数据大集中:信息时代商业银行的必由之路

~~数据大集中:信息时代商业银行的必由之路$中国农业银行青海省分行@黄国敬     

全面提升科技风险管理水平创建现代化商业银行

今年银监会开始对拟实施新《巴塞尔资本协议（以下简称“新资本协议”）》的部分银行进行初步检查,新资本协议的实施进入倒计时,即将到来的大考无疑是对各行风险管理能力的考查,同时也是对其信息系统能力的一次测试。针对银行信息科技落实新资本协议的基本情况以及银行信息科技风险管理情况,本刊近期对中信银行信息技术部进行了采访。     

商业银行业务运营风险分级管理应用探讨

目前,业务运营风险已列为银行经营的三大风险之一,受到越来越多的关注。如何控制业务运营风险、挖掘业务运行风险特征进而防范风险,成为各商业银行关注的重点。随着新监督体系的投产运行,业务运营风险分级管理应运而生,由单纯的风险点堵截和案件防范转变为按级次明确责任主体的风险目标管理,从机制上解决了＂风险在哪里,如何去管理＂的问题。     

新兴商业银行的信息化策略

金融信息化已经成为当前商业银行进行金融创新、参与竞争、提高核心竞争力的战略性和基础性工作，金融信息化的发展，为改善银行对客户的服务、支持业务创新、提高服务质量和管理与决策水平、降低经营成本、控制经营风险，以及增强银行的竞争能力提供了重要基础和保障。进入21世纪以来，     

Predicting bank performance with financial forecasts: A case of Taiwan commercial banks

Data envelopment analysis (DEA) has been used as a tool for evaluating past accomplishments in the banking industry. However, due to a time lag, the results usually arrive too late for the evaluated banking institutions to react timely. This paper makes advanced predictions of the performances of 24 commercial banks in Taiwan based on their financial forecasts. The forecasts based on uncertain financial data are represented in ranges, instead of as single values. A DEA model for interval data is formulated to predict the efficiency. The predictions of the efficiency scores are also presented as ranges. We found that all the efficiency scores calculated from the data contained in the financial statements published afterwards fall within the corresponding predicted ranges of the efficiency scores which we had calculated from the financial forecasts. The results also show that even the bad performances of the two banks taken over by the Financial Restructuring Fund of Taiwan could actually be predicted in advance using this study.     

The bank switching behaviour of Singapore's graduates

This study developed a model of bank switching which contained six switching incidents. The study also investigated if certain demographic characteristics of Singapore's graduates could be used to distinguish those who have switched banks from their counterparts. The results showed that the types of incident that most often influenced bank switching were ‘inconvenience’, followed by ‘service failures’ and ‘pricing‘. About one-third of those who had switched did so because of a single incident. Banks, if they are to reduce switching by graduate customers, need to ensure that they are convenient, and that they minimise their service failures by providing an appropriate range of services which are delivered in a time-efficient manner and remain price competitive. The demographic characteristics that were subject to testing, namely gender, age, salary and racial group, showed no significant differences.     

The determination of commercial bank reserve requirements

Excess reserve ratios have been studied extensively and are believed to be endogenously determined. In contrast, required reserve ratios are conventionally treated as exogenous. However, there are public policy reasons for a positive response of reserve requirements to interest rates. These are opposed by private incentives to secure lower requirements when their cost rises with interest rates. Several kinds of evidence support the hypothesis that reserve requirements are inverse functions of interest rates, sometimes with long lags that reflect the political process. The results also suggest that banks are not passive creatures of regulation but mold their environment.     

A frequency-domain alternative to long-horizon regressions with application to return predictability

This paper aims at improved accuracy in testing for long-run predictability in noisy series, such as stock market returns. Long-horizon regressions have previously been the dominant approach in this area. We suggest an alternative method that yields more accurate results. We find evidence of predictability in S&P 500 returns even when the confidence intervals are constructed using model-free methods based on subsampling.     

Conflict of interest in commercial bank security underwritings: Canadian evidence

The recent repeal of the Glass–Steagall Act in the US has cleared the way for commercial banks to enter the securities underwriting business. Many of the concerns that resulted in the original passage of the Glass–Steagall Act, however, still exist. One of these is the possible conflict of interest a universal bank faces. This paper provides evidence on this issue from the experience of Canada following its removal of restrictions on chartered bank ownership of investment dealers. Both ex ante bond yield comparisons between commercial and investment bank underwritten issues and equity price reactions to bond issue announcements provide no evidence of a conflict of interest.     

