理论研究
中国上市银行特许权价值的自律效应
孙 犇 黄 河 (5)
The Self-Discipline Effects of the Chinese Listed Bank’s Franchise Value
SUN Ben HUANG He (5)
个人抵押贷款违约的相关性因素——基于Copula模型的研究
王鹰翔 王瑞峰 (10)
The Related Factors of the Defaults of Individual Mortgage Loans——A Study Based on Copula Model
WANG Ying-xiang WANG Rui-feng (10)
市场结构、资本监管与银行风险承担
宋 琴 郑振龙 (15)
Market Structure, Capital Regulation and Bank’s Risk-Taking
SONG Qin ZHENG Zhen-long (15)
应用研究
汇率变动对银行业经营绩效的影响
陈晓莉 杨 杨 (22)
The Impacts of the Exchange Rate Fluctuation on the Bank’s Operation Performance
CHEN Xiao-li YANG Yang (22)
贷款规模与授信企业社会责任的表现
萧松华 沈 毅 (29)
The Size of Loan and the Performance of Credit-Granting Enterprise’s Social Responsibility
XIAO Song-hua SHEN Yi (29)
银行间国债市场流动性黑洞的诱导因素
马俐丽 顾金宏 (35)
The Inducing Factors of the Liquidity Black Holes in the Chinese Inter-Bank Treasury Bond Market
MA Li-li GU Jin-hong (35)
业务探讨
商业银行并购业务协同增值机制研究
陶能虹 邓 雄 (42)
A Study of the Synergistic Value-Added Mechanism of the Commercial Bank’s M & A
TAO Neng-hong DENG Xiong (42)
小企业融资与银行经营转型——基于中国工商银行广东省分行相关实践的分析
施 刚 (50)
Small Enterprise Financing and Bank’s Business Transformation——An Analysis Based on the Relevant Practice of ICBC Guangdong Branch
SHI Gang (50)
商业银行的信息科技风险及其防范
杨 涛 (55)
The Commercial Bank’s Information Technology Risk and the Prevention
YANG Tao (55)
碳金融发展及其对商业银行的启示
蔡宁伟 (61)
The Development of Carbon Finance and Its Implications for Commercial Banks
CAI Ning-wei (61)
从全球银行排名看银行业的发展趋势
中国工商银行城市金融研究所课题组 (69)
A Banking Trend Analysis Based on the World Banks Ranking
The Study Group of ICBC Urban Finance Research Institute (69)
调研报告
微型企业信贷违约风险的影响因素——对安徽省亳州市农村信用社的调查
马 宇 (76)
The Factors of the Default Risk of the Micro-Enterprise Credit——Based on the Investigation of the Rural Credit Cooperatives of Bozhou City, Anhui Province
MA Yu (76)
中国上市银行特许权价值的自律效应
孙 犇 黄 河
［摘 要］ 银行特许权价值是银行风险自我约束的重要机制。本文使用托宾Q值衡量了中国14家上市银行的特许权价值，借助面板数据回归分析对银行特许权价值的自律效应进行了实证检验。结果表明：上市银行特许权价值对反映外部评价的市场风险确实存在着自律效应，但还未对表现为内部风险控制的资本充足率产生显著作用。因国家对银行业提供了全面担保，银行所有制性质对银行风险无显著影响。随着银行业竞争日趋激烈，通过引导商业银行提升特许权价值来激励银行审慎经营并加强内部风险控制，对后金融危机时期中国银行业的健康稳定发展具有积极意义。
［关键词］ 上市银行；银行特许权价值；自律效应；金融体系稳定
［Abstract］ The bank’s franchise value is an important mechanism for the bank to restrict its own risks. With Tobin’s Q, this paper measures the Chinese 14 listed banks’ franchise values and, with the regression analysis of the panel data, examines the self-discipline effects of the bank’s franchise value.The results show that, to the market risks that reflect the external evaluation, the listed bank’s franchise value has the self-discipline effects, but to the capital adequacy ratio that reflects the internal risk control, it doesn’t has the significant effects. Because the nation provides a comprehensive security for the bank, the bank’s ownership has no significant effects on the bank’s risks. Along of the increasingly banking competitive, it has a positive significance for the healthy and stable development of the Chinese baking after the financial crisis to guide the commercial banks to enhance their franchise values, encourage the banks’ prudent operation and to strengthen the internal risk control.
