再担保体系内银保风险共担研究——基于系统动力学

近年来,我国中小企业信用再担保体系的发展为中小企业融资做出了巨大贡献,但作为贷款风险分散机构,担保机构、再担保机构在与银行合作过程中一直处于弱势地位。我国再担保机构一直致力于完善银保合作机制,加强银保沟通,实现银保风险共担。国外一些再担保体系在银保风险共担方面相对比较成熟,值得我国再担保体系学习和借鉴。本文以再担保机构、担保机构和合作银行为研究对象,运用系统动力学,建立中小企业信用再担保体系动态仿真模型。将江苏省再担保数据,代入模型仿真模拟,研究银保风险共担对信用再担保体系系统模型内主体经济收益的影响,研究结果表明,银行在银保合作中承担一定风险,可以抵御代偿率增加对再担保体系发展的负面影响,在一定程度上能够保证再担保体系的可持续发展,从而保证银行能够获得更为长远的利益。     

Basel II procyclicality: The case of South Africa

This paper studies the impact of bank capital regulation on business cycle fluctuations. In particular, we study the procyclical nature of Basel II claimed in the literature. To do so, we adopt the Bernanke et al. (1999) “financial accelerator” model (BGG), to which we augment a banking sector. We first study the impact of a negative shock to entrepreneurs' net worth and a positive monetary policy shock on business cycle fluctuations. We then look at the impact of a negative net worth shock on business cycle fluctuations when the minimum capital requirement increases from 8 percent to 12 percent. Our comparison studies between the augmented BGG model with Basel I bank regulation and the one with Basel II bank regulation suggest that, in the presence of credit market frictions and bank capital regulation, the liquidity premium effect further amplifies the financial accelerator effect through the external finance premium channel, which, in turn, contributes to the amplification of Basel II procyclicality. Moreover, under Basel II bank regulation, in response to a negative net worth shock, the liquidity premium and the external finance premium rise much more if the minimum bank capital requirement increases, which, in turn, amplify the response of real variables. Finally, small adjustments in monetary policy can result in stronger response in the real economy, in the presence of Basel II bank regulation in particular, which is undesirable.     

Bank Credit Risk Management and Migration Analysis; Conditioning Transition Matrices on the Stage of the Business Cycle

Credit risk has been one of the most active areas of recent financial research. It is driven by advances in portfolio risk measurement and management techniques, growth in credit derivatives trading, the Basel II implementation, and regulatory concerns stemming from the commercial credit crunch that initially took place in 2001 and 2002 in the USA. Within this broader literature, a growing body of research analyzes the meaning, role, and influence of credit ratings that quantify credit risk. This paper examines the two-way links between credit risk measurement and the macroeconomic conditions, interpreted through phases of business cycles. We propose a methodology applied on bank internal rating data, which estimates ratings migration probabilities while integrating the state of the economy. We first discuss the issue of whether credit risk is low or high in different economic scenarios. In order to evaluate this prospect, we examine each year in four quarters that represent different scenarios throughout the year. We then review how macroeconomic considerations are incorporated into credit risk models and the risk measurement approach that underlies Basel II and Basel III.     

Loan price modelling for local governments using risk premium analysis

Previous studies have highlighted the question of government loan interest as one of great current importance. Government borrowing levels are high, and reducing interest payments would generate savings to meet other spending needs and/or to lower taxation, thus supporting the sustainability of public finances. However, no previous study has presented a method for a local government to calculate its own credit risk and thus be in a position to negotiate lower interest rates on its borrowing. This article defines a financial model that enables local governments to estimate the interest rate payable on a bank loan, based on their credit risk premium, in accordance with the Basel II rules and the findings of our empirical study of large local governments.     

The Financial Stability Board and Switzerland’s WiR-Credit Mechanism

Abstract:

The incentives banks face, such as the Basel Capital Accords, motivate them to favor lending with collateralized assets, rather than lending to Small-Medium Enterprises (SMEs), with associated profound economic consequences for society. Since the 1970s there has not been any direct oversight of whether or not credit contributes to GDP. We need a macroeconomic policy tool that can discriminate among different categories of credit extended to curb speculation in existing assets (non-GDP) and promote new business investment (GDP).

