《金融论坛》2009年第4期中英文目录及摘要

　　理论研究
　　次贷危机下公允价值计量属性的重新思考
　　刘亚干(16)
　　Re-consideration on Fair Value Measurement Under the Background of Sub-prime Mortgage Crisis
　　LIU Ya-gan (16)

　　信贷配给理论发展、模型与实证研究
　　任建军 (21)
　　Credit Rationing Theory's Development, Models and Empirical Study
　　REN Jian-jun (21)

　　应用研究
　　个人住房抵押贷款违约风险跃迁概率研究
　　孙 冰 (29)
　　Research on the Prepayment-default Transition Probability of the Residential Mortgage Loans
　　SUN Bing (29)

　　房地产开发企业违约概率压力测试研究——现金流蒙特卡洛模拟方法在银行中的应用
　　陈 阳　陈双杰 (37)
　　Stress Testing on Default Probability of Real Estate Development Enterprises——The Application of Monte Carlo Simulation of Cash Flow in Commercial Banks
　　CHEN Yang　CHEN Shuang-jie (37)

　　内部评级体系定量验证模型及在中国银行业的应用
　　李红侠 (43)
　　Quantitative Validation Models of Internal Rating System and Its Application in Chinese Commercial Bank
　　LI Hong-xia (43)

　　跨国银行海外经营动因研究——基于中国市场的实证分析
　　张红军 (50)
　　The Study on Motives of Overseas Operation of Multinational Banks——An Empirical Analysis Based on Chinese Market
　　ZHANG Hong-jun (50)

　　业务探讨
　　商业银行分客户绩效的灰色评价研究
　　徐程兴　胡广文 (56)
　　Grey Evaluation on Separate Customer Performance of Commercial Banks
　　XU Cheng-xing HU Guang-wen (56)

　　欧洲银行保险的发展及其对中国的启示
　　袁 成　裴 平 (62)
　　The Development of European Bancassurance and Its Inspiration
　　YUAN Cheng PEI Ping (62)

　　我国金融资产管理公司商业化转型研究
　　林冬元 (67)
　　Commercialized Transformation of Chinese Financial Asset Management Corporation
　　LIN Dong-yuan (67)

　　调查报告
　　商业银行二级分行中间业务创新研究——来自中国工商银行湖北十堰分行的实践
　　刘永明 (74)
　　Intermediate Business Innovation of Sub-branches of Commercial Banks——A Practice of Hubei Shiyan Sub-branch, ICBC
　　LIU Yong-ming (74)

　　中国信贷资产证券化市场发展现状及展望
　　史晨昱

　　［摘 要］中国信贷资产证券化仍处于以零星个案、小规模试点为主的初级阶段。审慎和重在规范的发展路径既推动了信贷资产证券化实践，又尚存诸如与上位法不统一、规则制定权限错配、发行难度和成本增大、一级市场销售不畅、二级市场流动性严重不足等负面效应，制约着信贷资产证券化深入发展。2008年以来，受美国金融危机以及国内宏观调控变化的影响，资产证券化发行环境不利，亟待获得政策层面的持续鼓励和支持。国内商业银行应找准切入点，积极探索业务品种，更好地做好证券化产品的资产储备和发行准备工作。
　　［关键词］　商业银行；信贷资产；资产证券化；金融创新

　　［Abstract］ Chinese credit asset securitization is still during the preliminary stage, characterized by scattering and small-scale pilot projects. Although the development path, with emphasis on prudential and regulatory operation, pushes forward the practice of credit asset securitization, it has to face various negative effects, such as non-uniformity to higher-level laws, power mismatch on formulating rules, the increase of issuance difficulty and costs, frustrated sales performance on the primary market and severe lack of liquidity on the secondary market. These problems seriously constrain the further development of credit asset securitization. Since 2008, affected by the financial crisis originated from U.S. and the change of domestic macro-control, asset securitization has been facing a hard issuance environment and looking forward to sustained policy encouragement and support. Domestic commercial banks should focus on the key point, actively innovate product lines and make sufficient preparation for the asset reserve and issuance of asset securitization products.
　　［Key words］ commercial bank; credit asset; credit asset securitization; financial innovation

