三大监管支柱下商业银行风险承担行为研究

发布时间：2018-07-07 18:39

本文选题：风险承担 + 资本监管　；参考：《大连理工大学》2013年硕士论文

【摘要】：始于2007年的全球金融危机,使各国监管当局更加审慎银行业面临的各种风险及其风险管理问题。资本监管、监督检查和市场约束被视为《巴塞尔协议Ⅱ》银行监管的三大支柱,而此次金融危机却暴露出三大监管支柱的不足。如何深入剖析三大监管支柱对商业银行风险承担行为的作用机理,如何有效的将三者有机结合,提高监管的有效性,无疑具有重要的理论和现实意义。论文采用定性分析与定量分析相结合的方法,运用数理模型和实证检验分析三大监管支柱及其组合对于商业银行风险承担行为的影响。具体分析表现在三个方面：首先,在界定相关概念基础上,分析影响商业银行风险承担行为的因素,主要分析了三大监管支柱影响商业银行风险承担行为的机理和影响商业银行风险承担行为的内在、外在因素。其次,构建数理模型,分析三大监管支柱如何有效共同作用商业银行风险承担行为的机理。借鉴Decamps等人的连续时间模型,引入隐性担保制度,依次将资本监管、市场约束和监督检查引入模型,分析三大监管支柱两两之间的关系。得出结论认为：三大监管支柱对银行风险承担行为具有抑制作用,市场约束起到有益补充作用,资本监管和监督检查之间具有替代关系。最后,分别利用中国银行业的数据,进行静态回归和动态广义矩估计。构建了表示三大监管支柱的资本监管压力REG、官方监管能力指数SRDEX和信息披露指数INFDEX以及银行风险承担的度量指标Z值,在模型中引入三大监管支柱的交叉项考察两两之间的相互关系。静态模型采用了个体固定效应模型,动态模型采用了广义矩估计法。结果表明,静态模型和动态模型的回归结果相似,三大监管支柱对银行的风险承担行为具有显著的影响,两两之间也确实具有互补或替代的关系。
[Abstract]:The global financial crisis, which began in 2007, has made national regulators more cautious about the risks faced by banks and their risk management problems. Capital supervision, supervision and market regulation are regarded as the three pillars of Basel II banking regulation, but the financial crisis has exposed the shortcomings of the three pillars. It is undoubtedly of great theoretical and practical significance to analyze in depth the action mechanism of the three pillars of supervision on the risk-bearing behavior of commercial banks and how to combine them effectively and improve the effectiveness of supervision. This paper adopts the method of qualitative analysis and quantitative analysis, and uses mathematical model and empirical test to analyze the influence of the three supervision pillars and their combination on the risk-bearing behavior of commercial banks. First of all, on the basis of defining the relevant concepts, the factors that affect the risk-bearing behavior of commercial banks are analyzed. This paper mainly analyzes the mechanism of the three pillars of supervision affecting the risk-bearing behavior of commercial banks and the internal and external factors that affect the risk-taking behavior of commercial banks. Secondly, the mathematical model is constructed to analyze the mechanism of how the three pillars of supervision act together effectively on the risk-bearing behavior of commercial banks. Based on Decamps' continuous time model, the implicit guarantee system is introduced, and the capital supervision, market constraint and supervision inspection are introduced into the model in order to analyze the relationship between the three major regulatory pillars. The conclusions are as follows: the three pillars of supervision can inhibit the risk-bearing behavior of banks, the market constraints play a beneficial complementary role, and there is a substitute relationship between capital supervision and inspection. Finally, static regression and dynamic generalized moment estimation are carried out using Chinese banking data. Capital supervision pressure REGG, SRDEX, INFDEX, and Z, a measure of banks' exposure to risk, are constructed to represent the three pillars of regulation, including the capital regulatory pressure, the official regulatory capability index SRDEX, and the information disclosure index INFDEX. The cross-item of three major regulatory pillars is introduced into the model to examine the relationship between two and two. The static model adopts the individual fixed effect model and the dynamic model adopts the generalized moment estimation method. The results show that the regression results of static model and dynamic model are similar. The three pillars of supervision have significant influence on the risk-bearing behavior of banks.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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