Government money creation and private credit growth are often presumed the only two ways to enhance nominal demand, yet the Swiss Economic Circle (Wirtschaftsring-Genossenschaft or WIR) is a Swiss Bank whose creation of purchasing power for SMEs has counter-cyclically stabilized the Swiss economy for over 80 years. The Financial Stability Board (FSB) should create localized credit-creation architectures utilizing a Swiss-WIR type currency to funnel credit that reflects systemic and macroeconomic risks that individually will never be rational for banks left to themselves.     

The relationship between risk-neutral and actual default probabilities: the credit risk premium

The study investigates empirically the relationship between the risk-neutral measure Q and the real-world measure P. We study the ratio between the risk-neutral and actual default intensities, which we call the coverage ratio or the relative credit risk premium. Actual default intensities are derived from rating agencies annual transition matrices, while risk-neutral default intensities are bootstrapped from CDS quotes of European corporates. We quantify the average risk premium and its changes over time. Compared to related literature, special attention is given to the effects of the recent financial and European sovereign crises. We find that average credit risk premia rose substantially and that post-crisis levels are still higher than those observed before the financial crisis. This observation is especially true for high-quality debt and if it persists, it will have an impact on corporates funding costs. The quantification and revision of risk premia contributes to the discussion of the credit spread puzzle and could give extra insights in valuation models that start from real-world estimates. Our work is furthermore important in the context of state aid assessment. The real economic value (REV) methodology, applied by the European Commission to evaluate impaired portfolios, is based on a long-term average risk premium.     

中小非上市公司信用风险的评价研究——基于WEB与FAHP的视角

信用是人类社会最古老的词汇之一,而信用风险的管控是现代社会经济生活关注的核心问题之一。中小企业既是资本主义社会也是社会主义社会向前发展的源驱动力,中小企业的发展离不开现代信用体系的支撑。在文章中,中小企业按其信息的披露程度分为上市公司与非上市公司,相对于中小企业上市公司来说,由于交易的参与人信息不对称,中小非上市公司信用风险评估是交易双方以及各类金融机构最关心和最难解决的难题之一。在现代信息网络技术普遍化的背景下,利用人工以及机器搜索策略,充分挖掘中小非上市公司信息风险元和分类整理,并在此基础之上进行模糊综合评估,最后通过算例说明基于WEB对中小非上市公司信用风险的模糊综合评价的方法行之有效。     

中小企业银行模式的国际比较及其历史经验批判——兼论我国科技银行的设立

中小企业融资的困难在于银行资金的安全性和中小企业风险性之间的矛盾,解决这个矛盾有两条路径,一个是风险资金以银行形式向中小企业贷款;另一条路径是通过担保机构过滤风险。由于中小企业的外部性问题,担保机构可由国家财政扶持的中介机构来担当。以这个理论框架作为基础,本文对世界上几个典型的中小企业专业银行进行了全面考察,并对我国商业银行为中小企业贷款的历史和目前成立的科技支行的现状进行了分析,提出了政府的政策性支持和商业银行的商业性融资在中小企业内部结合,而不是在商业银行内部结合的观点,对我国商业银行对中小企业融资和政府对中小企业政策性支持都具有一定的现实意义。     

商业银行信用风险管理及其在中国的应用研究

信用风险是银行业面对的主要风险之一,如何有效地度量和管理信用风险是银行风险管理者尤为关注的问题。介绍了传统的信用风险度量方法和现代信用风险度量模型,在此基础上提出基于新巴塞尔协议的商业银行信用风险管理和基于信用衍生产品的商业银行信用风险管理方法,以期对我国商业银行信用风险管理有所启示。     

