形势分析
辨证看待近期商业银行信贷高速增长
樊志刚 何崇阳 (5)
A Dialectical View on Recent Rapid Credit Growth of Commercial Banks
FAN Zhi-gang HE Chong-yang (5)
当前我国商业银行票据贴现业务快速增长研究
张德银 (13)
A Study on the Rapid Growth of Bills Business in Chinese Commercial Banks
ZHANG De-yin (13)
理论研究
异质提前还款因素下住房抵押贷款定价研究
王鹰翔 李 晔 (20)
The Valuation of Residential Mortgages with Embedded Heterogeneity Prepayment Risk
WANG Ying-xiang LI Ye (20)
关于以小企业贷款产品的价值基础定价的思考
陆岷峰 周海波 (26)
Research on Loan Pricing According to the Basic Value of Small Enterprise Loans
LU Min-feng ZHOU Hai-bo (26)
推进人民币资本项目可兑换的相关问题研究
斯琴图雅 (31)
Several Issues in Furthering the Convertibility of RMB Capital Account
Si-qintuya (31)
实证研究
商业银行综合经营战略与路径研究
中国工商银行城市金融研究所课题组 (36)
Integrated Business Strategy and Development Paths of Commercial Banks
The Study Group, Urban Finance Research Institute, ICBC (36)
金融地理视角下中国信贷供给的区域效应研究
刘淑芳 史 瑛 刘治国 (42)
Regional Effects of Credit Supply in China from the Perspective of Financial Geography
LIU Shu-fang SHI Ying LIU Zhi-guo (42)
中国银行业的宏观效率研究
王 平 邹 易 唐 柳 (48)
The Research on Macro-Efficiency of Chinese Banking
WANG Ping ZOU Yi TANG Liu (48)
次贷危机中房贷经纪商道德风险治理问题研究——从控制权配置的角度探讨
武 夏 陈学彬 (53)
The Governance on Moral Hazard of Mortgage Brokers in the Subprime Mortgage Crisis——A Perspective from the Allocation of Right of Control
WU Xia CHEN Xue-bin (53)
业务探讨
计量技术在信用风险管理中的应用——兼论我国商业银行引进和运用计量技术中存在的问题及建议
于晨曦 (59)
The Application of Measurement Technology in Credit Risk Management——Problems in the Introduction and Utilization of Measurement Technology in Commercial Banks and Corresponding Suggestions
YU Chen-xi (59)
中国银行业存款产品设计存在的问题与改进建议
张桥云 陈跃军 (65)
The Problems and Improvement Suggestions of Deposit Product Design in Chinese Banking
ZHANG Qiao-yun CHEN Yue-jun (65)
商业银行会计业务处理模式变迁的操作风险及其防范
肖 艺 李海文 李 彦 (69)
Operational Risk in Commercial Bank's Accounting Treatment Model Transition and the Precaution Measures
XIAO Yi LI Hai-wen LI Yan (69)
调查报告
我国商业银行银保业务竞争力研究——基于工商银行江西省分行银保业务现状的分析
江西省城市金融学会课题组 (74)
Research on Chinese Commercial Banks' Competitiveness in Bancassurance Business——Based on the Status Quo of ICBC Jiangxi Branch's Bancassurance Business
The Study Group, Jiangxi Society of Urban Finance (74)
辨证看待近期商业银行信贷高速增长
樊志刚 何崇阳
［摘 要］ 自2008年11月我国适度宽松货币政策出台以后，商业银行信贷投放增速持续加快，在2009年1季度实现了4.58万亿元的巨量增长规模。信贷高速增长极大提振了社会信心，各类经济先行指标表明经济回暖迹象已经出现。本文分析了信贷高速增长对于改善企业及全社会流动性状况、促进经济周期结构调整方面的积极作用，剖析了信贷高速增长过程中值得关注的主要问题，归纳总结了信贷增长的发展方向，提出了商业银行在危机中实现生存与发展过程中需要处理好的几个方面的关系。
［关键词］ 商业银行；信贷规模；信贷结构；货币政策
［Abstract］ Since the promulgation of a moderately ease monetary policy in November 2008, Chinese commercial banks have been accelerating the pace of credit extension and new RMB loans hit record highs, amounting to RMB4.58 trillion, in the first quarter of 2009. The rapid credit growth significantly boosts the social confidence and leading indicators reveal that the economy is recovering. The paper analyzes the positive effects of rapid credit growth in increasing the liquidity of enterprises and the society and promoting the cyclical structural adjustment of the economy, scrutinizes several issues that attract wide-spread attention, summarizes the development direction of credit growth and proposes that commercial banks must properly handle three types of important relationships to achieve survival and development in the crisis.