　　商业银行个人理财业务研究与展望
　　杨 飞

　　［摘 要］　理财业务是商业银行推进综合化经营战略的重要载体和提高中间业务收入的重要手段。我国商业银行理财业务尚处于起步阶段，当前具有以信托贷款类产品为主导，产品预期收益趋向合理，分层服务体系开始构建等特点。产品风险揭示不足、品种结构不合理以及粗放式发展等问题仍然存在。我国商业银行需要重新考察和研判市场方向，发挥理财业务对经营转型的重要作用；打造卓越品牌形象与特色服务，获取客户的持久信任与忠诚；加大创新力度，探寻理财市场发展新空间；同时，由单一产品向综合平台转变，由大众化产品向分层次服务转变；建立健全理财业务风险管理体系。
　　［关键词］　商业银行；个人理财业务；理财产品；银信合作

　　［Abstract］ Personal wealth management business serves as a crucial means for commercial banks to develop integrated operation and expand intermediate business. The personal wealth management business of Chinese commercial banks, still at the initial stage, shows the following features: trust-loan typed products are dominated products, product's expected return tends to be reasonable, the hierarchic service system is gradually established, and so on. However, there are various problems in the development of this business, such as insufficient disclosure for product risks, unreasonable product structure, extensive development pattern, etc. Chinese commercial banks must re-investigate and judge the market trend to play the importance of personal wealth management business in operation transformation, forge the brand image and characteristic services to win client's trust and loyalty, reinforce product innovation to explore the new field of wealth management, switch from single product platform to integrated platform to build hierarchic service system and perfect the risk management system.
　　［Key words］ commercial bank; personal wealth management business; wealth management product; bank-trust cooperation

　　次贷危机下公允价值计量属性的重新思考
　　刘亚干

　　［摘 要］　面对不断扩大的次贷危机，某些金融界人士认为公允价值计量是这场金融危机的“罪魁祸首”。本文在剖析公允价值计量在次贷危机中扮演的角色基础上，指出公允价值计量是全球经济市场化发展的必然结果，是体现公司财务状况的相对较佳的计量方法。我们不应完全抛弃或停止使用公允价值计量，而应该顺应历史潮流，在不断实践的过程中完善公允价值计量准则。针对公允价值计量在我国尚处于发展的初级阶段的情况，本文提出我国必须关注各国的现实选择，尽快完善相关会计规定，加强金融监管，逐步推行公允价值计量。
　　［关键词］　次贷危机；公允价值计量；市值计价；历史成本计量

　　［Abstract］ Facing the increasingly expanding sub-prime mortgage crisis, some people in the financial sector argue that it is the fair value measurement that results in the financial crisis. On the basis of scrutinizing the role of fair value measurement in the crisis, the paper points out that fair value measurement is the inevitable result of economic globalization and is the suitable measurement approach to reflect firm's financial situation. We should follow the history trend other than abandon or stop fair value measurement. In the contrast, we should improve the rule of fair value measurement in the process of sustained practice. Fair value measurement in China is just at the initial stage, so China should pay close attention to other countries' choices, improve relevant accounting regulation as soon as possible, reinforce the financial supervision and gradually implement fair value measurement.
　　［Key words］ sub-prime mortgage crisis; fair value measurement; mark-to-market accounting; historical cost measurement

　　信贷配给理论发展、模型与实证研究
　　任建军

　　［摘 要］　信贷配给理论是一个比较复杂的经济学理论，对于信贷配给至今还没有一个统一公认的定义，该理论不仅内容多、不系统，且理论模型多又较为分散，实证研究虽已处于起步阶段但度量仍较为困难。中国学者对此问题也进行了10多年的研究，研究基本分为两类：一类是零散介绍西方信贷配给理论研究情况，另一类是结合中国国情进行了相应的信贷配给问题的研究。为全面理解和把握好信贷配给理论，本文从信贷配给定义、信贷配给理论发展、信贷配给理论模型、信贷配给实证和中国信贷配给理论研究等多视角，对信贷配给理论与实证文献进行了一次比较全面、系统的梳理。
　　［关键词］　信贷配给；理论发展；模型与实证；文献综述

　　［Abstract］ Credit rationing theory is a kind of complicated economics theories, which has not been given a generally accepted definition. Both the contents and models are numerous and unsystematic. Although the empirical study is at the initial stage, it lacks suitable measurement approaches. Chinese scholars have been devoted themselves to studying this theory for tens of years, and the study fields can generally be classified into two types: the first type mainly introduces foreign research achievements in credit rationing theory, and the other focuses on credit rationing problems in China. This paper comprehensively and systematically scrutinizes the credit rationing theory from multiple perspectives, including its definition, theory development, theoretical models, the empirical study and its development in China.
　　［Key words］ credit rationing; theory development; model and empirical study; literature review

