the Impact of Globalization on Bank Efficiency in China

The paper provides for the first time empirical evidence on the impact of economic globalization on bank efficiency in a developing economy. Using the data envelopment analysis method, we compute the efficiency of the Chinese banking sector during 2000–2007. The empirical findings suggest that the inefficiency of the Chinese banking sector stems largely from scale rather than pure technical inefficiencies. Examining different components of economic globalization, we find that greater economic integration through higher trade flows, cultural proximity and political globalization have significant and positive influence on bank efficiency levels. The empirical findings suggest that liberalization (restrictions) of the capital account exerts a negative (positive) influence on bank efficiency levels in China.     

How will financial liberalization change the Chinese economy? Lessons from middle-income countries

This study projects the impact of financial liberalization in China by drawing on the experiences of 60 middle-income economies over a period of four decades. Our results suggest that comprehensive financial reform could increase GDP growth per capita by up to 1.4% points and raise the real bank lending rate by up to 5.1% points. Perhaps the most unexpected result is a massive increase in net capital inflows by up to 20.1% of GDP, which could plant seeds for financial risks later. The probability of a currency crisis could increase by up to 21.7% points, but the probability of a banking crisis may rise or fall, depending on the quality of bank supervision. We also find different policy impacts of different financial reform measures. Bank ownership reform and regulatory reform are critical in supporting economic growth and financial stability. These findings offer important policy implications on how to derive maximum benefit from financial reforms while effectively mitigating potential risks.     

Shadow banking activities of non-financial companies and the information content of stock prices

In recent years, corporate investment rate has been declining, and they have been allocating financial capital to the shadow credit market, which lead to accumulation of financial risks. Based on the annual data of non-financial listed companies from 2007 to 2019, this paper explores the impact of non-financial companies’ shadow banking on the information content of stock prices. Results show that shadow banking of non-financial enterprises reduce the information content of stock price, and the above effects are more significant in regions with lower social trust and higher policy uncertainty, private enterprises, and enterprises without political connection. Enterprises engage in shadow banking can impact idiosyncratic information content of stock price through channels of earning management, irrational investor behavior, creditor risk concerns and informed trading; Analysts over-optimism and insider trading can also have an impact on the relationship between shadow banking activities and synchronization of stock price. This paper analyzes economic consequences of non-financial enterprises’ shadow banking activities, thus providing important theoretical support and policy guidance for enhancing signal mechanism of securities market, improving capital market efficiency of resource allocation, deepening financial market-oriented reforms.     

Reform of the Japanese banking system

Japan has experienced a decade-long economic stagnation with a distressed banking sector in the 1990s. The absence of a credit culture to rigorously assess and price credit risks of borrowers, aggravated by weak prudential and supervisory frameworks, in the 1980s, the collapse of the asset price bubble in the early 1990s, and the lack of decisive, comprehensive strategy to address the banking sector problem at an early stage were largely responsible for the emergence of banking sector problems. All of these allowed a systemic banking crisis to emerge in 1997–98 and a large output loss during 1998–2002. The crisis ultimately prompted the government to take a more aggressive policy to tackle the problem. Considerable progress has been made since then on banking sector stabilization, restructuring, and consolidation. The regulatory and supervisory framework has been strengthened in a way consistent with an increasingly market-oriented, globalized environment. As a result, the worst is over in the Japanese banking system, setting the stage for sustained economic recovery. Though bank capital may still be inadequate, safety nets are in place, and credit allocation has been made more rational. Remaining risks are limited to regional and smaller institutions that are vulnerable to weak, local economic conditions and hikes of the long-term interest rate.

基于城市商业银行的资本缓冲周期性行为研究

运用我国50家城市商业银行2005-2014年度的非平衡面板数据进行单步系统GMM估计,论文研究了资本缓冲与经济周期之间的关系,并分析了审慎监管压力和股权异质性结构特征对资本缓冲周期性行为的影响。实证分析结果表明城商行资本缓冲与经济周期之间呈现负相关,即资本缓冲具有显著的顺周期性。而处于审慎监管压力下的城商行,其资本缓冲的顺周期性特征较其他城商行有所减弱。此外,股权特征中控股性质和有无境外投资者持股可以影响城商行资本缓冲的顺周期性行为,但效果并不显著。因此,对于城商行而言,要加强银行体系的建设,建立“缓冲资本池”,并执行监管部门的审慎政策,以保持自身的稳定。     

Can good events lead to bad outcomes? Endogenous banking crises and fiscal policy responses

In this paper, we study the impact of changes in the urban labor force and foreign direct investment on the banking sector, using a dynamic general equilibrium model with a financial sector. Numerical simulations are performed using stylized Chinese data, and bank failures are generated through increases in the growth rate of the labor force, a revaluation of the exchange rate, or an increase in debt issue to finance the government deficit, as compared to a benchmark scenario in which banks remain solvent. Thus bank failures can result from what might seem to be either beneficial economic trends or correct monetary and fiscal policies. We introduce fiscal policies that modify relative factor prices by lowering the capital tax rate and increasing the tax rate on labor. Such policies can prevent banking failures by raising the return to capital. It is shown that such fiscal policies are, in the short run, welfare reducing.