［Key words］ listed bank; bank’s franchise value; self-discipline effects; financial system stability
个人抵押贷款违约的相关性因素——基于Copula模型的研究
王鹰翔 王瑞峰
［摘 要］ 运用国内商业银行积累的大量数据，统计得到银行个人客户住房抵押贷款多年度、不同信用等级、不同身份特征、分行业和分地区的违约情况，进行非线性的拟合分析，并采用Copula函数度量个人客户违约之间的相关性及厚尾特征。研究表明，房屋价格、客户性别以及受教育程度等与违约概率相关性比较低，在考察的样本区间内，这些因素不显著导致违约发生。另外，信用等级、收入结构和抵押担保剩余额度是影响个人违约决策的重要变量。所采用的模型在个人住房抵押贷款定价与风险管理中获得较好效果， 银行可以根据违约状况的变动制定动态利率，随时准备弥补损失。
［关键词］ 商业银行；个人住房抵押贷款；违约风险；Copula函数；模拟测算
［Abstract］ By means of domestic commercial banks’ accumulated data, the author counts the defaults of the banks’ individual mortgage loans of the multi-year, different credit ratings, different identities, different sectors and different regions, makes the non-linear simulation and examines the related factors of the individual defaults and the fat tail with the Copula function. The results show that there is a relatively low correlation between the housing price, the customer’s gender and education level and the probability of default. Within the study samples, these factors do not significantly cause the default. In addition, the credit rating, the income structure and the remaining amount of the collateral are important variables in the individual decision-making of the default. The model used in the paper obtains better results in the pricing and risk management of the individual housing mortgage loans. According to the change of the default, the bank can determine dynamic interest rates and get ready to make up for losses whenever necessary.
［Key words］ commercial bank; individual housing mortgage loans; default risk; Copula function; simulation calculation
市场结构、资本监管与银行风险承担
宋 琴 郑振龙
［摘 要］ 本文借鉴市场结构、资本监管与商业银行风险承担的模型进行分析。研究发现：（1）在市场集中度低的条件下，资本监管在减少银行风险承担行为上是有效的，但在市场集中度高的条件下，资本监管对银行风险承担行为的影响不明确；（2）通过选取2003~2008年中国大型商业银行的样本，计算市场集中度指标CR5，并采用格兰杰因果关系检验，结果表明：中国银行业的市场结构为中集中度寡占型市场结构，且与资本充足率呈反方向变化，资本充足率的变化将影响中国银行业市场集中度的变化。因此，银监会的监管设计应结合中国银行业的市场结构。
［关键词］ 商业银行；市场结构；资本充足率；风险承担
［Abstract］ Learning from the model of the market structure, the capital regulatory and the commercial bank’s risk-taking, the analysis of the paper finds that:（1）under the conditions of low market concentration, the capital regulation can effectively reduce bank’s risk-taking behavior, but under the conditions of high market concentration, it is not clear whether the capital regulation will affect bank’s risk behavior, （2）selecting the Chinese big commercial banks’ samples from 2003 to 2008, the author calculates the market concentration index CR5 and makes the Granger causality test. The results show that the Chinese banking market structure is a type of the medium-concentration oligopoly market and it changes in the opposite direction of the capital adequacy ratio. The change in the capital adequacy ratio will affect the change in the market concentration of the Chinese banking. Therefore, the design of the CBRC ’s regulation should be combined with the market structure of the Chinese banking.