　　个人住房抵押贷款违约风险跃迁概率研究
　　孙 冰

　　［摘 要］巴塞尔新资本协议提出针对个人住房抵押贷款可采用内部评级高级法评估其风险，在满足某些最低条件和披露要求的前提下，商业银行可根据自己对个人住房抵押贷款违约概率、违约损失率、违约风险暴露和期限等要素的估计值确定相应的资本要求。本文提出将风险跃迁概率引入到对个人住房抵押贷款提前还款-违约概率的定量估计中。借助逻辑斯特模型，本文将这一概念实际运用到对个人住房抵押贷款微观数据的分析当中，得到的实证研究结论包括借款人历史还款状态可以作为表征其未来还款状态的重要指标，贷龄与借款人还款状态的跃迁概率显著相关等。
　　［关键词］　个人住房抵押贷款；提前还款风险；违约风险；跃迁概率

　　［Abstract］ In the New Basel Capital Accord, the Advanced Internal Ratings-Based (IRB) Approach has been recommended to measure credit risks of the residential mortgage loans. When satisfying some basic conditions and exposure requirements, commercial banks can decide the required capitals according to their own evaluation on the probability of default, the loss given default, the exposure at default and the terms of the residential mortgage loans. The paper proposes introducing the risk transition probability into the evaluation of prepayment-default probability of residential mortgage loans. By using Logistic Model, the paper adopts the concept of the prepayment-default transition probability into the empirical study, and obtains some conclusions, including that the borrower's historical repayment status can be regarded as a significant indicator for his/her future repayment behavior, and the loan age has a significant correlation with the transition probability of the borrower's repayment status.
　　［Key words］ residential mortgage loan, prepayment risk, default risk, transition probability

　　房地产开发企业违约概率压力测试研究——现金流蒙特卡洛模拟方法在银行中的应用
　　陈 阳　陈双杰

　　［摘 要］本文采用蒙特卡洛模拟方法，根据现金净额是否为负这一标准来判断房地产开发企业是否违约，在对企业的现金流进行随机模拟的基础上来计算企业的违约概率。压力测试的场景为房价下降，利率上升。压力传导途径为房价与利率变动导致企业销售收入变动，销售收入的改变导致企业的现金流量表发生变化。房价和利率对销售收入的冲击是随机的，企业的现金流也是随机的，本文通过随机模拟估算了企业的现金流为负的频率，以此作为企业违约的概率。压力测试表明，当房价下降幅度到达15%附近时，房地产开发商的违约概率开始急剧上升。
　　［关键词］　信用风险；压力测试；房价；违约概率；蒙特卡洛模拟

　　［Abstract］ This paper employs Monte Carlo simulation of cash flow to estimate the default probability of real estate development enterprises with the standard that an enterprise inclines to default if its net cash flow goes negative. The scenarios of stress testing include the fall of house price and rise of interest rate. The transmission path of stress is that the change of house price and interest rate results in the change of sales revenue, which further impacts enterprise' s cash flow. Both the impact of house price and interest rate on sales revenue and enterprise' s cash flow are stochastic. The frequency of cash flow turning negative, estimated by Monte Carlo simulation, is regarded as the default probability of enterprise. The stress testing indicates that the default probability of real estate development enterprise will rise sharply when house price drops around 15%.
　　［Key words］ credit risk; stress testing; house price; default probability; Monte Carlo simulation

　　内部评级体系定量验证模型及在中国银行业的应用
　　李红侠

　　［摘 要］　定量验证是运用一定的统计方法来检验商业银行已运行内部客户评级体系的准确性、审慎性及稳定性。准确性验证主要检验商业银行的内部评级模型对授信客户信用状况好坏的风险识别能力；审慎性验证主要检验银行所采用的政策与标准在辨别其内部评级和风险参数量化上的保守程度；稳定性验证则主要检验在风险不变的情况下，银行所采用政策和标准能够保持评级与估值总体上不发生变化。本文介绍了常用的定量验证模型及流程，并以中国某商业银行进行定量验证的实践为例，介绍了如何进行银行内部评级体系的定量验证及在具体实践中可能遇到的问题及解决方案。
　　［关键词］　内部评级体系；定量验证；准确性验证；审慎性验证；稳定性验证

