本文關鍵詞：基于系統(tǒng)性風險防范的商業(yè)銀行資本計提研究　出處：《湖南大學》2015年博士論文　論文類型：學位論文

  更多相關文章： 系統(tǒng)性風險 商業(yè)銀行 風險溢出 系統(tǒng)重要性銀行附加資本 逆周期資本

【摘要】：爆發(fā)于美國的全球金融危機迅速蔓延至全球,其危害之大給各國的監(jiān)管機構敲響了警鐘。在危機發(fā)生以后,加強宏觀審慎監(jiān)管,防范銀行業(yè)系統(tǒng)性風險成為了監(jiān)管部門、金融機構,乃至公眾的焦點和共識�！栋腿麪枀f(xié)議Ⅲ》提出了各種宏觀審慎資本工具來應對銀行業(yè)系統(tǒng)性風險,包括分別采用逆周期資本和系統(tǒng)重要性銀行附加資本來針對系統(tǒng)性風險的時間、空間特征。2013年,中國銀監(jiān)局在統(tǒng)籌考慮了《巴塞爾協(xié)議Ⅱ》和《巴塞爾協(xié)議Ⅲ》,發(fā)布《商業(yè)銀行資本管理辦法(試行)》,但尚沒有出臺完整的系統(tǒng)性風險資本監(jiān)管框架。本文在這樣的大背景下,分析系統(tǒng)性風險的形成機理以及《巴塞爾協(xié)議Ⅲ》宏觀審慎資本工具的作用機理,進而分析《巴塞爾協(xié)議Ⅲ》系統(tǒng)性風險附加資本監(jiān)管框架中存在的不足和矛盾,在此基礎上提出相應的解決思路和實現(xiàn)辦法,最終形成一套較為完整的系統(tǒng)性風險附加資本監(jiān)管框架。作為系統(tǒng)性風險附加資本監(jiān)管機制設計的前提和基礎,本文對系統(tǒng)性風險的內(nèi)在形成機理進行分析�！栋腿麪枀f(xié)議Ⅲ》作為銀行業(yè)監(jiān)管的標桿,其監(jiān)管機制的設計理念可以對本文的研究帶來啟示,總結和歸納《巴塞爾協(xié)議Ⅲ》關于系統(tǒng)性風險防范的監(jiān)管改革,并在內(nèi)部評級法的視角下對《巴塞爾協(xié)議Ⅲ》宏觀審慎資本監(jiān)管工具的作用機理進行分析�！栋腿麪枀f(xié)議Ⅲ》既要求加強宏觀審慎監(jiān)管,同時延續(xù)了《巴塞爾協(xié)議Ⅱ》精細化的經(jīng)濟資本管理框架,并且《巴塞爾協(xié)議Ⅲ》作為全球的監(jiān)管標桿,其系統(tǒng)性風險防范的資本框架在中國的適用性問題也值得深思。在分析逆周期資本、系統(tǒng)重要性銀行附加資本與經(jīng)濟資本管理之間存在的協(xié)調(diào)問題,以及《巴塞爾協(xié)議Ⅲ》逆周期資本計提框架與系統(tǒng)重要性附加資本計提框架中存在的不足的基礎上,提出具有針對性的差異化系統(tǒng)性風險附加資本計提框架及實現(xiàn)的方式方法。商業(yè)銀行風險溢出的測算是系統(tǒng)重要性銀行附加資本計提的前提。Co Va R方法可以用來考慮當銀行出現(xiàn)極端情形時整個銀行系統(tǒng)所處的風險水平,這與空間維度系統(tǒng)性風險的概念相吻合。通過采用中國上市商業(yè)銀行的股票收益率數(shù)據(jù)與商業(yè)銀行指數(shù),用Copula函數(shù)擬合各商業(yè)銀行收益率序列與商業(yè)銀行指數(shù)收益率序列間的相依結構,進而計算各商業(yè)銀行對銀行體系的系統(tǒng)性風險貢獻。結果發(fā)現(xiàn)各銀行之間的風險溢出效應存在較大的差別。根據(jù)《巴塞爾協(xié)議Ⅲ》所提額外資本對風險溢出的吸收作用,各商業(yè)銀行資本水平的不同是導致系統(tǒng)性風險貢獻的度量結果的差異重要原因。系統(tǒng)重要性銀行附加資本的計提是為了應對商業(yè)銀行對銀行體系的潛在風險溢出,同時,系統(tǒng)重要性銀行附加資本的計提水平是監(jiān)管部門對商業(yè)銀行提出的額外要求,這也意味著該資本的計提與監(jiān)管部門的容忍度密切相關。本文將監(jiān)管容忍度作合理的假設,在不同的假設情景下研究商業(yè)銀行系統(tǒng)重要性的評價與商業(yè)銀行系統(tǒng)重要性銀行附加資本的計提。研究表明,商業(yè)銀行資本充足水平對銀行的風險溢出效應存在較大的影響,通過控制相同的風險溢出水平來對銀行的資本充足水平進行評估,進而得到各商業(yè)銀行的系統(tǒng)重要性,五大國有商業(yè)銀行排在前列,其他股份制商業(yè)銀行也存在風險溢出,溢出程度較國有商業(yè)銀行小。監(jiān)管容忍度的變化對于大型商業(yè)銀行沒有什么影響,但是對于股份制商業(yè)銀行卻存在較大的區(qū)別。逆周期資本的計提方式方法也是差異化系統(tǒng)性風險附加資本計提框架中的重要內(nèi)容�？紤]到《巴塞爾協(xié)議Ⅲ》逆周期資本的計提所依據(jù)的參考指標在中國可能存在適用性的問題,并且信貸順周期性與銀行風險順周期性高度相關,本文設計逆周期資本的計提是從商業(yè)銀行的風險的角度展開。采用自上而下的經(jīng)濟資本度量方法測度銀行風險水平,在測算出各商業(yè)銀行經(jīng)濟資本的基礎上,考察商業(yè)銀行資產(chǎn)風險的周期性變化。實證分析表明,發(fā)現(xiàn)商業(yè)銀行的資產(chǎn)風險受信貸波動的影響是顯著的,而且信貸的小波動將給銀行帶來極大的風險。根據(jù)經(jīng)濟資本與信貸波動的關系,進一步地建立逆周期資本計提機制。資本監(jiān)管所提出的資本要求是商業(yè)銀行在未來某時點所需要具備的資本。這使得系統(tǒng)性風險附加資本監(jiān)管框架必須具備相應的反饋機制,以考察商業(yè)銀行在未來某時點是否可以達到監(jiān)管要求。運用商業(yè)銀行的核心一級資本充足率要求對銀行違約率測算的KMV模型進行改進,并將其用于資本監(jiān)管反饋環(huán)節(jié)。用改進KMV模型來測算商業(yè)銀行的違約率,進而得到資本監(jiān)管合規(guī)率指標。該模型采用商業(yè)銀行的公開市場數(shù)據(jù)以及財務報表中的數(shù)據(jù),不僅可以反映商業(yè)銀行資產(chǎn)價值波動,也能反映其資產(chǎn)風險的大小。鑒于我國銀行業(yè)發(fā)展現(xiàn)狀提出系統(tǒng)性風險附加資本計提框架實施的相關建議。本文認為我國應優(yōu)化銀行業(yè)內(nèi)外部風險環(huán)境、夯實微觀數(shù)據(jù)基礎、拓寬資本補充渠道、建立公正透明的市場環(huán)境。
[Abstract]:The outbreak of the global financial crisis in the United States quickly spread to the world, the great harm to national regulators sounded the alarm. After the crisis, strengthen macro prudential supervision, prevent systemic banking risk become regulators, financial institutions, and the public focus and consensus. The Basel agreement > III proposed various macro Prudential capital instruments to deal with the banking system risk, including using time for systemic risk countercyclical capital and the importance of banking