［Key words］ commercial bank; the size of credit; structure of credits; monetary policy
当前我国商业银行票据贴现业务快速增长研究
张德银
［摘 要］ 当前，国内商业银行票据贴现业务的发展出现了迅猛增长的势头。本文认为：现阶段我国商业银行票据业务的快速增长，实际上是受企业、商业银行的利益驱动，加之制度层面上的一系列因素共同作用而出现的、特殊时期的特殊结果。尽管其主流层面上是健康的，但也存在着一些值得关注的问题。因此，在我国票据业务发展的初级阶段中，充分认识不规范发展票据业务的危害、强化贸易背景的审查、建立与我国现阶段票据业务发展相适应的贴现利率形成机制，以及商业银行票据业务发展的严格自律，将是商业银行票据业务健康、稳定和可持续发展的必要选择。
［关键词］ 商业银行；票据业务；票据贴现；经营策略
［Abstract］ Recently, the bills business of domestic commercial banks has developed rapidly. This trend is virtually driven by the interests of enterprises and commercial banks, with combination of effects of institutional factors, and is a special phenomenon during a special period. Although the bills business is healthy as a whole, some issues should be concerned. Therefore, during the initial stage of the development of bills business, commercial banks should pay more attention to the following issues to realize the healthy, stable and sustainable development of the business: (1) fully understanding the harm of unregulated development of bills business; (2) strengthening the investigation of real trade background; (3) establishing a formation mechanism of discounted interest rate suitable to the development status of Chinese bills business; (4) emphasizing the self-regulation of commercial banks.
［Key words］ commercial bank; bills business; discounted bills; operation strategy
异质提前还款因素下住房抵押贷款定价研究
王鹰翔 李 晔
［摘 要］ 基于引入宏观经济变量的仿射利率期限结构模型，本文构建了适合中国国情的提前还款模型。研究表明，国内住房抵押贷款的提前还款主要来自于收入和支付能力的提高。根据两个模型考虑了单因素和双因素两种情况，计算出相应的单月提前还款率（SMM）。在模型中考虑了异质性因素，加入了交易成本因素，并假设其服从beta分布，通过概率的变换得到SMM。在此基础上，在不同路径上模拟未来利率，利用提前还款模型对每条路径上的SMM进行计算，得到未来各期的现金流在某时点的折现值，而后对多条路径上的价格求算术平均值作为考虑提前还款后的住房抵押贷款理论价格。
［关键词］ 住房抵押贷款；违约风险；提前偿还风险；Kalman滤波
［Abstract］ By using an affine term structure model with introduction of macro-economic variables, the paper establishes a dynamic model to measure prepayment risk faced by Chinese commercial banks. The result reveals that the source of prepayment source on domestic residential mortgages mainly comes from the improvement of income. The corresponding single-monthly-mortality (SMM) is calculated from both single-factor and dual-factor perspectives. Given the assumption that SMM is subject to beta distribution, the model estimates SMM with consideration of the implications of heterogeneity and transaction cost. A Monte Carlo approach is applied to simulate the interest rates in different paths, based on which the prepayment model can measure SMM in each path and obtain the discounted cash flow at given points of time over each of future periods. The arithmetic mean of prices of different paths can be used as the theoretical price of residential mortgages with embedded prepayment risk.
