资本充足率监管对我国商业银行风险承担激励的影响研究

发布时间：2018-03-16 10:19

本文选题：资本充足率监管　切入点：风险承担　出处：《暨南大学》2012年硕士论文　论文类型：学位论文

【摘要】：《巴塞尔协议Ⅲ》对银行资本充足水平提出了更高要求，那么我国商业银行面对资本的严格监管将如何应对，银行将如何调整其资本水平与风险承担水平，，银行资本水平的变动与风险水平的变动是否相互影响？在当前金融危机过后的经济复苏期研究这一问题将有助于监管当局做出有利于银行发展的监管决策，这对维持我国银行业的健康稳定发展具有理论意义和现实意义。本文先就资本充足率监管对商业银行风险承担激励影响的国内外文献进行综述，发现学术界对该问题的研究尚未得出一致结论。然后对巴塞尔协议的历史沿革进行了阐述。接着建立理论模型分析资本充足率监管对商业银行风险承担的影响，我们主要针对银行日常经营面临的最主要风险——信用风险进行分析。结果发现，较高的资本充足率要求降低了银行的信贷风险偏好，进而降低了银行的风险承担水平，这正好符合监管当局的初衷。在理论分析的基础上，再就金融危机与银行性质对资本充足率水平和风险承担激励之间关系的影响进行了实证研究，结果表明，金融危机的发生在强化银行资本充足率监管效果的同时，也增强了银行的风险承担激励。此外，银行性质的差异也对两者之间的关系造成了不同影响。最后对全文进行总结，并提出相应的政策建议。
[Abstract]:Basel III puts forward higher requirements on the capital adequacy level of banks, so how to deal with the strict supervision of capital, how the banks will adjust their capital level and risk bearing level, Does the change of bank capital level and risk level influence each other? The study of this problem in the period of economic recovery after the current financial crisis will help the regulatory authorities to make regulatory decisions that are conducive to the development of banks, which has theoretical and practical significance for maintaining the healthy and stable development of the banking industry in China. This paper first summarizes the domestic and foreign literature on the influence of capital adequacy ratio regulation on commercial banks' risk-bearing incentives. It is found that the academic research on this issue has not reached a consistent conclusion. Then the history of the Basel Accord is expounded. Then a theoretical model is established to analyze the impact of capital adequacy ratio regulation on the risk bearing of commercial banks. We mainly analyze the most important risk that banks face in their daily operation-credit risk. The results show that the higher capital adequacy ratio reduces the credit risk preference of banks, and then reduces the risk assumption level of banks. This is exactly in line with the original intention of the regulatory authorities. On the basis of theoretical analysis, an empirical study is conducted on the relationship between the financial crisis and the nature of banks on the level of capital adequacy and risk-taking incentives. The results show that, The financial crisis not only strengthens the supervision effect of the bank capital adequacy ratio, but also strengthens the risk-bearing incentive of the bank. In addition, the differences in the nature of the bank also have different effects on the relationship between the two. And put forward the corresponding policy recommendations.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1;F832.33;F224

【引证文献】