提高资本充足率的有效途径探讨

资本充足率是资本净额与加权风险资产总额的比率,用以表明银行自身抵御风险的能力。由于资本充足率指标反映了银行最基本的损失承受能力,因而成为监管当局一个很重要的监测指标。一、提高资本充足率的意义银行资本金的多少,决定了银行实力和支付、清偿能力,如资本充足,不仅可以     

我国A股上市银行市值影响因素研究——基于我国股权分置改革后的经验考察

股权分置改革是我国资本市场发展进程中的重要事件。股权分置改革后,市值管理成为我国上市公司的必然选择。以我国上市银行的市值为因变量,以GDP增长率、沪深300指数、资本充足率、每股收益、净资产收益率、净利润增长率、流通股比例等指标为自变量进行实证研究。研究表明:在1%显著性水平下,沪深300指数、每股收益、净利润增长率与上市银行市值呈显著的正向关系,GDP增长率和净资产收益率与上市银行市值呈不显著的正向关系,而资本充足率和流通股比例与上市银行市值呈不显著的负向关系。     

我国A股上市银行市值影响因素研究--基于我国股权分置改革后的经验考察

股权分置改革是我国资本市场发展进程中的重要事件。股权分置改革后,市值管理成为我国上市公司的必然选择。以我国上市银行的市值为因变量,以GDP增长率、沪深300指数、资本充足率、每股收益、净资产收益率、净利润增长率、流通股比例等指标为自变量进行实证研究。研究表明：在1%显著性水平下,沪深300指数、每股收益、净利润增长率与上市银行市值呈显著的正向关系,GDP增长率和净资产收益率与上市银行市值呈不显著的正向关系,而资本充足率和流通股比例与上市银行市值呈不显著的负向关系。     

资本充足率影响我国商业银行资产风险的实证研究

<正>一、引言作为巴塞尔系列协议以及各国监管当局的监管指标,对商业银行的资本充足率进行监管被认为能够约束商业银行的风险行为,增强其稳定水平。资本充足率越高,银行承担的风险越低。本文使用银行风险加权资产作为商业银行资产风险的度量     

商业银行利用金融债券提高资本充足率的实践

说到资本充足率,我 们知道它是一种特殊的 “杠杆比率”,它不是简单 地用会计资本除以总资 产,而是要用监管资本除 以风险加权资产。这样计 算出的资本充足率,比简 单地用会计资本除以总资 产可以更加准确地反映和衡量一家银行的风险水平和自     

浅析我国资本充足性管理的实践

所谓银行的资本充足性是指银行资本数量必须超过金融管理当局所规定的能够保障正常营业并足以维持充分信誉的最低限额；同时，银行现有资本或新增资本的构成，应该符合银行总体经营目标或所需资本的具体目的。因此，银行资本充足性有资本数量适度和结构合理两层含义。银行资本是否充足可用资本充足率来衡量，资本充足率不是单一指标，而是一组指标，如资本与风险资产比、核心资本与风险资产比、核心资本与资本比等。     

建立多层次资本监管要求

1988年资本协议(巴塞尔Ⅰ)确立了商业银行资本充足率监管的三个基本要素,即资本定义、风险加权资产的计量范围和方法、资本充足率最低要求。该协议将资本充足率最低要求确定为8%。全球100多个国家借鉴1988年资本协议建立了本国的资本监管安排,8%成为监管当局和市场参与者评价单家银行稳健性的最重要标杆。本轮全球金融危机表明,按照8%资本充足率要求计     

政府监管及银行规模对商业银行风险行为的影响

08年爆发的全球金融危机,本质上是银行危机。为此,研究哪些因素对商业银行风险行为产生显著影响具有十分重大的意义。本文在前人研究的基础上,对中国银行业市场进行了相关考察研究,以超额资本充足率和法定存款准备金率为政府监管度量指标,结合商业银行自身规模,以中国9家上市银行2008年3月-2012年9月期间的季度数据为研究样本,实证研究了政府监管和银行规模对中国商业银行风险行为的影响。研究表明：银行规模和法定存款准备金对中国商业银行风险行为产生显著负向影响,超额资本充足率对银行对抗风险具有显著的正向影响。     

我国商业银行的资本充足率水平分析

资本充足率是指商业银行的资本净额与其加权折算后风险资产总额的比例,用以表明银行自身抵御风险的能力,它是世界各国普遍实行的考核商业银行经营安全性的重要监测指标,由于我国未建立存款保险制度,因此资本充足率可以说是抵御银行风险的最后一道防线.     

