在华外资银行的发展现状及监管体系

外资银行进入中国,最关键的贡献在于向中国银行业展示了现代银行特有的治理机制和先进的管理方式,促进了中国银行业服务水平的改进,加快了中国经济改革的步伐.外资银行的监管是伴随外资银行的进入开始的.2006年,中国将应入世承诺全面开放金融业领域,更多外资银行业务将通过合法程序进入中国金融市场,因此当前全面分析外资银行在我国的发展现状及监管体系具有重大的现实指导意义.     

次贷危机对中国推行新巴塞尔协议的启示

通过分析次贷危机中商业银行扮演的角色,以及新旧资本协议的比较,说明新资本协议的制度先进性、适应性和前瞻性.次贷危机不仅未否认新资本协议,反而进一步凸现了全面实施新资本协议的重要性.严格执行新资本协议未必能阻止金融危机的爆发,但至少可以缓解危机的破坏力,从而提升金融系统的稳定性.中国宜加快推进新巴塞尔协议,资产证券化是一个很好的切入点.     

我国商业银行市场风险量化体系研究

在我国商业银行按照《巴塞尔协议》的要求加强风险管理的大背景下,本文探讨了我国商业银行市场风险量化体系的构建。本文给出了我国商业银行市场风险能够量化的基础;按照新资本协议和银监会的要求,探讨了我国商业银行市场风险计量体系的构建,主要是数据输入到VaR系统的方式、VaR系统定价模型的确认、模型中变量的选取方式及其依据;在此基础上,探讨了VaR模型的事后检验和压力测试;最后探讨了商业银行市场风险量化体系建设中市场风险VaR限额的设置及其管理。     

Quantifying the Interest Rate Risk of Banks: Assumptions Do Matter

This paper analyses the robustness of the standardised framework proposed by the Basel Committee on Banking Supervision (2004b) to quantify the interest rate risk of banks. We generalise this framework and study the change in the estimated level of interest rate risk if the strict assumptions of the standardised framework are violated. Using data on the German universal banking system, we find that estimates of the interest rate risk are very sensitive to the framework's assumptions. We conclude that the results obtained using the standardised framework in its current specification should be treated with caution when used for supervisory and risk management purposes.     

商业银行操作风险的实证分析与风险资本计量

利用自上而下模型中的收入模型对银行操作风险进行度量,从宏观视角建立商业银行净利润与经济增长及银行不良资产间的对应关系,对国内两家商业银行的操作风险状况进行实证分析,并在此基础上得出对操作风险资本的计量.研究发现:收入模型可以在某种程度上反映操作风险的大小.目前,我国商业银行面临着较为严重的操作风险,其中,市场因素对收入的影响比信用因素的影响更为明显.     

商业银行操作风险度量问题思考

操作风险日益受到专家学者的关注,新巴塞尔协议规定操作风险为银行业面临的三大风险之一。操作风险的种类主要有内部欺诈、外部欺诈;雇员活动和工作场所安全问题;客户、产品和业务活动问题;实物资产的损坏;业务中断和系统错误、执行、交付和过程管理等九类。操作风险度量模型主要有基本指标法、标准法、高级度量法三种方法。我国商业银行应选择适当的度量方法,建立损失数据库,加强对高级度量方法的研究,结合我国商业银行实际开发出新方法。     

新巴塞尔协议与我国银行业监管改革

巴塞尔协议是一个对全球银行活动有着深刻影响的国际性银行监督管理合约,代表着银行业风险管理的未来方向。我国已表示接受巴塞尔协议。这将促进我国银行业全面加强风险管理,推进监管的规范化、全程化,保证监管的持续性和有效性。文章从研究新巴塞尔协议出发,探讨如何改革我国     

我国商业银行资本充足性评估与管理

长期以来的规制安排和银行内部管理均未重视资本问题,银行业风险无从缓释和消化,资本充足性无法进行规范的衡量和管理。为此,应从定量和定性两方面全面、准确地衡量银行资本充足水平的指标,以解决目前我国资本充足监管在标准制定、标准测量、惩罚制度、信息披露等方面存在的问题。     

Banks' home bias in government bond holdings: Will banks in low‐rated countries invest in European safe bonds (ESBies)?

This paper offers two new explanations for banks' home bias in government bond holdings: a sovereign‐based rating cap on corporates and the existence of a ‘bank tax.’ These are complementary to the four explanations offered in the literature: risk‐shifting, gambling for resurrection, moral suasion, and a means to store liquidity for financing future investment. Collectively, they cast doubt on the European Union's demand‐led approach to investment in European safe bonds (ESBies) by banks in low‐rated countries. Bank regulations such as constraints on large exposure or risk‐based capital on credit risk concentration will be needed if the objective is to break the so‐called ‘deadly embrace.’     

The Value Relevance of Risk Disclosure: An Analysis of the Banking Sector

Abstract

The aim of this study is to test whether financial risk disclosures required by IFRS 7 and Pillar 3 are value relevant for investors to support them in their investment decisions. The sample in the study consists of banks listed on the London, Paris, Frankfurt, Madrid, and Milan Stock Exchanges over an 8-year period, from 2007 to 2014. Based on the aforementioned standards, we built financial risk disclosure indexes and distinguished different risk categories, qualitative and quantitative, as well as credit, liquidity, and market risk. Our analyses confirm that there is a positive association between bank value and several categories of established risk disclosures. Furthermore, it suggests that disclosure adds value to more traditional risk value measures. Besides, our results suggest that investors pay attention to the strength of the bank authority when using risk disclosures.