集成风险模型与经济资本计量研究

本文分析了商业银行资产组合含有信用风险、市场风险、操作风险中的一类风险损失分布模型以及三种不同类型风险损失的相关性,得到了信用风险损失、市场风险损失以及操作风险损失的对数组成的向量服从三维正态分布的结论。在此基础上,研究了包含信用风险、市场风险、操作风险的资产组合的经济资本计量方法。利用这一方法能够节约商业银行资本资源,提高资本利用效率。     

国外大型银行经济资本计量及应用的比较分析

经济资本（economic capital）作为计量银行风险、进行风险偏好设置和组合风险管理的工具,已经在全球商业银行广泛应用,也日益为我国的大型商业银行所重视。     

商业银行的知识资本管理

我国加入WT0以后，银行业面临更多的机遇和挑战。在机遇和挑战面前，我国银行业如何抓住机遇，如何提升自身的综合竞争能力，如何全面提高银行盈利能力等是目前讨论最多的课题。本文主要根据目前我国银行业存在的某些不足，从知识资本管理的角度进行探讨。     

经济增长下行周期中商业银行的经营策略研究

本文指示,美国次贷危机只是导致全球经济增长下滑的导火索,本轮全球经济增长步入了周期性调整,其本质原因在于决定经济周期的三股核心力量发生了根本性的转折。面对宏观形势的变化,商业银行应认真审视各项业务面临的挑战,积极调整业务结构,采取多项应对措施,以经受经济周期性波动的考验。     

巴塞尔新资本协议与我国商业银行资本管理

文章探讨巴塞尔新资本协议与我国商业银行的资本管理问题。     

浅议商业银行上市对其资本管理的影响

商业银行通过上市可以在扩充资本实力、扩大社会影响、树立企业形象、增强市场竞争力等方面取得明显成效,近来,已有多家商业银行提出了将在境内外证券市场上市的计划.商业银行因其经营产品的特殊性,其上市募集资金的使用意义也与一般企业有着很大的不同,银行上市募集的资金全部用于补充资本金,这对商业银行的资本管理将带来诸多方面的影响,成为银行经营管理的一个新课题.     

Securities activities of commercial banks: Recent changes in the economic and legal environments

Despite the lack of changes in the Glass-Steagall Act, commercial banks have expanded their securities activities substantially in recent years. The increase reflects more liberal interpretations of the Glass-Steagall restrictions by the bank regulatory agencies and the courts, greater aggressiveness by the banks in searching out new areas of profitability to offset declining profitability in some traditional banking activities, advances in data processing technology that both permit the design of new securities and promise economies of scope, and increased internationalization of financial markets that provide U.S. banks with experience in securities activities abroad. As a result of the de facto dismantling of the Glass-Steagall Act that is documented in this article, de jure dismantling is less important than in the past, although it is still desirable for the sake of increased efficiency.Loyola University of ChicagoThis article was prepared to accompany the author's statement before the Committee on Banking, Housing, and Urban Affairs, United States Senate, Washington, D.C., August 6, 1987. An earlier version was presented to a conference on Future Directions in the Financial Services Industry, Georgetown University Law School, Washington, D.C., March 5–6, 1987. Sections of the article are included in a longer article, The Securities Activities of Commercial Banks: The Current Economic and Legal Environment, by the author and Larry Mote, Staff Memoranda (Federal Reserve Bank of Chicago), forthcoming. The author is indebted to Larry Mote for comments, suggestions, and corrections throughout the development of this article.     

Tax planning, regulatory capital planning, and financial reporting strategy for commercial banks

We test whether banks' investment and financing policies canbe explained by tax status. We document changes in bank holdingsof municipal bonds in response to changes in tax rules relatingto deductibility of interest expense. We also document an associationbetween banks' marginal tax rates and their investment and financingdecisions, which is consistent with the existence of tax clienteles.However, banks do not sort themselves perfectly into investmentand financing clienteles because of adjustment costs. We positspecific types of transaction-cost impediments to tax planning,and document that banks apparently trade off these costs againsttax-planning benefits.     

论经济资本管理与商业银行经营

经济全球化、金融一体化、国际资本市场成熟化、新科技革命与金融创新化,以及国际金融监管现代化,使商业银行经营环境发生了深刻变化。由于商业银行经营环境的变化,现代商业银行从经营理念、经营思想、经营方式,到业务结构、收入结构以及管理结构均会发生深刻变化,其表现为,风险管理功能将成为商业银行的核心功能;商业银行将向综合性的“全能银行”发展;服务性收入将成为商业银行最主要的收入来源;金融创新能力将成为商业银行生存和发展的主要决定因素;银行业务电子化越来越普及、经营机构更加“虚拟”化;银行资产证券化程度越来越高;以个人…     

现代商业银行信用风险评估方法及其对我国商业银行的启示

文章通过介绍现代商业银行信用风险评估方法 ,从中揭示对我国商业银行风险管理问题的有益启示 ,以资我国商业银行风险管理参考。     

对当前商业银行密集发行次级债补充资本金的思考

当前,我国商业银行补充资本金的一个常用手段是发行次级债,但我国商业银行次级债市场存在发行目的单一、互持问题严重、市场约束失效的问题。提高商业银行的经营管理水平,改善银行负债结构以及改善银行风险管理,拓宽商业银行次级债市场参与主体,让商业银行以外的机构投资者更多地参与次级债市场以分散银行体系的风险,这样才能达到通过发行次级债补充资本金以提高银行抗风险能力的目的。     

Regional economic development,strategic investors,and efficiency of Chinese city commercial banks

We investigate the effect of strategic investors on bank efficiency in the context of regional economic development. The data on Chinese city commercial banks operating regionally are well-suited for the study. Our findings suggest that strategic investors significantly increase efficiency in Chinese city commercial banks, while the effect of strategic investors on the efficiency of Chinese city commercial banks is negatively correlated to the level of regional economic development. The negative correlation of the effect of strategic investors on Chinese city commercial banks’ efficiency with regional economic development may be explained by the mix of local official promotion system and city commercial banks’ governance structure.