IRB法在防范商业银行未预期风险中的作用分析

IBR法对信用风险未预期损失监管资本要求,按照公司、主权、银行、零售和股权类别分别规定了具体的计量方法,内部法计量未预期损失的资本要求和资本充足率的关键有两个:一是风险因素。在满足监管要求的前提下,银行可以根据自己估计的风险因素计量资本要求,这反映了内部法的进步性。二是风险权重函数。与内部法的通用计量模型相比,随着银行风险管理水平的提高,银行内部资产组合计量模型会逐步取代内部法的通用模型,这反映了内部法的过渡性。     

从资本充足率到有形普通股权益比率——透视经济危机背景下资本监管新趋势

一直以来,作为银行业监管核心指标一资本充足率,担负着监测银行资本充足情况、反映银行稳健经营程度的重任。在各国的银行业监管实践中,该指标的有效性得到了各界人士的肯定。但在此次史无前例的经济危机中,其有效性却受到了严重挑战。如何有效测度商业银行资本充足情况,未来的资本监管方式将如何完善,本文将对此进行探讨。     

The Generalized Treynor Ratio

This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key geometric and analytical properties of the original Treynor Ratio. The Generalized Treynor Ratio is defined as the abnormal return of a portfolio per unit of premium-weighted average systematic risk, normalized by the premium-weighted average systematic risk of the benchmark. Numerical simulations reveal that the portfolio rankings produced with this measure are more precise and more stable than the ones provided by Jensen’s alpha and the Information Ratio.I wish to thank Wayne Ferson, Pascal François, Eric Jacquier, Lars Tyge Nielsen, Nicolas Papageorgiou, Peter Schotman, Marco Pagano (the Editor) and three anonymous referees, as well as participants at the 2003 International AFFI Conference (Lyon), the 2003 NFA Conference (Qu’ebec) and seminars at Maastricht University and CORE (Louvain-la-Neuve) for helpful comments. The author acknowledges financial support from Deloitte Luxemburg and a research grant of the Belgian National Funds for Scientific Research (FNRS). Part of this research was completed while I was visiting HEC Montr’ eal. All errors remaining are mine.     

The Long-Term Price-Earnings Ratio

Abstract:  The price-earnings effect has been thoroughly documented and is the subject of numerous academic studies. However, in existing research it has almost exclusively been calculated on the basis of the previous year's earnings. We show that the power of the effect has until now been seriously underestimated due to taking too short-term a view of earnings. Looking at all UK companies since 1975, using the traditional P/E ratio we find the difference in average annual returns between the value and glamour deciles to be 6%. This is similar to other authors' findings. We are able to almost double the value premium by calculating the P/E ratio using earnings averaged over the previous eight years.     

Ratio controls need reconsideration

Bank equity capital can play several roles; for example as a buffer against (unexpected) loss, as protection for other creditors in bankruptcy, and as ‘skin in the game’. There was never sufficient discussion of which role(s) the BCBS capital adequacy requirements (CARs) were meant to play, and whether they did so satisfactorily. In practice they did not. I discuss what principles should lie behind CARs if we could design these from scratch. I argue that there should be a minimum intervention point triggering official action to depose management and shareholders, and then move to resolution, with an increasingly penal ladder of sanctions as equity capital falls towards this point. A similar approach should also be applied to liquidity requirements.     

Industry Identification through Ratio Analysis

This case ¹ is designed to help students “see through the numbers”. Written initially for MBA students and senior analysts attending executive education sessions, it provides participants with (1) a common‐size balance sheet and selected financial ratios for ten anonymous Canadian public companies, and (2) a list of ten diverse industry sectors. Participants are invited to reflect on the meanings of the different ratios provided in order to match the anonymous companies with their corresponding industry sector. Seeing through the numbers fosters the development of participants' analytical skills, and group discussions contribute to the sharing of participants' knowledge about the various industry segments involved.     

关于拨备覆盖率的思考

商业银行不良资产拨备覆盖率常常被作为衡最银行抵御信用风险能力的指标.本文认为,拨备覆盖率并非越高越好,南于其内在局限性,它反映银行抵御信用风险能力的准确程度受不良贷款结构和漏划不良贷款等因素的影响,并可能产牛扭曲对银行抵御风险能力的评价、掩盖银行真实的财务状况、影响银行利润的合理使用以及降低银行监管的严肃性和权威性等负面影响.因此,为完善拨备考核指标,本文提出应以预期损失为基础考核银行冲销不良贷款损失的实际能力,设计新的贷款减值拨备率指标;并认为在确定减值准备指标时,考虑系统性风险既无实际意义,也缺乏可操作性.     

准备金率考验企业资金面

目前,政府正在采取各种措施解决CPI偏高的问题,其中包括消除导致物价走高的货币因素。随着央行数次提高存款准备金率及加息,宏观政策已进入新一轮紧缩时期,企业的资金面将受到再次考验。     

Ratio Analysis Using Rank Transformation

This paper presents an alternate method for transforming financial ratios. Ratios are ranked and scaled into a uniform distribution with boundaries between 0 and 1. Conceptually, we suggest that this method solves a number of methodological problems associated with ratios, including constrained choice of regression models, ratio outliers, negative ratios, and non-normal distributions. Scaled ranks of financial ratios are also conceptually appealing because they appear to capture comparative ordinal data about cross-sectional relationships between firms.The study empirically tests scaled rank transformations by examining the association of the transformations with stock returns. Results show that models using relative ranked accounting ratios have more explanatory and predictive power than untransformed, log-transformed and square-root transformed ratios.