system of additional capital, the spatial characteristics of.2013, Chinese Banking Bureau of Basel II considers the < > and < > in the overall Basel III, issuing the commercial bank capital management (Trial) >, but there is no systemic risk capital regulatory framework. This paper introduced a complete in such a background, formation mechanism and "Basel protocol analysis system risk The mechanism of macro Prudential capital Tools >, and < > Basel III analysis existence of systemic risk of additional capital regulatory framework of problems and contradictions, the corresponding solutions and measures, and ultimately the formation of a relatively complete system of risk capital regulatory framework as the premise and basis of system design. The risk of additional capital supervision mechanism, carries on the analysis. The Basel III > as banking supervision benchmark the internal formation mechanism of systemic risk, the design concept of its regulatory mechanisms can bring enlightenment to the research of this paper, summing up the "Basel III" about regulatory reform of risk prevention system, analysis Basel 3 >. < requires strengthening and action mechanism of the internal rating system from the perspective of "Basel III > macro prudential regulatory capital instruments Macro prudential supervision, and continue the "economic capital management framework of Basel II > fine, and < Basel 3 > as a global regulatory benchmark, applicability of the system of risk prevention in the framework of the capital China is worth pondering. In the analysis of counter cyclical capital, the problem of coordination between the additional capital and the importance of the bank's economic capital management system, and the" Basel III > countercyclical capital provision system framework and importance of the additional provision of capital in the framework of weaknesses on the basis of the proposed targeted differentiation system of risk capital provision method framework and implementation approach. Estimates of Risk Spillover of commercial banks.Co Va R method is the premise of the importance of banking system additional provision of capital can be used to consider extreme cases when the bank has the entire banking system at the level of risk, and this The concept of spatial dimension of systemic risk is consistent with the commercial bank rate index data. Through the use of China listed commercial bank stock returns, using the Copula function fitting of each commercial bank and commercial bank index return series yields the dependence structure between sequences, and then calculate the bank systemic risk contribution to the banking system. Results there are differences between the Risk Spillover Effect between banks. According to the absorption effect of Basel 3 > proposed additional capital to Risk Spillover, an important reason for differences of measurement results lead to systemic risk contribution is the capital of commercial banks at different levels. The importance of banking system is the provision of additional capital in order to deal with the potential of commercial banks the risk of spillover to the banking system, at the same time, the importance of banking system of additional capital provision level is the supervision department of commercial bank Additional requirements, this