风险与监管双重影响下的商业银行行为选择

本文运用微观银行理论的产业组织方法，构建了一个含有信用风险和准备金监管要求的风险中性商业银行行为模型。在引入资本监管要求后，借助风险价值（MaR）概念，分析了影响银行行为的因素。结果发现，法定准备金不影响银行的风险行为，但资本监管要求导致风险中性的银行表现出风险厌恶。商业银行有内在的激励去从事风险对冲，并可以从中获益。最后，结合我国的实际情况，提出了银行改革和金融市场建设的相关建议。

Credit Risk, External Regulation and the Hedging Behavior of Commercial Banks

Facing the dual influences of risk and regulation due to uncertainty,the commercial banks how to make rational reaction.So we adapt the Industrial organization approach to the microeconomics of banking,and model a large commercial bank which is risk neutral and endures credit risk and reserving requirement.After introducing the capital regulation we utilize the concept of VaR to analysis the effects of these factors for the bank's rational behavior,including the changing of risk attitude,the choosing of hedging activity and the malting sure of the optimal hedging amounts.