［Key words］ residential mortgage；default risk; prepayment risk; Kalman filtration
关于以小企业贷款产品的价值基础定价的思考
陆岷峰 周海波
［摘 要］ 本文着眼于从小企业贷款的价值基础来寻找其产品定价的合理方案。虽然不同利益主体对于小企业贷款定价的观点不同，但这些主张均是从小企业贷款产品的外部因素而非从小企业贷款产品本身的价值出发来考虑其价格，结果往往会与价值规律相违背。本文结合小企业贷款产品的价值与特征，运用基准利率加风险溢价的模式对小企业贷款产品定价进行计算和分析。结果表明，小企业贷款利率可超过基准利率的61.5%，而当前商业银行小企业贷款定价远远背离了其产品的价值基础。因此，适度提高现行小企业贷款产品价格是当前解决小企业贷款难的关键所在。
［关键词］ 小企业贷款；产品定价；价值基础；商业银行
［Abstract］ This paper aims to design a reasonable pricing scheme from the perspective of the basic value of small enterprise loans. Although different parties hold different opinions on the pricing of small enterprise loans, these opinions are all based on external factors rather than the basic value of loans themselves, so the outcomes often deviate from the law of value. Taking the value and characteristics of small enterprise loans into account, the paper calculates and analyzes the pricing on small enterprise loans with the model of benchmark interest rate plus risk premium.The result shows that the price of small enterprise loan is 61.5% higher than the benchmark interest rate, and the present pricing of small enterprise loans deviates far from the basic value. Therefore, moderately increasing the price of existing small enterprise loans is the key to solve the difficulty in lending for small enterprises.
［Key words］ small enterprise loan; product pricing; basic value; commercial bank
推进人民币资本项目可兑换的相关问题研究
斯琴图雅
［摘 要］ 当前人民币已经实现了资本项目部分可兑换，但相对于我国经济发展需要仍明显滞后。尽快实现人民币资本项目可兑换是完善人民币汇率形成机制、进一步发展我国金融体系、提高我国企业国际竞争能力、提升外汇管制效率的迫切需要。当前的金融危机为人民币资本项目可兑换创造了良好机会。本文提出，应顺应形势进一步转变管制模式，短期内实现国内可兑换和对外投资可兑换，进而实现资本项目基本可兑换。在这一过程中亟待解决的问题包括：尽快完成相关配套改革，采取有效措施防范外来冲击，重视国际合作并加强金融监管。
［关键词］ 人民币；资本项目；资本市场；金融危机；浮动汇率
［Abstract］ Although China has achieved partial convertibility of RMB capital account, the development of RMB liberalization still lags behind the demand of Chinese economic development. Making RMB capital account convertible as soon as possible is urgent for improving the formation mechanism of RMB exchange rate, further enhancing Chinese financial system and strengthening Chinese enterprises' international competitiveness. The current financial crisis creates a unique opportunity to realize the convertibility of RMB capital account. The paper proposes that China should follow the development trend to further change the regulation pattern, and realize RMB convertibility for domestic transaction and overseas investment to prepare for the basic convertibility of RMB capital account. In this process, China must complete the reform required by the RMB liberalization, taking effective measures against external impacts and attach importance to international cooperation to make joint financial supervision.
［Key words］ RMB; the capital account; capital market; financial crisis; floating exchange rate
商业银行综合经营战略与路径研究
中国工商银行城市金融研究所课题组
［摘 要］ 基于对国内商业银行综合化转型市场背景的分析，根据风险－收益平衡原则、合规性原则和便于操作原则，本文提出金融控股公司模式是商业银行综合化转型的方向。商业银行，特别是大型商业银行可行的综合化转型路径包括新建与并购结合、国际化与本土化互动、子公司与事业部制并进以及产品渗透与资本融合兼顾。商业银行综合化转型应遵循渐进性原则加以推动，具体看可分三个阶段实现，即培育机制基础、搭建综合经营的体制框架；逐步拓展非银行业务市场，完善业务架构；积极推进银行业务与非银行业务在组织结构、人才、产品方面的整合。
［关键词］ 商业银行；综合经营；全能银行；混合金融控股公司；纯粹金融控股公司
［Abstract］ On the basis of analyzing market environment of integrated transformation faced by domestic commercial banks, the paper puts forward that the model of financial holding company is the direction of integrated transformation of commercial banks, according to the risk-return trade-off principle, compliance principle and convenience for operation principle. The feasible paths for integrated business transformation of commercial banks, especially large-sized banks, include the combination of green-field investment and acquisition, interaction between internationalization and localization, making an overall arrangement between subsidiaries and strategic business units and all-around consideration of product penetration and capital operation. The whole transformation process can be seperated into three stages: (1) to cultivate the institutional basis and build the system of integrated business; (2) to gradually expand non-banking business to perfect the business structure; (3) to actively integrate the organizational structure, talent persons and product lines of banking and non-banking business.