also means that the capital provision and regulatory tolerance are closely related. The regulatory tolerance for reasonable assumptions, the importance of research on commercial bank system in different scenarios under evaluation and additional capital of the commercial banking system the importance of the bank's provision. The study shows that the level of capital adequacy of commercial banks there is a big impact on the Risk Spillover Effect of the bank, through the control of the same level of Risk Spillover to the bank's capital adequacy assessment system, and the importance of the commercial banks, the five state-owned commercial banks in the top row, there is also the Risk Spillover of other joint-stock commercial banks, the spillover degree than the state-owned banks. Changes in the regulatory tolerance without what effect for large commercial banks, but there is a big difference but for joint-stock commercial banks counter cyclical capital. The provision of methods is the difference of systemic risk of additional capital adequacy is an important content in the framework. Considering the < Basel 3 > countercyclical capital provision for possible reference for problems in China, and credit procyclicality and bank procyclicality are highly relevant, this paper design countercyclical capital provision is carried out from the risk of the commercial Bank perspective. Using a top-down economic capital measurement method to measure the risk level of banks, in the measure of economic capital based on periodic investigation of changes in commercial bank assets risk. The empirical analysis shows that the influence of assets of commercial banks credit risk the fluctuation is significant, but small fluctuations in credit banks will lead to great risk. According to the relationship between economic capital and credit fluctuations, further establishing counter cyclical capital Lifting mechanism. The capital requirements of the regulatory capital of the commercial banks need to have at some point in the capital. This makes the system of risk capital regulatory framework must have the corresponding feedback mechanism, in order to study the commercial banks at a future point whether you can meet regulatory requirements. The use of the core business of a bank's capital adequacy ratio requirements for bank default rate of KMV model is improved and applied to capital regulation feedback link. Using the improved KMV model to measure the default rate of commercial banks, and then obtain the capital regulatory compliance rate index. The model uses open market data of commercial banks and the financial statements of the data, not only can reflect the assets business the bank value fluctuation, also can reflect the size of its asset risk. In view of the current situation of China's banking industry put forward the systemic risk of additional capital adequacy framework of the implementation of the relevant It is suggested that China should optimize the internal and external risk environment of the banking industry, consolidate the microdata base, widen the capital supplement channels and establish a fair and transparent market environment.

【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2015
【分類號】：F832.33;F830.42
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本文編號：1430299