［Key words］ commercial bank; market structure; capital adequacy ratio; risk-taking
汇率变动对银行业经营绩效的影响
陈晓莉 杨 杨
［摘 要］ 本文通过构建一阶差分广义矩（GMM）检验模型，利用中国上市银行的财务数据检验了汇率变动带来的银行净资产变化，以及这种变化对银行信贷量和存款量的影响，即汇率变动的资产负债表效应。结果表明：这种资产负债表效应确实存在，但存在滞后性。由此提出以下风险防范措施：货币当局应该加强对银行错配的谨慎性监管，以确保银行对其客户的汇率风险进行有效的管理；培养市场参与者的风险意识，废除不适合的交易制度安排。金融机构要利用外汇衍生产品规避外汇市场风险，开办外汇新业务，同时注意防范市场风险。
［关键词］ 外汇风险； 货币错配； 商业银行；经营绩效
［Abstract］ By constructing the GMM model and utilizing the listed bank’s financial data, the paper examines the bank’s net assets changes caused by the exchange rate fluctuation and the affects of the changes on the amount of bank’s loans and deposits, i.e. the balance sheet effects of the exchange rate fluctuation. The results show that the balance sheet effects do exist, but they are lagged. Thus the author proposes the following measures to prevent risks: the monetary authority should strengthen the prudence supervision of the bank’s mismatch to ensure the bank’s effective management of the clients’ exchange rate risk; the regulation authority should culture the market participant’s risk awareness and abolish the inappropriate arrangements for the trading system. Financial institutions should utilize the derivatives to avoid the risks of the foreign exchange market, develop new business, meanwhile, take care to prevent market risks.
［Key words］ foreign exchange risk; currency mismatch; commercial bank; operation performance
贷款规模与授信企业社会责任的表现
萧松华 沈 毅
［摘 要］ 本文基于2004～2008年中国上市公司面板数据，对商业银行贷款规模与授信企业社会责任表现之间的关系进行检验。结果表明：商业银行贷款规模与授信企业的社会责任表现之间呈负相关关系。据此，本文认为，政府和监管当局应进一步推动各类企业承担社会责任；商业银行应增强包括自身和授信企业的社会责任观念，将其列入银行的战略和核心价值观体系；积极探讨和构建授信企业社会责任表现的评价指标，以便准确地衡量其履责的实际状况；将授信企业的社会责任表现纳入其贷款决策考量机制中，从而促进商业银行和授信企业更好地履行社会责任。
［关键词］ 商业银行；贷款规模；企业社会责任
［Abstract］ Based on the panel data of the Chinese listed enterprises from 2004 to 2008, this paper examines the relationship between the size of commercial bank’s loan and the performance of the credit-granting enterprise’s social responsibility. The results show that there is a negative correlation between the size of commercial bank’s loan and the performance of the credit-granting enterprise’s social responsibility. Accordingly, the paper argues that the government and the regulatory authority should further promote the various types of enterprises to take social responsibility. The commercial bank should strengthen its own and the credit-granting enterprise’s concepts of the social responsibility, include the concepts in the bank’s strategy and the core value system, actively explore and construct the evaluation indicators system of the performance of the credit-granting enterprise’s social responsibility in order to accurately measure the actual situation that the enterprise fulfills its own responsibility. It is necessary that the performance of the credit-granting enterprise’s social responsibility is included in the decision mechanism of the bank’s lendings, thus to encourage the bank and the credit-granting enterprise better to fulfill their social responsibilities.
［Key words］ commercial bank; size of loan; enterprise’s social responsibility
银行间国债市场流动性黑洞的诱导因素
马俐丽 顾金宏
［摘 要］ 本文将诱导因素作为调节变量引入债券收益与交易变化量双变量自回归模型，利用银行间国债市场逐笔交易面板数据，对诱导因素的影响进行实证检验，结果表明：中国银行间国债市场确实存在流动性黑洞；双边报价商数量对国债收益与交易指令流之间的双向关系产生了正向影响，双边报价商数量较少，市场交易主体多样性不足，是导致市场流动性黑洞产生的重要原因之一。为了增加银行间国债市场的流动性，避免流动性黑洞的发生，应该增加市场交易主体的多样性；鼓励多样性的风险管理方法；增加国债品种的多样性并扩大国债流通范围。
［关键词］ 中国银行间国债市场；流动性黑洞；诱导因素
［Abstract］ In this paper, the inducing factors, as the moderators, are introduced in the VAR model of the bond yields and trading volume. Based on the panel data in each transaction of the inter-bank treasury bond market, the paper empirically examines the impacts of the inducing factors. The results show that, in the Chinese inter-bank treasury bond market do exist the liquidity black holes; the number of the buying-sale price providers has a positive effect on the two-way relationship between the revenue of the treasury bond and the stream of the transaction orders; the small number of the purchase-sale price providers and the insufficient diversity of the traders are one of the important reasons of the liquidity black holes. In order to increase the liquidity in the inter-bank treasury bond market and to avoid the occurrence of the liquidity black holes, it’s necessary to increase the diversity of the market traders, encourage the diverse approaches of risk management, increase the diversity of the treasury bond species and expand the circulation range of the treasury bond.
