总损失吸收能力监管对中国银行业的影响分析

发布时间：2018-03-05 18:11

本文选题：总损失吸收能力　切入点：全球系统重要性银行　出处：《外交学院》2017年硕士论文　论文类型：学位论文

【摘要】：2015年11月,金融稳定理事会出台了针对全球系统重要性银行的总损失吸收能力(TLAC)资本监管要求,以求降低全球系统重要性银行的风险水平并且解决长期存在的“大而不倒”问题。我国的中国银行、中国工商银行、中国农业银行、中国建设银行已经被列入全球系统重要性银行的名单中,因而本文将分析TLAC对四大行的影响。短期来看TLAC的资本监管方案会使得四大行面临巨额的资本缺口,而且资本结构的改变还会升高银行的加权资本成本,从而对银行的盈利能力产生负面影响。并且四大银行在国际化发展过程中也会因新资本要求而处于竞争劣势。但是,从长期来看TLAC资本监管要求可以推动我国四大行向资产负债结构多元化和收入结构多元化转型,加强主动负债和多渠道融资能力。另外,本文更进一步尝试去分析将TLAC资本监管方案扩展到我国其他银行的必要性和可行性。我国部分全国性股份制商业银行的资产规模、存贷款市场份额逐渐增长,有望成长为国内系统重要性银行。本文认为存在将TLAC监管范围扩展的必要性。而且,根据不良贷款率数据对能够完全冲抵损失的资本充足率理论值进行测算发现,也存在提高资本充足要求的潜在必要性。但是,FSB的TLAC资本要求对于我国银行的现有资本水平来说过于严格,资本缺口巨大,因此可以采取分层监管,针对非四大行的全国性商业银行适当降低TLAC资本要求。最后本文分别针对商业银行和监管机构提出了不同的应对措施和政策建议。
[Abstract]:In November 2015, the Financial Stability Board introduced a TLAC-based capital regulatory requirement for globally systemically important banks. In order to reduce the risk level of systemically important banks and solve the long-standing "big but not fail" problem. China's Bank of China, Industrial and Commercial Bank of China, Agricultural Bank of China, China Construction Bank has been included in the list of global systemically important banks, so this paper will analyze the impact of TLAC on the big four banks. In the short term, the capital supervision plan of TLAC will make the big four banks face a huge capital shortfall. Moreover, the change in capital structure will also increase the weighted capital cost of banks, which will have a negative impact on the profitability of banks. Moreover, the four major banks will also be at a competitive disadvantage due to new capital requirements in the process of internationalization. In the long run, the requirements of TLAC capital supervision can promote the diversification of China's four major banks to asset liability structure and income structure diversification, strengthen the active debt and multi-channel financing capacity. This paper further attempts to analyze the necessity and feasibility of extending the TLAC capital supervision scheme to other banks in China. It is believed that it is necessary to extend the scope of TLAC supervision. Furthermore, based on the non-performing loan ratio data, the theoretical value of capital adequacy ratio that can fully offset the loss is found. There is also a potential need to raise capital adequacy requirements. However, the TLAC capital requirements of the FSB are too strict for the existing capital level of our banks, and the capital gap is huge, so we can adopt hierarchical supervision. Aiming at the national commercial banks which are not big four banks to reduce the TLAC capital requirements properly. Finally, this paper puts forward different countermeasures and policy suggestions for commercial banks and regulators.
【学位授予单位】：外交学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832

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