政策性银行竞争性商业行为分析

本文以一则关于政策性银行贷款给一优质企业的报道为引子,展开对政策性银行竞争性商业行为的分析,通过剖析政策性银行的概念、特征,指出政策性银行不应进入竞争性商业领域,最后借用“挤出效应”理论分析政策性银行竞争性商业行为对商业银行产生的影响。     

国有商业银行可持续发展问题研究

本文研究我国国有商业银行可持续发展问题。     

商业银行的内部审计与风险控制

加强商业银行内部审计,有效控制风险,既是当前国有商业银行的重要任务,也是维护国家金融秩序稳定和防范金融风险的重要战略决策。因此,探索商业银行内部审计存在的问题和根源并加以解决,以建立有效的内部审计机制,防范经营风险,正确引导商业银行内部管理制度的改革,已成为一项重要的现实课题。商业银行内部审计的功能商业银行内部审计是商业银行监控系统的重要组成部分。它通过采用系统、严谨的方法,独立地、客观公正地对商业银行的内部活动和监控系统进行审查,并提出指导性建议。有效的商业银行内部审计有助于提高商业银行内部控制与监管工…     

Classification of commercial bank loans through policy capturing

The judgmental policy of a group of national bank examiners in classifying commercial bank loans was identified using stepwise multiple discriminant analyses and was expressed in the form of a linear model. Credit scenarios (which were composed of both financial and non-financial cues) were presented to 24 national bank examiners at the Office of the Comptroller of the Currency (OCC) in Washington D.C. Each examiner received 20 scenarios and was asked to classify the scenarios in one of the five classifications used by the OCC. Based upon 75% of these observations, a linear discriminant model was developed using stepwise MDA analyses. The remaining observations were used to validate the model developed. Non-financial variables appeared to be important discriminators; the financial variable of industry comparison of the interest coverage ratio using cash flow was an excellent discriminatory variable; and industry comparisons and trends of financial variables appeared to be more important than the variables themselves. The model developed contained two of these variables: (a) an industry comparison of the interest coverage ratio using cash flow and (b) the trend of the debt/equity ratio.     

Malmquist-type indices in the presence of negative data: An application to bank branches

In this paper we develop an index and an indicator of productivity change that can be used with negative data. For that purpose the range directional model (RDM), a particular case of the directional distance function, is used for computing efficiency in the presence of negative data. We use RDM efficiency measures to arrive at a Malmquist-type index, which can reflect productivity change, and we use RDM inefficiency measures to arrive at a Luenberger productivity indicator, and relate the two. The productivity index and indicator are developed relative to a fixed meta-technology and so they are referred to as a meta-Malmquist index and meta-Luenberger indicator. We also address the fact that VRS technologies are used for computing the productivity index and indicator (a requirement under negative data), which raises issues relating to the interpretability of the index. We illustrate how the meta-Malmquist index can be used, not only for comparing the performance of a unit in two time periods, but also for comparing the performance of two different units at the same or different time periods. The proposed approach is then applied to a sample of bank branches where negative data were involved. The paper shows how the approach yields information from a variety of perspectives on performance which management can use.     

The relation between commercial bank profit rates and banking concentration in Canada,Western Europe,and Japan

This paper examines the relation between the profit rates of 60 banks and concentration in the ‘home’ banking market of each. Other explanatory variables found to be significant are whether the bank is government owned, a proxy for profit rates throughout each country, and the rate of growth of individual banks' assets. The evidence supports the view that greater concentration leads to higher profit rates. However the relatively small coefficients of the concentration variable indicate that relatively large changes in concentration are necessary to reduce profit rates by one percentage point.     

2010年下半年货币市场展望与商业银行操作策略

本文回顾了2007—2009年货币市场的各利率期限品种和交易期限结构的主要变化情况,探讨变化的宏微观因素。在对2010年宏观经济走势、货币政策预期等进行深入分析的基础上,展望了未来货币市场的流动性和利率走势,并探讨了商业银行在货币市场的主要操作策略。     

谏言商业银行风险管理

由于合规风险管理机制缺失，商业银行无法通过政策和程序的持续修订去传承许多有益的风险管理经验，制约了商业银行风险管理水平的进一步提升。     

地理信息系统在商业银行中的应用

进入信息时代,不论从政府、企业还是个人的角度,信息对决策的基础作用都是至关重要的。但是,信息的获取途径复杂多变、获取成本千差万别,使得信息使用者周围往往充斥着大量非标准化信息。这就需要进一步重视信息管理,建立多种渠道完善信息的系统化、标准化建设。作为一种多维的管理信息处理系统,地理信息系统（CIS）是将部分非标准化信息转化为标准化信息的有效手段。