［Key words］ Chinese inter-bank treasury bond market; liquidity black holes; inducing factors
商业银行并购业务协同增值机制研究
陶能虹 邓 雄
［摘 要］ 并购是商业银行拓展机构网络和业务布局，打造盈利增长点的重要途径，获得协同效应是实现并购价值的基础。参照国内外商业银行并购案例和着眼于商业银行并购全过程的分析表明，并购协同效应可以分为并购执行协同增值、并购整合协同增值和并购合作协同增值。建立并购业务协同增值机制可从以下方面入手：一是规范并购业务操作流程，实现并购执行过程中的信息协同、部门协同和团队协同；二是对口管理、全面融合、联动运转，实现并购整合过程中的财务协同、管理协同和业务联动协同；三是广泛了解、善于发现、纵横贯通，实现与并购对象及其原股东、参股公司等的合作协同。
［关键词］ 商业银行；并购业务；协同效应；增值机制
［Abstract］ The merger and acquisition（M & A） is an important way for the commercial bank to expand the network of institutions and the business layout, and to create profitable growth. The synergistic effect is the basis to achieve the value of the M & A. The domestic and foreign commercial banks’ M & A cases and the analysis of the whole process of commercial banks’ M & A show that the synergistic effect of the M & A can be divided into the synergistic value-added of the implementation, the synergistic value-added of the integration, the synergistic value-added of the cooperation. The mechanism of the synergistic value-added of the M & A can be established in following ways: first, to standardize the operational processes of the M & A to acquire the information synergy, the department synergy and the team synergy in the implementation process of the M & A; second, to carry out the coordination management, the full integration and the joint operation to acquire the financial synergy, the management synergy and the business interaction synergy; third, to search and find the all links to acquire the cooperative synergy of the M & A target, the original shareholders and the shareholding companies.
［Key words］ commercial bank; M & A; synergistic effect; value-added mechanism
小企业融资与银行经营转型——基于中国工商银行广东省分行相关实践的分析
施 刚
［摘 要］ 为解决小企业融资难问题，工商银行广东省分行以专业市场为切入点，通过创新风险控制方式，以“专业换砖头”，实施“专业市场、专业产品、专业管理”的“三专”模式，跳出以抵押物为核心的传统经营思路，通过挑好选好专业市场和目标客户，设计好专业产品和落实好专业风险控制这三项主要措施来经营小企业金融业务。该项工作在促进小企业业务可持续发展的同时，实现了银行自身的经营转型。本文还针对目前“三专”模式面临的一些问题提出相关的政策建议如下：突出重点、盘大做强；营造良好的信用环境；加强管理、积极引导；财政支持；加大政策支持力度等。
［关键词］ 广东省；小企业融资；产业集群；专业市场；银行经营转型
［Abstract］ To solve the problem of small enterprise financing, the ICBC Guangdong Branch, through the professional market as entry point, the innovative risk management approach and with the profession in exchange for“bricks”, changes the traditional business ideas that collateral is the core, implements the“three P” model——professional market, professional product and professional management, and takes three measures which include the selection of good professional market and target customer, the design of the good product and the implementation of good professional risk control, to run the business of small enterprise financing. The Guangdong Branch’s work has promoted the sustainable development of the small enterprises, meanwhile, the bank has achieved its own business transformation. Aimed at the current problems that the “three P” model faces, the article proposes the policy recommendations as follows: to highlight the business focus and become bigger and stronger; to create a favorable credit environment; to strengthen management and active guide; to give the financial support and greater policy support, etc..