［Key words］ commercial bank; integrated business; universal bank; mixed financial holding company; purely financial holding company
金融地理视角下中国信贷供给的区域效应研究
刘淑芳 史 瑛 刘治国
［摘 要］ 本文从金融地理学角度出发，通过建立空间面板数据模型，利用空间探索分析技术对我国信贷投放区域效应产生的原因进行了实证分析。结果表明，地理空间效应对国内区域信贷投放影响显著，其中江苏、辽宁、黑龙江受空间因素影响最大，而北京、西藏、天津受地理因素影响相对较小，地理上相邻地区的贷款供给存在显著的相互作用。我国区域信贷投放表现出区域聚集和地域依赖的特征，加之商业银行微观行为造成的非理性后果，导致货币政策的执行效果存在明显的区域差异，削弱了货币政策执行的有效性。
［关键词］ 金融地理；区域效应；信贷供给；空间回归；延迟变量
［Abstract］ Based on the financial geography，the paper utilizes spatial auto-regression model with panel data and exploratory spatial data analysis to empirically analyze the factors that result in the regional effects of credit supply in China. The results show that the geographic characteristics significantly impact regional credit supply. In detail, three provinces of Jiangsu, Liaoning and Heilongjiang are affected most significantly, and the impacts of geographic factors on Beijing, Tibet and Tianjin are relatively weak. There is significant interaction of credit supply among geographically adjacent regions. Regional credit supply in China is characterized by regional concentration and geographic dependence. Such characteristics, combining with the irrational consequences resulted from micro-behaviors of commercial banks, lead to distinctive regional differences in effects of monetary policy and weaken the validity of monetary policy.
［Key words］ financial geography; regional effect; credit supply; spatial regression; lagged variable
中国银行业的宏观效率研究
王 平 邹 易 唐 柳
［摘 要］ 本文从银行功能和内生增长模型出发，定义银行宏观效率为储蓄率、储蓄投资转化率与资本贡献率的乘积，度量了银行的宏观效率。在1999~2008年10年间，中国银行业的宏观效率均值为1.17，在决定银行宏观效率的储蓄率逐步上升的同时，储蓄投资转化率相应地稳步下降，使得银行宏观效率呈现出先上升后下降的倒“U”型趋势，这对于经济增长有一定的促进作用。提高银行的宏观效率，必须扩大国民在银行的投资渠道，增加银行储蓄，减少政府对银行放贷的干预，提升储蓄投资转化率和资本贡献率，改革银行评价体系，创造良好的社会法律环境。
［关键词］ 储蓄率；储蓄投资转化率；资本贡献率；银行宏观效率
［Abstract］ Beginning with introduing bank's functions and endogenous growth model, the paper defines the macro-efficiency as the product of savings rate, savings-investment conversion ratio and capital contribution ratio and measures it with the data from 1999 to 2008. The result shows that the mean value of macro-efficiency of Chinese banking is 1.17. Along with the gradual increase of savings rate, the savings-investment conversion ratio steadily declined accordingly, resulting in the inverted U-trend of macro-efficiency of the banking. The rise-decline trend stimulates the growth of economy to some extent. To improve the macro-efficiency of the banking, the following measures are required: widening residents' investment in commercial banks, increasing savings in banks, reducing intervention of the government to bank's credit extension, enhancing savings-investment conversion ratio and capital contribution ratio, changing evaluation system of the bank and creating a nice social and legal environment.