中小企业集群的融资优势和障碍分析

融资难是困扰中小企业发展的主要问题。但中小企业集聚成群后却可以形成与单个的中小企业截然不同的独特融资优势：增大中小企业的守信度,降低金融机构的融资风险,促使民间融资发展等。中小企业集群的融资优势十分明显,但目前还存在一些阻碍中小企业集群融资优势充分发挥的因素,如集群内部企业专业化分工不够深入,协作程度低;银行信贷政策和意识存在偏差,银企互动关系有待加强;中小企业集群的信用担保体系建设滞后;集群内服务中小企业的金融机构发展滞后等。为缓解中小企业融资难题,促进中小企业集群融资优势的发挥,我们应采取措施强化中小企业集群产业关联,建立诚信合作的集群文化;加快建设为中小企业集群服务的区域性中心银行,密切银企关系;完善中小企业信用担保体系,设立互助担保联盟;拓宽民营金融经营范围,加快民营金融机构的发展。     

A capital adequacy buffer model

We develop a new capital adequacy buffer model (CABM) that is sensitive to dynamic economic circumstances. The model, which measures additional bank capital required to compensate for fluctuating credit risk, is a novel combination of the Merton structural model, which measures distance to default and the timeless capital asset pricing model (CAPM), which measures additional returns to compensate for additional share price risk. We apply the model to a portfolio of mid-cap loan assets over a 10-year period that includes pre-GFC (global financial crisis), GFC and post-GFC. An analysis of actual defaults over this period shows the model to be far more accurate in determining the capital adequacy levels needed to counter credit risk than an unresponsive ratings model such as the Basel standardized approach.     

信用风险模型的新发展与商业银行风险管理

信用风险是商业银行面临的主要风险之一,其直接影响商业银行持续经营的能力。《新巴塞尔资本协议》鼓励商业银行在进行信用风险管理时更多地使用内部模型,这意味着建立有效的信用风险模型应成为商业银行的重要任务。中国银行业要健康、稳定地发展,需要借鉴西方信用风险模型,对风险进行科学管理。     

Housing and credit market shocks: Exploring the role of rule-based Basel III counter-cyclical capital requirements

This paper examines the extent to which the Basel III bank capital regulation attenuates fluctuations in housing and credit markets and fosters financial and macroeconomic stability. We use a positive housing demand shock to mimic a housing market boom and a negative financial shock for credit squeeze and economic meltdown. The results show that the rule-based Basel III counter-cyclical capital requirement effectively attenuates fluctuations in housing and credit markets and prevents bubbles. In the case of a negative financial shock, it significantly reduces the magnitude of economic meltdown. Our analysis of the transition from Basel II to Basel III suggests that it is the counter-cyclical capital buffer that effectively mitigates the pro-cyclicality of its predecessor, while the impact of the conservative buffer is marginal. In contrast to the credit-to-GDP ratio, the optimal policy analysis suggests that the regulatory authority should adjust the capital requirement to changes in credit and output when implementing the counter-cyclical buffer. Future research could extend the study by comparing the effectiveness of the rule-based Basel III with other macroprudential tools in achieving financial and macroeconomic stability.     

Bank liquidity risk and monetary policy. Empirical evidence on the impact of Basel III liquidity standards

We extend the literature on the bank lending channel in two aspects. First, rather than following the literature by analyzing the impact of banks’ liquidity (measured via their asset portfolio) on monetary policy transmission, we study the role of banks’ actual liquidity risk, as measured by the Basel III liquidity regulations. Second, we investigate the effect of complying with the Basel III liquidity standards on monetary policy transmission. We use highly detailed bank-level data from Luxembourg for the period 2003q1--2010q4. Our findings are that monetary policy transmission works its way through small banks that also have a large maturity mismatch, as measured by the Net Stable Funding Ratio. In contrast, large banks with a small maturity mismatch increase their lending following a monetary policy shock, which confirms existing results that Luxembourg’s banks are liquidity providers to the European market. Based upon in-sample predictions and upon simulated data from an optimization model that takes the banks’ business models into account, we conclude that the bank lending channel will no longer be effective once banks adhere to the new Basel III liquidity regulations.     