　　［Abstract］ Quantitative validation is the method that uses statistical methodology to check the accuracy, prudence and stability of internal rating system in commercial banks. Accuracy validation mainly tests the risk clarification ability of internal rating models used by commercial banks when assessing client's credit status. Prudence validation is used to verify the moderate degree of policies and standards adopted by commercial banks in distinguishing the internal rating and quantifying the risk parameters. Stability validation mainly tests whether those policies and standards can keep the rating and estimated value stable when risks do not change. The paper introduces several popular quantitative validation models, as well as the validation process. By using the case of one Chinese commercial bank, the paper expounds the application of the models in quantitatively validating the bank's internal rating system, main problems in practice and the solutions.
　　［Key words］ internal rating system; quantitative validation; accuracy validation; prudence validation; stability validation

　　跨国银行海外经营动因研究——基于中国市场的实证分析
　　张红军

　　［摘 要］本文利用不同时期进入中国的各国银行的面板数据，分期讨论影响跨国银行进入中国市场的决定因素。研究发现，不同阶段影响跨国银行进入中国市场的因素不一致，但“跟随客户”动机是跨国银行进入中国的主要动因，中国经济高速成长产生的市场机会也对跨国银行的进入起到了积极的影响。1985～1996年样本期内，跨国银行进入动因区位优势假说得到了实证的支持；同时，不同阶段中国银行业对外开放政策及中国市场的风险因素也影响到跨国银行的进入速度。第二阶段的数据检验表明，中国经济高速增长对跨国银行进入中国市场产生了积极的影响。
　　［关键词］　跨国银行；海外经营；跟随客户；区位优势

　　［Abstract］ By using the panel data of multinational　banks that have entered Chinese market, the paper analyzes key factors resulting in their entrance to Chinese market in different periods. Although there are different decisive factors in different periods, following clients is their main motive to enter Chinese market and the opportunities originating from Chinese economy's rapid growth significantly attract them as well. The empirical result on the first stage, from 1985 to 1996, supports the location advantage hypothesis. The opening policies on the banking and Chinese market's risk factors also affect multinational banks' entrance speed in different periods. The data of the second stage reveal that Chinese economy's rapid growth makes a significantly positive influence on their entrance to Chinese market.
　　［Key words］ multinational banks; overseas operation; following clients; location advantage

　　商业银行分客户绩效的灰色评价研究
　　徐程兴　胡广文

　　［摘 要］　从商业银行的角度评价客户的绩效有利于银行实施差异化的经营战略，优化资源配置。本文结合中国商业银行的经营现状，在已有研究成果的基础上，设计了商业银行分客户的绩效评价指标。鉴于在商业银行分客户的绩效评价过程中，许多指标互相交叉，人们对客户绩效的成因不完全明确，各因素之间的关系不完全清楚，评价过程中存在贫信息的问题，本文提出将灰色理论与模糊层次分析法相结合，运用于商业银行分客户的绩效评价，以便能够较为准确和全面地评价客户的经营绩效。此外，本文还就商业银行中小客户的绩效评价进行了探讨。
　　［关键词］　商业银行；灰色理论；模糊层次分析；绩效评价；差异化经营

　　［Abstract］ It is useful to fulfill differentiated operating strategy and optimize resource allocation by evaluating customer performance from the angle of commercial banks. Combing with the operating status of Chinese commercial banks, this paper designs the performance evaluation indicators of separate customers on the basis of the available research achievements. Because the implications of many indicators are overlapping during the course of performance evaluation, people fail to identify the cause of customer performance and the relationship among various factors. Therefore, poor information is a problem in the process of evaluation. This paper combines the grey theory with fuzzy AHP and evaluates the separate customer performance to accurately and comprehensively reflect the operating performance of customers. In addition, the paper also explores the performance assessment on small-and-middle-sized enterprise customers of commercial bank.
　　［Key words］ commercial bank; grey theory; fuzzy AHP; performance evaluation; differentiated operation

　　欧洲银行保险的发展及其对中国的启示
　　袁 成　裴 平

　　［摘 要］　银行保险正在全球范围内迅速发展，逐渐成为寿险产品的主要销售渠道。欧洲是公认的银行保险发展最为成熟的地区。但由于法律监管环境、银保合作模式、银保产品设计及营销方式等因素的不同，法国、西班牙、意大利等南欧国家相对于德国和英国，银行保险的作用和地位更为显著。这些因素的分析对中国银行保险进一步发展具有一定的借鉴意义。针对中国银保市场上产品种类单一、手续费恶性竞争、营销手段落后等一系列问题，本文建议应从放宽法律环境、尝试股权合作模式、打造合理的薪酬制度、促进产品的转型和创新、建立合理的营销体系等方面加以改革完善。
　　［关键词］　银行保险；协议销售；欧洲银行业