［Key words］ savings rate; savings-investment conversion ratio; capital contribution ratio; macro-efficiency of the banking
次贷危机中房贷经纪商道德风险治理问题研究——从控制权配置的角度探讨
武 夏 陈学彬
［摘 要］ 近来在各方对次贷危机的反思中，次贷经纪商的道德风险开始受到政府、学界的关注。本文分析了经纪商、贷款公司、借款人三方的共同代理关系，指出次贷市场上经纪商不合理的佣金制是导致这一共同代理问题的症结所在。由于在原共同代理模型内求解无效，本文尝试为经纪商设计一个新的激励报酬支付形式，即由贷款公司向经纪商支付报酬，变共同代理为传统的双边代理，并通过比较改变控制权后私人收益和社会福利的增减，进一步表明由贷款公司发放激励报酬、获得对经纪商行为的控制权能够改善对经纪商道德风险的治理，增进贷款公司收益和社会福利。
［关键词］ 房贷经纪商；道德风险；共同代理；双边代理；控制权配置
［Abstract］ The moral hazard of mortgage brokers is attracting more and more attentions from U.S. government and scholars. The paper analyzes the joint agency relationship among brokers, mortgage companies and borrowers and points out that the problem lies in the unreasonable commission arrangement for brokers in the subprime mortgage market. Since it is ineffective to solve the problem under the traditional joint agency framework, the paper attempts to design a new incentive framework, under which mortgage companies are responsible for paying brokers to switch the joint agency to bilateral agency. By comparing the change of private earnings and social welfare before and after the switch of right of control, the paper further justifies that when mortgage companies pay for the compensation and obtain the right of control on broker's behaviors, the governance on moral hazard of brokers is improved and the social welfare and earnings of mortgage companies are increased too.
［Key words］ subprime mortgage broker; moral hazard; joint agency; bilateral agency; the allocation of right of control
计量技术在信用风险管理中的应用——兼论我国商业银行引进和运用计量技术中存在的问题及建议
于晨曦
［摘 要］计量技术在商业银行信用风险识别、度量、分析、防范等诸多方面发挥着日益显著的作用。本文在阐述现代信用风险计量技术的核心思想———VAR方法的基础上，系统比较了CreditMetrics模型、KMV模型、CreditRisk+模型和CPV模型４种信用风险计量模型。与国外银行相比，中国银行业受数据不足、引进技术消化吸收能力不足、体制不完善和人员素质有待提高等问题的影响，在风险管理方法中量化技术使用能力存在显著差距。作者提出中国银行业应尽快完善基础数据库，引进适宜的风险量化技术，加强对相关技术人才的培养，并努力创造良好的制度环境。
［关键词］ 信用风险管理；巴塞尔新资本协议；信用风险计量技术；内部评级法
［Abstract］ Measurement technology plays an increasingly important role in commercial banks identifying, evaluating, analyzing and taking precautions against credit risks. The paper first expounds VAR approach, the core idea of modern credit risk measurement technology, and systematically contrasts four main credit risk measurement models———CreditMetrics model, KMV model, CreditRisk+ model and CPV model. Chinese banking apparently lags behind foreign banks in the application of measurement technology in credit risk management, due to insufficient industrious data, poor assimilation of the introduced technology, unsound mechanism and lack of talent persons. The paper proposes that Chinese banking should improve the database as soon as possible, introduce feasible credit risk technology, strengthen the cultivation of relevant talents and attempt to create a sound system environment.
［Key words］ credit risk management; BASEL Ⅱ; credit risk measurement technology; internal ratings-based approach
中国银行业存款产品设计存在的问题与改进建议
张桥云 陈跃军
［摘 要］ 设计科学合理的存款产品是增强银行竞争力的重要措施。当前我国存在的存款产品种类少问题既与严格的金融监管有关，更与存款产品设计机制有关。本文在简要介绍美国银行业存款产品设计特点和分析我国银行业存款产品设计存在的主要问题的基础上，提出以下改进存款产品设计的建议：加快利率市场化改革，提高银行经营自主权；增加产品构成要素，平衡双方的权利与义务；区分资金交易和银行服务，改进存款定价方式；增加产品种类，提高客户的可选择性；改变过度平均化的产品设计思想，注重对市场进行细分。
［关键词］ 商业银行；存款产品；利率市场化
［Abstract］ Scientifically and rationally designing deposit products is a key method for banks to improve competitiveness. The problem of scare types of deposit products associates with not only strict financial supervision but also the design mechanism of deposit products. On the basis of briefing the features of deposit products in American banking and the main problems existing in Chinese banking's deposit product design, the paper proposes the following suggestions: (1) quickening the reform of interest rate liberalization to enhance bank's autonomous operation; (2) adding product elements to balance the rights and obligations between depositors and banks; (3)differentiating transaction of funds from bank's service to improve the deposit pricing approache; (4)enriching product catalogues to provide more choices for clients; (5) changing the designing notion that lacks differentiation to pay more attention to market segmentation.
