本文選題：保險業(yè)順周期性 + 順周期性監(jiān)管　； 參考：《中國社會科學(xué)院研究生院》2014年博士論文

【摘要】：順周期性是全球金融危機(jī)的重要原因之一，最初產(chǎn)生于以風(fēng)險為基礎(chǔ)的資本充足率制度。我國保險業(yè)正在推進(jìn)以風(fēng)險為基礎(chǔ)的第二代償付能力監(jiān)管制度建設(shè)（簡稱 償二代‖），順周期性監(jiān)管是宏觀審慎監(jiān)管背景下 償二代‖必須解決的重大課題。順周期性是一種放大金融市場波動的正向反饋機(jī)制，分為市場自我反饋的內(nèi)生順周期性和監(jiān)管制度的外生順周期性。作為宏觀審慎監(jiān)管的對象，保險業(yè)順周期性中的 周期‖應(yīng)特指 系統(tǒng)風(fēng)險周期‖。保險業(yè)順周期性監(jiān)管應(yīng)在繁榮時期抑制保險業(yè)的系統(tǒng)風(fēng)險隱患，在危機(jī)時期降低保險業(yè)對系統(tǒng)風(fēng)險的強(qiáng)化作用。考察保險業(yè)順周期性，，需要依托適合保險業(yè)特征的系統(tǒng)風(fēng)險理論框架。系統(tǒng)風(fēng)險是金融服務(wù)的損害或中斷產(chǎn)生的風(fēng)險，對實(shí)體經(jīng)濟(jì)存在潛在的負(fù)面影響。系統(tǒng)風(fēng)險的演化過程經(jīng)歷了共同沖擊、傳染效應(yīng)和順周期性三個階段。通過系統(tǒng)風(fēng)險業(yè)務(wù)和準(zhǔn)系統(tǒng)風(fēng)險業(yè)務(wù)，保險業(yè)卷入了系統(tǒng)風(fēng)險鏈條。定性分析和定量模擬顯示，保險行業(yè)存在內(nèi)生順周期性；以風(fēng)險為基礎(chǔ)的償付能力監(jiān)管制度存在外生順周期性�？紤]到保險業(yè)的負(fù)債特點(diǎn)，短期流動性沖擊需要重點(diǎn)關(guān)注。 保險業(yè)需要個性化的順周期性監(jiān)測體系和監(jiān)管工具。順周期性監(jiān)測的目標(biāo)是系統(tǒng)風(fēng)險給保險業(yè)造成的損害對系統(tǒng)風(fēng)險自身的強(qiáng)化作用，職能包括識別、度量、預(yù)警和提供監(jiān)管參數(shù)，方法為間接的關(guān)聯(lián)性分析，指標(biāo)體系包括系統(tǒng)風(fēng)險深度、順周期沖擊強(qiáng)度和保險反饋強(qiáng)度三個方面。順周期性監(jiān)管應(yīng)區(qū)別監(jiān)管對象制定不同的目標(biāo)，根據(jù)風(fēng)險沖擊的持久性制定監(jiān)管原則，以逆向性和緩釋性為監(jiān)管效果的評價標(biāo)準(zhǔn)。監(jiān)管資本方面，可使用逆周期緩釋因子（Couter Cyclical Mitigator）平滑短期波動的人為干擾；資產(chǎn)和負(fù)債的認(rèn)可標(biāo)準(zhǔn)應(yīng)作去風(fēng)險化處理。監(jiān)管資本方面，應(yīng)避免建立順周期性的償付能力控制層級；針對系統(tǒng)風(fēng)險業(yè)務(wù)計提超額資本，出口信用保險還可適用逆周期緩沖資本�；蛴兄Ц读x務(wù)造成的短期流動性風(fēng)險，可適用 流動性先周期比率‖（Liquidity Pre-cycle Ratio）監(jiān)管。順周期性監(jiān)管的啟動和退出方式應(yīng)以規(guī)則導(dǎo)向?yàn)橹鳎瑖?yán)格限制相機(jī)抉擇的適用條件。順周期性監(jiān)測應(yīng)加強(qiáng)宏觀審慎監(jiān)管機(jī)構(gòu)之間的協(xié)調(diào)合作，順周期性監(jiān)管則須由保險監(jiān)管機(jī)構(gòu)承擔(dān)責(zé)任。
[Abstract]:The procyclicality is one of the important causes of the global financial crisis, which originated from the risk-based capital adequacy system. China's insurance industry is promoting the construction of the second-generation solvency supervision system based on risk. The pro-cyclical supervision is an important issue that must be solved under the background of macro-prudential supervision. Procyclicality is a kind of positive feedback mechanism which amplifies the volatility of financial market. It can be divided into endogenous procyclicality of market self-feedback and exogenous procyclicality of regulatory system. As the object of macroprudential supervision, the cycle of insurance industry in procyclicality should refer to the systematic risk cycle. The pro-cyclical supervision of insurance industry should restrain the hidden dangers of system risk in the boom period and reduce the strengthening effect of the insurance industry on the system risk in the crisis period. In order to investigate the procyclicality of the insurance industry, it is necessary to rely on the systematic risk theory framework suitable for the insurance industry. System risk is the risk of financial service damage or interruption, which has a potential negative impact on the real economy. The evolution of system risk has experienced three stages: common shock, contagion effect and procyclicality. Through system risk business and quasi-system risk business, insurance industry is involved in system risk chain. Qualitative analysis and quantitative simulation show that there are endogenous procyclicality in insurance industry and exogenous pro-periodicity in risk-based solvency regulatory system. Considering the liability characteristics of the insurance industry, short-term liquidity shocks need to be focused on. The insurance industry needs a personalized pro-cyclical monitoring system and regulatory tools. The goal of pro-cyclical monitoring is to strengthen the system risk itself by the damage caused by the system risk to the insurance industry. Its functions include identification, measurement, early warning and provision of regulatory parameters through indirect correlation analysis. The index system includes three aspects: system risk depth, perpendicular impact strength and insurance feedback intensity. According to the persistence of risk impact, the principle of regulation should be formulated according to the different targets of regulation, and the evaluation criteria of regulatory effect should be reverse and slow-release. On the regulatory capital side, the countercyclical release factor Couter cyclic Mitigator can be used to smooth the human disturbance of short-term volatility; the recognition criteria for assets and liabilities should be treated as risk-free. In the aspect of supervising capital, we should avoid the establishment of pro-cyclical solvency control level, and apply countercyclical buffer capital to export credit insurance in order to collect excess capital for systematic risk business. The short-term liquidity risk caused by the contingent obligation to pay may be regulated by the liquid Pre-cycle ratio. The starting and exiting mode of procyclical supervision should be rule-oriented and strictly restrict the applicable conditions of discretion. Pro-cyclical monitoring should strengthen coordination and cooperation among macro-prudential regulators, while pro-cyclical supervision should be held accountable by insurance regulators.
【學(xué)位授予單位】：中國社會科學(xué)院研究生院
【學(xué)位級別】：博士
【學(xué)位授予年份】：2014
【分類號】：F842

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