中国系统重要性银行风险防范和监管研究

发布时间：2018-03-25 12:09

  本文选题：系统性风险　切入点：系统重要性银行　出处：《南开大学》2014年博士论文

【摘要】：新一代国际金融监管的重要变革是将系统性风险纳入监管的新框架,建立全球的宏观审慎监管制度,尤其是加强对系统重要性金融机构的监管,提高监管强度和有效性,降低“大而不倒”导致的道德风险以及系统重要性金融机构对全球金融业巨大的风险传染性和影响力；与此同时,中国金融业在做大做强的自我发展道路上遭遇结构变迁的瓶颈,多年来的分业经营模式有碍于金融机构经营效率的提高和服务模式的创新,而在向混业经营转变的过程中,不完善的金融体系又面临更严峻的挑战。金融控股公司作为混业经营的主要工具,在经营传统商业银行业务之外,成立子公司涉足证券、保险、信托等业态,加大了金融资产的规模,增加了业务的复杂性,使得其一旦面临风险,就有可能对整个金融体系产生巨大的影响。在这样的国内外金融发展背景下,研究我国系统重要性银行的风险防范和监管问题具有非常重要的现实意义。 金融危机的爆发暴露出对系统重要性金融机构的监管缺失,促使监管当局在新的监管框架下更加关注系统性风险的防范。各个国家在面临当前困境的同时也都在思考：全球的金融监管怎么完善,本国的金融监管该如何跟进。正是基于这样一个简单清晰的问题,本文展开对系统重要性银行的监管研究。我国大型商业银行在银行业金融机构中资产占比近50%左右,而银行业又是我国金融业的主力军,虽然发展速度较快,但内生的脆弱性犹存。所以大型商业银行的稳健经营关系着整个金融行业的稳定性。当前,国际监管组织出台了诸多监管政策,补充和强化了系统重要性金融机构的监管制度,我国监管当局也在遵守全球监管制度安排的同时,积极探索适合我国国情的监管策略。本文在对相关理论和文献进行梳理的基础上,着重关注全球系统重要性金融机构的监管制度变革以及中国近几年的金融监管政策导向,通过研究系统重要性银行的识别方法,系统重要性银行的风险管理以及系统重要性银行监管有效性等问题建立起由事前监管、事中监管和事后监管三个方面组成的我国系统重要性银行监管的框架。 本文框架分为六个部分,具体内容如下： 第一章引言：引言部分涉及论文选题的背景意义、论文研究的理论基础和文献综述、论文的研究思路和论文结构,以及论文的研究方法和创新点。 第二章金融危机爆发促使全球金融监管框架变革：本章意在反思金融危机爆发过后暴露出的监管缺失,以及全球监管框架变革的内容,目的是引出全球监管框架变革下对系统性风险的更加关注和对系统重要性金融机构监管的具体措施,并且着重回顾了金融危机对我国银行业造成的冲击以及危机后我国金融监管改革的方向。 第三章中国系统重要性银行的评估和识别：系统重要性银行的评估和识别是对其进行有效监管的前提,本章意在建立符合我国银行业发展现状的系统重要性银行的评估方法。本章在对国内外系统重要性银行评估方法总结的基础上,采取市场分析法(CoVaR)和指标体系法(Index method)构建模型评估系统重要性银行,并通过二者结果的对比,最后在指标体系法的结果基础上结合系统聚类法识别出我国的系统重要性银行,并分为A类系统重要性银行(A-SIBS)和B类系统重要性银行(B-SIBS). 第四章中国系统重要性银行的发展现状和面临的风险：本章承接第三章的评估结果,首先从国外和国内两个维度进行了比较,分析了我国被评为全球系统重要性银行的中国银行和中国工商银行在全球系统重要性银行中的地位,以及国内系统重要性银行A-SIBS和拟成为系统重要性银行的银行B-SIBS的发展现状,并在此基础上总结了中国系统重要性银行面临的主要风险,尤其是对当前互联网金融下面临的信息科技风险进行了详细的研究,旨在进一步完善风险管理框架。 第五章中国系统重要性银行监管有效性研究：本章意在对中国系统重要性银行的监管效果进行探索性的分析。本章通过函数推导建立了风险和收益的数学关系,结合Panel Data模拟得到了由资本充足率和流动性比率组成的监管有效性区域,并根据当前的资本监管框架和流动性监管框架对系统重要性银行的监管有效性问题进行了说明。 第六章我国系统重要性银行监管体系的构建：本章提出了中国系统重要性银行风险防范和监管的政策建议,并从事前监管、事中监管和事后监管三个方面构建了中国系统重要性银行监管体系,同时在最后一节得出本文结论。 整篇论文采用了多种方法综合进行。在对系统重要性银行的监管理论进行梳理的基础上,采用市场分析法(CoVaR)和指标体系法(Index method)构建模型评估系统重要性银行；采用系统聚类法识别出中国系统重要性银行；应用Excel逻辑函数对系统重要性银行的信息科技风险进行了度量和研究；采用函数推导和Panel Data模型对系统重要性银行的有效性进行探索性的分析等。通过各种定性和定量的方法对系统重要性银行的评估、识别、现状、风险以及监管有效性等一系列问题进行分析和研究,最后提出了从事前、事中、事后三个层次构建我国系统重要性银行的监管体系的政策建议。旨在对系统重要性银行进行全方位的研究,为监管当局提供简便易操作的的监管思路和方法,弥补我国在系统重要性银行监管方面的缺失。
[Abstract]:Change of the new generation of international financial supervision is the systemic risk into a new regulatory framework for the establishment of macro prudential supervision system in the world, especially to strengthen the supervision of systemically important financial institutions, improve the supervision strength and effectiveness, reduce the "too big to fail" caused by moral hazard and systemically important financial institutions for global the financial industry a huge risk of infectious and influence; at the same time, Chinese financial industry bigger and stronger in the self development of the road structure changes encountered bottleneck, years of operation mode due to financial institutions and improve the efficiency of the business service model innovation, and in the process to change the operation mode in the imperfect financial the system also faces more severe challenges. The financial holding company as the main tool of mixed operation, in addition to the traditional commercial banking business, set up a subsidiary foot card Ticket, insurance, trust and other activities, increase the financial assets, increase the complexity of the business, making it once at risk, it is possible to have a huge impact on the entire financial system. In such a background of domestic financial development, has very important practical significance of risk prevention and supervision system of China the importance of the bank.
The financial crisis exposed of systemically important financial institutions lack of supervision, the supervision authorities in the prevention of the new regulatory framework more focus on systemic risk. All countries in the face of current difficulties but also in thinking: global financial supervision and how to improve the national financial supervision, how is such a follow up. A simple and clear problem based on this article launches the research on the supervision of systemically important banks. China's large commercial banks in the financial institutions of the banking assets accounted for nearly 50%, and the banking industry is China's financial industry is the main force, although the development of faster, but the inherent fragility of the robust so remain. Management of large commercial banks in relation to the stability of the entire financial industry. At present, the organization of international supervision promulgated a number of regulatory policies, and strengthen the supervision of systemically important financial institutions system Of the regulatory authorities in China also in compliance with global regulatory institutional arrangements and actively explore suitable for China's regulatory strategy. Based on the review of the relevant literature and theory on the financial supervision policy focuses on the change regulation of global systemically important financial institutions as well as in China in recent years, through the identification of the method of the importance of banking system, risk management system and the importance of the effectiveness of banking supervision of systemically important banks established by ex ante supervision, supervision and supervision in three aspects of the importance of our system of banking supervision framework.
