基于双重资本约束的投资银行全面风险管理体系构建——美国五大投资银行“终结”的启示

发布时间：2019-03-09 14:44

【摘要】：美国五大投资银行"终结"已过三年,转型商业银行的摩根士丹利和高盛已退出政府"问题资产救助计划",美国《金融监管改革法案》、巴塞尔银行监管委员会的《巴塞尔协议Ⅲ》也相继出台。在此背景下,我们重新审视了危机前五大投资银行经营特征,尤其比较了两家转型投资银行在转型前、中、后2005～2010年期间的经营状况,发现转型后资本监管引致的"去杠杆化"效果显著,但其经营战略未转型,自营业务和投资银行业务收入占比恢复到危机前水平,成为利润主要来源。然后,我们构建了基于净资本和经济资本双重约束的投资银行风险管理体系,并提出我国的推进路径。
[Abstract]:Three years have passed since the end of the five major investment banks in the United States, and Morgan Stanley and Goldman Sachs, transforming commercial banks, have withdrawn from the Government's "troubled Asset Relief Program," and the Financial Regulatory Reform Act of the United States. Basel III of the Basel Committee on Banking Supervision has also been introduced one after another. Against this background, we re-examined the operational characteristics of the five major investment banks before the crisis, and compared in particular the operating conditions of the two investment banks before, in, and after the transition during the period of 2005-2010. It is found that "deleveraging" caused by capital supervision after transformation is significant, but its operating strategy has not been transformed, and the share of income from proprietary business and investment banking has returned to the pre-crisis level, which has become the main source of profit. Then, we construct an investment bank risk management system based on the double constraints of net capital and economic capital, and propose the promotion path of our country.
【作者单位】：西南财经大学中国金融研究中心;
【基金】：教育部人文社会科学重点研究基地重大项目“投资银行风险管理理论与中国的实践”(2009JJD790037)的阶段性成果西南财经大学“211工程”三期建设项目资助
【分类号】：F832.2

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