我国商业银行监管资本套利问题及对策研究

发布时间：2018-03-28 14:28

本文选题：巴塞尔协议　切入点：监管资本套利　出处：《山西财经大学》2017年硕士论文

【摘要】：2007年美国次贷危机的爆发不仅与监管制度固有的滞后性有关,更与银行业的金融创新、金融衍生工具的大量运用密切相关。反思这场危机,商业银行为利益驱使扩大贷款规模,同时又必须满足监管当局的监管要求,这就促使其通过金融创新手段来规避资本监管,这种行为是导致监管制度失效及危机爆发的根本原因。监管资本套利是商业银行利用证券化等金融创新手段,改变资产构成,降低风险加权资产数量,使得其可以在实际风险没有降低的情况下提高资本充足率或者实际风险增加而资本充足率却并未减少的一种套利模式。金融危机爆发后,巴塞尔委员会制定出台了第三版巴塞尔协议,协议对资本提出了更加严格的要求,并且对于监管资本套利这一问题也更加重视。因此,研究商业银行监管资本套利这一问题对提升银行管理水平,维护金融系统稳定有着重要意义。本文首先对商业银行资本、监管资本套利的概念及模式进行了梳理,并且通过对比分析不同版巴塞尔协议及我国监管协议的条款内容,得出监管资本套利是伴随监管协议而生的,监管协议具有不完全性,这必然会带来监管资本套利这一难题。接下来运用期权定价法,对经济资本、监管资本以及二者间的背离程度进行了理论度量。在论述理论基础后,以我国16家上市商业银行的数据为研究对象,通过面板联立方程及指标间的比较论证了我国商业银行存在监管资本套利问题。研究结果表明,当商业银行持有的经济资本与监管当局规定的监管资本间的差额超过一定额度时,商业银行就会产生监管资本套利行为。在对我国上市商业银行进行实证分析后发现,我国商业银行资本充足率较高,一方面是由于其进行了资本管理,而另一方面则是因为存在监管资本套利活动。本文在理论研究和实证分析后,对我国商业银行的资本监管提出了相关对策和建议,希望我国监管当局能够进一步完善监管制度,并对合理套利行为进行引导,从而能够在控制监管资本套利问题的同时发挥出其积极作用。
[Abstract]:In 2007 the U.S. subprime crisis and the regulatory system not only lagging, more financial innovation and banking, the use of a large number of financial derivatives is closely related to the reflection of the crisis, expanding the size of loans for commercial banks driven by interests, and regulatory authorities must meet regulatory requirements, which prompted by the financial innovation means to circumvent capital regulation, this behavior is the result of regulatory failure and crisis. Regulatory capital arbitrage is a commercial bank with the securitization of financial innovation means change asset structure, reduce the risk weighted assets amount, improve an arbitrage model of capital adequacy ratio or the actual increased risk and capital adequacy ratio did not decrease so that it can not reduce the risk in the actual situation. After the outbreak of the financial crisis, the Basel Committee issued the third edition of the Basel The agreement, the agreement put forward more strict requirements for capital, and for regulatory capital arbitrage also pay more attention to this problem. Therefore, the study of commercial bank regulatory capital arbitrage this problem to enhance the bank management level, is of great significance to maintain the stability of financial system. This article first to the capital of commercial banks, analyzes the concept and mode regulatory capital arbitrage, in terms of content and through the comparative analysis of different edition of the Basel accord and China's regulatory agreement, that regulatory capital arbitrage is accompanied by regulatory agreement, regulatory agreement is incomplete, this will inevitably lead to regulatory capital arbitrage this problem. Then using the option pricing method of economic capital, the degree of deviation between regulatory capital as well as between the two theories. On the theoretical basis of the measurement, the listed commercial banks in China 16 of the data as the research object, through the panel Simultaneous equations and indexes of comparing China's commercial banks have regulatory capital arbitrage. The results show that, when commercial banks hold capital and supervisory regulatory capital for the difference between more than a certain amount, the commercial banks will have regulatory capital arbitrage. Found in the listing of China's commercial banks the empirical analysis, the capital adequacy ratio of commercial banks in our country are relatively high, partly because of its capital management, and on the other hand, because of the existence of regulatory capital arbitrage activities. Based on the theoretical research and empirical analysis, the related countermeasures and suggestions to our country commercial bank capital regulation is put forward, hope in China the regulatory authorities to further improve the regulatory system, and the rational arbitrage behavior guidance, which can play its positive role in the control of regulatory capital arbitrage problem.

【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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