　　［Abstract］ Bancassurance is rapidly expanding on the global market and gradually becomes the main distribution channel of life insurance. Europe is generally recognized mature market for bancassurance. However, due to the differences in regulation environment, cooperating patterns between banks and insurance companies, product design and distribution modes, the position of bancassurance in Southern Europe, especially in France, Spain and Italy, is more significant than that in Germany and U.K.. The factors affecting the development of European bancassurance can provide reference for Chinese bancassurance, which still faces a series of problems, such as the monotonous product line, the vicious competition on the fee and the backward distribution approaches. The paper puts forward that China may fulfill reforms on bancassurance from the following aspects: relaxing the regulation environment, attempting the equity cooperation, establishing a reasonable remuneration system, quickening product transformation and innovation and constructing a scientific distribution system.
　　［Key words］ bancassurance; distribution according to protocol; the European banking

　　我国金融资产管理公司商业化转型研究
　　林冬元

　　［摘 要］　金融资产管理公司既是我国经济金融体制改革的产物，也是我国金融体系不断自我发展、自我完善的需要。目前金融资产管理公司政策性资产处置工作基本完成，商业化转型将成为未来的趋势。本文基于金融战略视角，借鉴国外的转型经验，从探讨资产管理公司继续存在的必要性入手，结合我国实际情况分析资产管理公司转型的现实条件和转型目标，提出我国资产管理公司商业化转型应该分步实施：第一步，使资产管理公司成功向商业化的综合性资产管理公司转型；第二步，逐渐向现代投资银行过渡；第三步，在现代投资银行基础上向大型金融控股集团公司发展。
　　［关键词］　金融资产管理公司；商业化转型；投资银行；金融控股集团

　　［Abstract］ Financial asset management corporation (FAMC) is both the outcome of Chinese economic and financial system reform and the demand to realize the sustained improvement of Chinese financial system. Currently, Chinese FAMCs have finished the majority of policy-dominated non-performing assets disposal task, and commercialized transformation will be their development trend in the future. From the perspective of financial strategy and in reference to foreign asset management corporations' transformation experience, the paper expounds the necessities that Chinese FAMCs should continue to exist and analyzes the conditions and objective of FAMC transformation with consideration of Chinese circumstances. The paper puts forward that Chinese FAMCs should carry out the commercialized transformation through three steps: the first is to make the current policy FAMC transform to synthesized asset management corporation; the second is to gradually move to modern investment bank; the third is to stride towards large-sized financial holding group on the basis of modern investment bank.
　　［Key words］ financial asset management corporation; commercialized transformation; investment bank; financial holding group

　　商业银行二级分行中间业务创新研究——来自中国工商银行湖北十堰分行的实践
　　刘永明

　　［摘 要］　加快推进信贷业务主导的传统经营模式和利差收入主导的传统盈利模式转变，是商业银行中间业务肩负的时代重任。在全球金融一体化的背景下，若零星地从商业银行的单一产品中看待中间业务创新，则难以适应商业银行经营转型的需要，笔者认为拓展中间业务市场应从客户、产品、机制三个维度进行。中间业务的快速发展，必然会引起商业银行业务和风险结构的深刻变化，建立相对独立的组织管理体系、实施贷款转化与存款分化策略、重视区域客户需求、推广综合营销模式、强化风险管理机制，将成为商业银行二级分行深化中间业务创新的必由之路。
　　［关键词］　湖北十堰；商业银行；二级分行；中间业务；业务创新

　　［Abstract］ It is the historic task of intermediate business of commercial banks to accelerate transforming the traditional operating model, dominated by the credit business, and the traditional profit pattern, dominated by the interest spread income. Under the background of global financial integration, intermediate business innovation on commercial bank' s single product is hard to satisfy the need of operating transformation. Therefore, the paper puts forward that commercial banks should expand the intermediate business from three dimensions simultaneously, which are clients, products and mechanism. The rapid growth of intermediate business will inevitably trigger profound changes in the structure of business and risks. The key strategies for sub-branches innovating intermediate business are as follows: (1) establishing relatively independent organization system; (2) diversifying loan forms and deposit substitutes; (3) attaching importance to the demand of regional clients; (4) popularizing the integrated marketing pattern; (5) strengthening the risk management mechanism.
　　［Key words］ Hubei Shiyan; commercial bank; sub-branch; intermediate business; business innovation