基于系统性风险防范的商业银行资本计提研究

发布时间：2018-01-15 22:16

  本文关键词：基于系统性风险防范的商业银行资本计提研究　出处：《湖南大学》2015年博士论文　论文类型：学位论文

  更多相关文章： 系统性风险 商业银行 风险溢出 系统重要性银行附加资本 逆周期资本

【摘要】：爆发于美国的全球金融危机迅速蔓延至全球,其危害之大给各国的监管机构敲响了警钟。在危机发生以后,加强宏观审慎监管,防范银行业系统性风险成为了监管部门、金融机构,乃至公众的焦点和共识。《巴塞尔协议Ⅲ》提出了各种宏观审慎资本工具来应对银行业系统性风险,包括分别采用逆周期资本和系统重要性银行附加资本来针对系统性风险的时间、空间特征。2013年,中国银监局在统筹考虑了《巴塞尔协议Ⅱ》和《巴塞尔协议Ⅲ》,发布《商业银行资本管理办法(试行)》,但尚没有出台完整的系统性风险资本监管框架。本文在这样的大背景下,分析系统性风险的形成机理以及《巴塞尔协议Ⅲ》宏观审慎资本工具的作用机理,进而分析《巴塞尔协议Ⅲ》系统性风险附加资本监管框架中存在的不足和矛盾,在此基础上提出相应的解决思路和实现办法,最终形成一套较为完整的系统性风险附加资本监管框架。作为系统性风险附加资本监管机制设计的前提和基础,本文对系统性风险的内在形成机理进行分析。《巴塞尔协议Ⅲ》作为银行业监管的标杆,其监管机制的设计理念可以对本文的研究带来启示,总结和归纳《巴塞尔协议Ⅲ》关于系统性风险防范的监管改革,并在内部评级法的视角下对《巴塞尔协议Ⅲ》宏观审慎资本监管工具的作用机理进行分析。《巴塞尔协议Ⅲ》既要求加强宏观审慎监管,同时延续了《巴塞尔协议Ⅱ》精细化的经济资本管理框架,并且《巴塞尔协议Ⅲ》作为全球的监管标杆,其系统性风险防范的资本框架在中国的适用性问题也值得深思。在分析逆周期资本、系统重要性银行附加资本与经济资本管理之间存在的协调问题,以及《巴塞尔协议Ⅲ》逆周期资本计提框架与系统重要性附加资本计提框架中存在的不足的基础上,提出具有针对性的差异化系统性风险附加资本计提框架及实现的方式方法。商业银行风险溢出的测算是系统重要性银行附加资本计提的前提。Co Va R方法可以用来考虑当银行出现极端情形时整个银行系统所处的风险水平,这与空间维度系统性风险的概念相吻合。通过采用中国上市商业银行的股票收益率数据与商业银行指数,用Copula函数拟合各商业银行收益率序列与商业银行指数收益率序列间的相依结构,进而计算各商业银行对银行体系的系统性风险贡献。结果发现各银行之间的风险溢出效应存在较大的差别。根据《巴塞尔协议Ⅲ》所提额外资本对风险溢出的吸收作用,各商业银行资本水平的不同是导致系统性风险贡献的度量结果的差异重要原因。系统重要性银行附加资本的计提是为了应对商业银行对银行体系的潜在风险溢出,同时,系统重要性银行附加资本的计提水平是监管部门对商业银行提出的额外要求,这也意味着该资本的计提与监管部门的容忍度密切相关。本文将监管容忍度作合理的假设,在不同的假设情景下研究商业银行系统重要性的评价与商业银行系统重要性银行附加资本的计提。研究表明,商业银行资本充足水平对银行的风险溢出效应存在较大的影响,通过控制相同的风险溢出水平来对银行的资本充足水平进行评估,进而得到各商业银行的系统重要性,五大国有商业银行排在前列,其他股份制商业银行也存在风险溢出,溢出程度较国有商业银行小。监管容忍度的变化对于大型商业银行没有什么影响,但是对于股份制商业银行却存在较大的区别。逆周期资本的计提方式方法也是差异化系统性风险附加资本计提框架中的重要内容。考虑到《巴塞尔协议Ⅲ》逆周期资本的计提所依据的参考指标在中国可能存在适用性的问题,并且信贷顺周期性与银行风险顺周期性高度相关,本文设计逆周期资本的计提是从商业银行的风险的角度展开。采用自上而下的经济资本度量方法测度银行风险水平,在测算出各商业银行经济资本的基础上,考察商业银行资产风险的周期性变化。实证分析表明,发现商业银行的资产风险受信贷波动的影响是显著的,而且信贷的小波动将给银行带来极大的风险。根据经济资本与信贷波动的关系,进一步地建立逆周期资本计提机制。资本监管所提出的资本要求是商业银行在未来某时点所需要具备的资本。这使得系统性风险附加资本监管框架必须具备相应的反馈机制,以考察商业银行在未来某时点是否可以达到监管要求。运用商业银行的核心一级资本充足率要求对银行违约率测算的KMV模型进行改进,并将其用于资本监管反馈环节。用改进KMV模型来测算商业银行的违约率,进而得到资本监管合规率指标。该模型采用商业银行的公开市场数据以及财务报表中的数据,不仅可以反映商业银行资产价值波动,也能反映其资产风险的大小。鉴于我国银行业发展现状提出系统性风险附加资本计提框架实施的相关建议。本文认为我国应优化银行业内外部风险环境、夯实微观数据基础、拓宽资本补充渠道、建立公正透明的市场环境。
[Abstract]:The outbreak of the global financial crisis in the United States quickly spread to the world, the great harm to national regulators sounded the alarm. After the crisis, strengthen macro prudential supervision, prevent systemic banking risk become regulators, financial institutions, and the public focus and consensus. The Basel agreement > III proposed various macro Prudential capital instruments to deal with the banking system risk, including using time for systemic risk countercyclical capital and the importance of banking system of additional capital, the spatial characteristics of.2013, Chinese Banking Bureau of Basel II considers the < > and < > in the overall Basel III, issuing the commercial bank capital management (Trial) >, but there is no systemic risk capital regulatory framework. This paper introduced a complete in such a background, formation mechanism and "Basel protocol analysis system risk The mechanism of macro Prudential capital Tools >, and < > Basel III analysis existence of systemic risk of additional capital regulatory framework of problems and contradictions, the corresponding solutions and measures, and ultimately the formation of a relatively complete system of risk capital regulatory framework as the premise and basis of system design. The risk of additional capital supervision mechanism, carries on the analysis. The Basel III > as banking supervision benchmark the internal formation mechanism of systemic risk, the design concept of its regulatory mechanisms can bring enlightenment to the research of this paper, summing up the "Basel III" about regulatory reform of risk prevention system, analysis Basel 3 >. < requires strengthening and action mechanism of the internal rating system from the perspective of "Basel III > macro prudential regulatory capital instruments Macro prudential supervision, and continue the "economic capital management framework of Basel II > fine, and < Basel 3 > as a global regulatory benchmark, applicability of the system of risk prevention in the framework of the capital China is worth pondering. In the analysis of counter cyclical capital, the problem of coordination between the additional capital and the importance of the bank's economic capital management system, and the" Basel III > countercyclical capital provision system framework and importance of the additional provision of capital in the framework of weaknesses on the basis of the proposed targeted differentiation system of risk capital provision method framework and implementation approach. Estimates of Risk