商业银行资本充足率的风险信息内容与质量

发布时间：2019-07-06 19:03

【摘要】：资本充足率所蕴含的合理风险信息内容包括:(1)在监管资本约束状态下,若商业银行采取了理性的行为反应,资本充足率将与违约概率负相关或至少不相关;(2)在信贷资产快速投放并消耗大量资本基础的情形下,唯有当监管资本的增补速度大于风险加权资产的增速时,资本充足率与违约概率才有其理论上的正相关可能;(3)资本充足率应与银行违约风险负相关。基于此判定标准与推理逻辑,我们以银监会推行巴塞尔II中国化的2004年为起点,以此后上市的主要商业银行为对象,从多维度研究了其资本充足率的风险信息内容及其信息质量的演变规律。研究表明:(1)主要商业银行在2008年之前的资本充足水平与其违约风险指标倾向于负相关,而在2008年之后更倾向于正相关,这隐含说明资本充足率的风险信息质量降低了;(2)城市商业银行资本充足率的风险信息质量似乎弱于主要商业银行。
[Abstract]:The reasonable risk information contained in the capital adequacy ratio includes: (1) under the condition of regulatory capital constraints, if the commercial banks take a rational response, the capital adequacy ratio will be negatively correlated or at least unrelated to the probability of default; (2) under the condition that credit assets are quickly invested and consumed a large capital base, only when the addition rate of regulatory capital is faster than the growth rate of risk-weighted assets, the capital adequacy ratio and the probability of default may have a theoretical positive correlation; (3) the capital adequacy ratio should be negatively correlated with the risk of bank default. Based on this criterion and reasoning logic, we take 2004 as the starting point for CBRC to carry out the Sinicization of Basle II in China, and take the main commercial banks listed since then as the object, and study the risk information content of capital adequacy ratio and the evolution law of its information quality from many dimensions. The results show that: (1) the capital adequacy level of major commercial banks before 2008 tends to be negatively correlated with their default risk indicators, but more positive correlation after 2008, which implies that the quality of risk information of capital adequacy ratio is reduced; (2) the quality of risk information of capital adequacy ratio of urban commercial banks seems to be weaker than that of major commercial banks.
【作者单位】：复旦大学经济学院;
【基金】：国家自然科学基金(项目编号:70903012)
【分类号】：F832.2;F224

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