The framework of this paper is divided into six parts, the specific contents are as follows:
The first chapter is foreword: the introduction involves the background significance of the topic selection, the theoretical basis and literature review, the research ideas and structure of the thesis, and the research methods and innovations of the thesis.
The second chapter of the financial crisis the global financial regulatory framework changes: the purpose of this chapter is on the financial crisis exposed the lack of supervision, and the contents of global regulatory framework reform, is to lead a global regulatory framework for change of systemic risk and pay more attention to the importance of financial institutions supervision system of specific measures, the direction of China the reform of financial supervision and review on the financial crisis on China's banking industry and the impact of the crisis.
The third chapter China assessment and identification of systemically important banks: assessment and recognition of the importance of banking system is the precondition of effective supervision on them, this chapter is intended to establish evaluation methods for systemically important banks in line with the status quo of the development of China's banking industry. Based on the domestic and foreign banks in the system the importance of evaluation methods in this chapter, take market analysis (CoVaR) and the index system method (Index method) to construct evaluation model of systemically important banks, and by comparing the results of the two, finally on the basis of the index system the method of system clustering method to identify the importance of banking system in China combined and divided into a systemically important banks (A-SIBS) and B the importance of banking system (B-SIBS).
The current situation of the development of the fourth chapter Chinese systemically important banks and risk: this chapter the third chapter evaluation results, firstly from two aspects at home and abroad were compared and analyzed the status of our country was named Global systemically important banks Chinese banks and ICBC in the importance of the global banking system in the domestic and the importance of system the bank intends to become the current situation of the development of A-SIBS and the importance of banking system of bank B-SIBS, and on the basis of summarizing the main risks facing the Chinese systemically important banks, especially in the current Internet information technology under the financial risks are studied in detail, in order to further improve the risk management framework.
The fifth chapter China system the importance of the effectiveness of banking supervision: exploratory analysis purpose of this chapter is on Chinese systemically important banks regulatory effect. This chapter through the function derived the mathematical relation between risk and benefit, combined with Panel Data simulation has been the effective area composed of regulatory capital adequacy ratio and liquidity ratio. And was described according to the current capital regulatory framework and liquidity regulatory framework for systemically important banks supervision effectiveness.
The sixth chapter is the structure of our system and the importance of the banking supervision system: this chapter puts forward the risk prevention and supervision system Chinese the importance of the bank's policy recommendations, and in the supervision, regulation and supervision in three aspects to construct the supervision system of Chinese systemically important banks, the thesis draws a conclusion in the last section at the same time.
This paper uses a variety of methods. On the foundation of combing the importance of bank supervision system on the theory of the market analysis method (CoVaR) and the index system method (Index method) to construct evaluation model of the importance of banking system; uses the system clustering method to identify Chinese systemically important banks; application of Excel logic function of information technology risk the importance of banking system for the measurement and research; the function is derived and Panel Data model on the effectiveness of systemically important banks are discussed and analyzed. Through various methods of qualitative and quantitative assessment of the importance of banking system identification, the status quo, analysis and research of a series of problems and risk supervision effectiveness, finally put forward in before the matter, after the construction of China's system of the importance of the bank's supervision system of three levels in order to policy recommendations. The importance of banks has been studied in an all-round way, which provides simple and operational supervision ideas and methods for regulatory authorities to make up for the lack of systemically important banking supervision in China.

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.33
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本文编号：1663053