后金融危机时代中小企业融资难题的破解——河北省中小企业信用再担保体系构建的基本方案设计

金融危机以来,融资难已经成为困扰中国中小企业发展的重要因素之一.国家及许多省市通过探索中小企业信用再担保机构的构建来缓解这一难题.河北省在信用再担保体系构建的实践中相对滞后,因此应构建科学的中小信用再担保体系,从设立宗旨、构建方式、组建模式和资金来源四个方面进行科学合理的设计,构建一个具有准公共物品性质的、由政府出资组建,实行市场化运作的体系应是合理之选.     

Ex ante capital position,changes in the different components of regulatory capital and bank risk

We investigate the impact of changes in capital of European banks on their risk-taking behaviour from 1992 to 2006, a time period covering the Basel I capital requirements. We specifically focus on the initial level and type of regulatory capital banks hold. First, we assume that risk changes depend on banks’ ex ante regulatory capital position. Second, we consider the impact of an increase in each component of regulatory capital on banks’ risk changes. We find that, for highly capitalized, adequately capitalized and strongly undercapitalized banks, an increase in equity or in subordinated debt positively affects risk. Moderately undercapitalized banks tend to invest in less risky assets when their equity ratio increases but not when they improve their capital position by extending hybrid capital or subordinated debt. On the whole, our conclusions support the need to implement more explicit thresholds to classify European banks according to their capital ratios but also to clearly distinguish pure equity from hybrid and subordinated instruments.     

经济政策不确定性、银行集中度与银行风险

本文基于2007—2018年30家上市商业银行季度面板数据,首次针对不同方面的银行风险,采用固定效应模型详细探讨经济政策不确定性、银行集中度与银行风险之间的关系。研究结果表明：（1）经济政策不确定性会加剧银行经营风险和信用风险,但会降低银行风险承担;（2）银行集中度的上升会导致银行经营风险和信用风险上升,但对银行风险承担的作用不显著;（3）集中度在经济政策不确定性对银行风险的影响中具有调节效应,随着银行集中度上升,经济政策不确定性会更加剧银行经营风险和信用风险,且会进一步减弱银行风险承担。本文采用不同的银行集中度变量并涵盖多种银行风险衡量指标的实证结果均稳健。进而笔者基于实证结果,在银行风险防控方面对政策制定者及监管部门提出一些建议。     

An empirical study of credit shock transmission in a small open economy

In this paper, we identify and estimate the dynamic effects of foreign (US) and national (Canadian) credit shocks in a small open economy. We use standard credit spreads as proxies to the external finance premium. Our first result suggests that the US and Canadian credit spreads contain substantial forecasting power for several measures of the Canadian real economic activity, especially during the recent financial crisis and its aftermath. Secondly, an adverse US credit shock generates a significant and persistent economic slowdown in Canada: the national external finance premium rises immediately while interest rates, credit aggregates, output and employment indicators decline. Variance decomposition reveals that credit shocks have a sizeable effect on real activity measures, leading indicators and credit spreads. Yet, the unexpected shocks in domestic credit spreads are not able to generate any significant dynamic response of the real activity once we control for the US credit market conditions.     

Does ownership concentration affect banks’ credit risk? Evidence from MENA emerging markets

The purpose of this study is to explore the impact of ownership concentration on banks’ credit risk. The study employs a dynamic panel approach using data from 98 banks listed in the 10 Middle East and North African (MENA) emerging stock markets between 2003 and 2016. To better understand the nature of the relationship between ownership concentration and bank credit risk and how this relationship is shaped by the recent financial crisis, we conducted a pre- and postcrisis analysis. Our findings document a positive relationship between ownership concentration and nonperforming loans in the precrisis period, which surprisingly reverses during the postcrisis period. We argue that the reversal of this relationship is driven by changes in controlling shareholders’ risk aversion, behavior, and attitude prompted by the financial crisis. Given that central banks are entrusted with forestalling banks’ failure, incorporating ownership concentration, as a fundamental determinant of banks’ credit risk, is crucial to anticipate future financial calamities. Our findings highlight the gravity of agency problems in emerging MENA markets. Reinforcing firm-level as well as country-level governance mechanisms is crucial to restore a sound banking system, enhance markets’ integrity, and increase investors’ confidence.