［Key words］ commercial bank; deposit product; interest rate liberalization
商业银行会计业务处理模式变迁的操作风险及其防范
肖 艺 李海文 李 彦
［摘 要］ 随着商业银行会计业务由分散处理模式向集中处理模式的变迁，与集中处理模式共生的系统风险、规模化处理风险、前端风险控制弱化风险等操作风险类型渐露端倪。同时，渐进式改革必然面临的内控制度建设落后于业务发展等过程性风险，也不容忽视。商业银行操作风险管理者应当针对操作风险的不同类型，采取合理配置风险控制资源、风险点分层级管理、创新风险控制手段、完善风险控制制度、操作风险标准化管理等风险控制措施，构建与会计业务处理模式演进相适应的风险管理体系，提升风险防范的效率和效果，保证银行各项业务安全高效运行。
［关键词］ 商业银行；制度变迁；会计业务处理；操作风险；集中处理模式
［Abstract］ With the transition of accounting treatment in commercial banks from decentralized treatment model to centralized treatment model, the symbiotic risks with centralized treatment model, such as systematic risk, the risk resulted from large-scale treatment and weakened front-end risk control ability, are gradually emerging. At the same time, as evolutionary reform is bound to face the risk that the internal control system lags behind the development of business, we have to attach importance to the risks linked to the reform process. Commercial bank's management should adopt feasible risk precaution measures aiming to different operational risks, which include rationally allocating risk control resources, making hierarchical management on key risk points, innovating risk control approaches, improving the risk control system and carrying out standardized operational risk management. By establishing a risk management system that match the reform process of accounting treatment model, commercial banks can significantly advance the efficiency and effect of risk precaution and ensure business's healthy and efficient operation.
［Key words］ commercial bank; institutional transition; accounting treatment; operational risk; centralized treatment model
我国商业银行银保业务竞争力研究——基于工商银行江西省分行银保业务现状的分析
江西省城市金融学会课题组
［摘 要］ 面对全球经济金融一体化浪潮，国内金融经营格局正面临着变革。银保业务作为国际金融业新的利润增长极，近几年在我国发展迅速，且未来前景广阔，各商业银行对发展该项业务的重视程度不断加强，同业竞争日趋激烈。工商银行作为最先进入该项业务领域的商业银行之一，一度在同业市场中占据明显的先发优势，但同时也累积了一系列发展问题，使得竞争力受到一定程度的削弱。工商银行需要从战略管理、市场拓展、业务创新和服务保障等多方面着力，进一步打造工商银行银保业务核心竞争力，促进银保业务可持续健康快速发展。
［关键词］ 商业银行；工商银行；银保业务；保险公司；竞争力
［Abstract］ Under the integrated trend of global economy and finance, the operation pattern of domestic financial industry is changing. Bancassurance business, a new profit growth engine, has been experiencing hasty increase in recent years. Its great developing potential attracts commercial banks to attach more and more importance to it and triggers increasingly fierce competition. As one of pioneers in this business, ICBC has been occupying obvious preemptive advantages and accumulating series of problems as well, which impair its competitiveness to some extent. ICBC should further forge its core competence in bancassurance business from the perspectives of strategic management, market expansion, product innovation and service quality, to promote the sustainable and healthy development of bancassurance business.
［Key words］ commercial bank; ICBC; bancassurance business; insurance company; competitiveness
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