Spillover of commercial banks.Co Va R method is the premise of the importance of banking system additional provision of capital can be used to consider extreme cases when the bank has the entire banking system at the level of risk, and this The concept of spatial dimension of systemic risk is consistent with the commercial bank rate index data. Through the use of China listed commercial bank stock returns, using the Copula function fitting of each commercial bank and commercial bank index return series yields the dependence structure between sequences, and then calculate the bank systemic risk contribution to the banking system. Results there are differences between the Risk Spillover Effect between banks. According to the absorption effect of Basel 3 > proposed additional capital to Risk Spillover, an important reason for differences of measurement results lead to systemic risk contribution is the capital of commercial banks at different levels. The importance of banking system is the provision of additional capital in order to deal with the potential of commercial banks the risk of spillover to the banking system, at the same time, the importance of banking system of additional capital provision level is the supervision department of commercial bank Additional requirements, this also means that the capital provision and regulatory tolerance are closely related. The regulatory tolerance for reasonable assumptions, the importance of research on commercial bank system in different scenarios under evaluation and additional capital of the commercial banking system the importance of the bank's provision. The study shows that the level of capital adequacy of commercial banks there is a big impact on the Risk Spillover Effect of the bank, through the control of the same level of Risk Spillover to the bank's capital adequacy assessment system, and the importance of the commercial banks, the five state-owned commercial banks in the top row, there is also the Risk Spillover of other joint-stock commercial banks, the spillover degree than the state-owned banks. Changes in the regulatory tolerance without what effect for large commercial banks, but there is a big difference but for joint-stock commercial banks counter cyclical capital. The provision of methods is the difference of systemic risk of additional capital adequacy is an important content in the framework. Considering the < Basel 3 > countercyclical capital provision for possible reference for problems in China, and credit procyclicality and bank procyclicality are highly relevant, this paper design countercyclical capital provision is carried out from the risk of the commercial Bank perspective. Using a top-down economic capital measurement method to measure the risk level of banks, in the measure of economic capital based on periodic investigation of changes in commercial bank assets risk. The empirical analysis shows that the influence of assets of commercial banks credit risk the fluctuation is significant, but small fluctuations in credit banks will lead to great risk. According to the relationship between economic capital and credit fluctuations, further establishing counter cyclical capital Lifting mechanism. The capital requirements of the regulatory capital of the commercial banks need to have at some point in the capital. This makes the system of risk capital regulatory framework must have the corresponding feedback mechanism, in order to study the commercial banks at a future point whether you can meet regulatory requirements. The use of the core business of a bank's capital adequacy ratio requirements for bank default rate of KMV model is improved and applied to capital regulation feedback link. Using the improved KMV model to measure the default rate of commercial banks, and then obtain the capital regulatory compliance rate index. The model uses open market data of commercial banks and the financial statements of the data, not only can reflect the assets business the bank value fluctuation, also can reflect the size of its asset risk. In view of the current situation of China's banking industry put forward the systemic risk of additional capital adequacy framework of the implementation of the relevant It is suggested that China should optimize the internal and external risk environment of the banking industry, consolidate the microdata base, widen the capital supplement channels and establish a fair and transparent market environment.

【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2015
【分类号】：F832.33;F830.42
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本文编号：1430299