保险业顺周期性监管研究

发布时间：2018-06-15 03:38

本文选题：保险业顺周期性 + 顺周期性监管　；参考：《中国社会科学院研究生院》2014年博士论文

【摘要】：顺周期性是全球金融危机的重要原因之一，最初产生于以风险为基础的资本充足率制度。我国保险业正在推进以风险为基础的第二代偿付能力监管制度建设（简称偿二代‖），顺周期性监管是宏观审慎监管背景下偿二代‖必须解决的重大课题。顺周期性是一种放大金融市场波动的正向反馈机制，分为市场自我反馈的内生顺周期性和监管制度的外生顺周期性。作为宏观审慎监管的对象，保险业顺周期性中的周期‖应特指系统风险周期‖。保险业顺周期性监管应在繁荣时期抑制保险业的系统风险隐患，在危机时期降低保险业对系统风险的强化作用。考察保险业顺周期性，，需要依托适合保险业特征的系统风险理论框架。系统风险是金融服务的损害或中断产生的风险，对实体经济存在潜在的负面影响。系统风险的演化过程经历了共同冲击、传染效应和顺周期性三个阶段。通过系统风险业务和准系统风险业务，保险业卷入了系统风险链条。定性分析和定量模拟显示，保险行业存在内生顺周期性；以风险为基础的偿付能力监管制度存在外生顺周期性。考虑到保险业的负债特点，短期流动性冲击需要重点关注。保险业需要个性化的顺周期性监测体系和监管工具。顺周期性监测的目标是系统风险给保险业造成的损害对系统风险自身的强化作用，职能包括识别、度量、预警和提供监管参数，方法为间接的关联性分析，指标体系包括系统风险深度、顺周期冲击强度和保险反馈强度三个方面。顺周期性监管应区别监管对象制定不同的目标，根据风险冲击的持久性制定监管原则，以逆向性和缓释性为监管效果的评价标准。监管资本方面，可使用逆周期缓释因子（Couter Cyclical Mitigator）平滑短期波动的人为干扰；资产和负债的认可标准应作去风险化处理。监管资本方面，应避免建立顺周期性的偿付能力控制层级；针对系统风险业务计提超额资本，出口信用保险还可适用逆周期缓冲资本。或有支付义务造成的短期流动性风险，可适用流动性先周期比率‖（Liquidity Pre-cycle Ratio）监管。顺周期性监管的启动和退出方式应以规则导向为主，严格限制相机抉择的适用条件。顺周期性监测应加强宏观审慎监管机构之间的协调合作，顺周期性监管则须由保险监管机构承担责任。
[Abstract]:The procyclicality is one of the important causes of the global financial crisis, which originated from the risk-based capital adequacy system. China's insurance industry is promoting the construction of the second-generation solvency supervision system based on risk. The pro-cyclical supervision is an important issue that must be solved under the background of macro-prudential supervision. Procyclicality is a kind of positive feedback mechanism which amplifies the volatility of financial market. It can be divided into endogenous procyclicality of market self-feedback and exogenous procyclicality of regulatory system. As the object of macroprudential supervision, the cycle of insurance industry in procyclicality should refer to the systematic risk cycle. The pro-cyclical supervision of insurance industry should restrain the hidden dangers of system risk in the boom period and reduce the strengthening effect of the insurance industry on the system risk in the crisis period. In order to investigate the procyclicality of the insurance industry, it is necessary to rely on the systematic risk theory framework suitable for the insurance industry. System risk is the risk of financial service damage or interruption, which has a potential negative impact on the real economy. The evolution of system risk has experienced three stages: common shock, contagion effect and procyclicality. Through system risk business and quasi-system risk business, insurance industry is involved in system risk chain. Qualitative analysis and quantitative simulation show that there are endogenous procyclicality in insurance industry and exogenous pro-periodicity in risk-based solvency regulatory system. Considering the liability characteristics of the insurance industry, short-term liquidity shocks need to be focused on. The insurance industry needs a personalized pro-cyclical monitoring system and regulatory tools. The goal of pro-cyclical monitoring is to strengthen the system risk itself by the damage caused by the system risk to the insurance industry. Its functions include identification, measurement, early warning and provision of regulatory parameters through indirect correlation analysis. The index system includes three aspects: system risk depth, perpendicular impact strength and insurance feedback intensity. According to the persistence of risk impact, the principle of regulation should be formulated according to the different targets of regulation, and the evaluation criteria of regulatory effect should be reverse and slow-release. On the regulatory capital side, the countercyclical release factor Couter cyclic Mitigator can be used to smooth the human disturbance of short-term volatility; the recognition criteria for assets and liabilities should be treated as risk-free. In the aspect of supervising capital, we should avoid the establishment of pro-cyclical solvency control level, and apply countercyclical buffer capital to export credit insurance in order to collect excess capital for systematic risk business. The short-term liquidity risk caused by the contingent obligation to pay may be regulated by the liquid Pre-cycle ratio. The starting and exiting mode of procyclical supervision should be rule-oriented and strictly restrict the applicable conditions of discretion. Pro-cyclical monitoring should strengthen coordination and cooperation among macro-prudential regulators, while pro-cyclical supervision should be held accountable by insurance regulators.
【学位授予单位】：中国社会科学院研究生院
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F842

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