［Key words］ Guangdong province; small enterprise financing; industrial clusters; professional market; bank’s business transfor-mation
商业银行的信息科技风险及其防范
杨 涛
［摘 要］ 随着信息科技在商业银行的广泛应用，商业银行既要面对传统的操作风险、信用风险、市场风险，又面临信息技术与银行业务交融引发的新风险——商业银行信息科技风险，其包括来自银行自身的操作风险、技术风险、信息孤岛效应、系统闲置风险等内部风险和来自客户、供应商和服务商以及非特定侵害者的外部风险。这些风险固然难度量、易扩散、影响大，但从内在本质特征上来看表现为一种可防可控的管理风险，外在表现为声誉下降风险。因此，要将信息科技风险管理制度化、常态化，落实全面风险管理、IT资源配置和业务协调发展，减少对国外技术和服务的依赖。
［关键词］ 信息科技风险；内部风险；外部风险；管理风险；全面风险管理
［Abstract］ With wide use of the information technology in commercial bank, the commercial bank has to face not only the traditional operational risk, credit risk, market risk, but also the new risks caused by the blend of the information technology and the banking business——the commercial bank’s information technology risks, which include the operational risk, the technology risk, the information island effect, the idle risk of the system and other internal risks from the bank and the external risks from the customers, suppliers ,service providers as well as non-specific aggressors. Of course, it is difficult to measure the risks, in addition the risks can easily spread and their impacts are great, but from the perspective of their inherent nature and characteristics, they are the preventable and controllable management risks and their external manifestations are the risks of the reputation decline. Therefore, it is necessary to institutionalize and normalize the management of the information technology risk, implement the comprehensive risk management, the allocation of the IT resources and the coordinated development of the business to reduce the dependence on the foreign technology and services.
［Key words］ information technology risk; internal risk; external risk; management risk; comprehensive risk management
碳金融发展及其对商业银行的启示
蔡宁伟
［摘 要］ 碳金融的兴起源于国际气候政策的变化，本文回顾了碳金融的概念和提出，总结了碳金融的现状和发展，分析了碳金融对中国商业银行的内外机遇和挑战，从6个方面探索了国内商业银行碳金融的业务、工具和产品创新。目前，国内碳金融市场机制亟待建立健全，国内商业银行对碳金融业务的认识不足，缺少专业机构和专业人才，碳金融业务存在较大和较多的风险等都制约了碳金融的发展。因此，仍需通过健全良好的公司治理结构、建立碳金融业务专业团队、参与和促进中介组织建设、构建跨国金融战略联盟、推进人民币的国际化进程这5项创新促进碳金融发展。
［关键词］ 碳金融；碳交易；商业银行；碳金融市场机制；金融创新
［Abstract］ The rise of carbon finance origins from the change in the international climate policy. This article reviews the concept and the appearing of carbon finance, summarizes the current situation and the development of carbon finance and analyses the internal and the external opportunities and challenges to the Chinese commercial banks. The article explores the business, tools and product innovation of the domestic commercial banks’ carbon finance from six aspects. Currently, it is urgent to establish and improve the mechanism of the domestic carbon market. The domestic commercial banks lack of the understanding of carbon finance business, the professional institutions and talents and there is a big risk in carbon finance business, all of which restrict the development of carbon finance. Therefore, it is necessary to promote the development of carbon finance through improving the corporate governance structure, establishing the team of carbon finance business, joining and promoting the establishment of intermediary organizations, building the cross-border financial strategic alliances, promoting the process of RMB’s internationa-lization.
［Key words］ carbon finance; carbon trading; commercial bank; market mechanism of carbon finance; financial innovation
从全球银行排名看银行业的发展趋势
中国工商银行城市金融研究所课题组
［摘 要］ 英国《银行家》杂志发布2010年度全球1 000家大银行排名。根据最新榜单，发达经济体银行业全球排名整体较上年有所改善，新兴市场表现突出，中资银行入围数量达84家。千家大银行排名历史数据显示，近20年东方银行业出现加速成长态势，未来银行业重心将实现从西到东的转移，国际银行业多元格局也将逐步形成。本轮全球金融危机对国际银行业的经营模式产生了重要影响，未来金融监管力度的增强及英法德等欧洲国家的“银行税”政策将导致银行业去杠杆化趋势得以延续并进一步强化。此外，全球银行业资产质量面临挑战，特别是欧洲银行业存在巨大风险敞口。
［关键词］ 金融危机；国际银行业；一级资本；资产；利润
［Abstract］ The Banker has published the top 1 000 world banks ranking of the year 2010. According to the latest list, compared with the previous year，the overall world rankings of the banks in the developed countries have improved. The performance of the emerging markets is outstanding and up to 84 Chinese banks are on the list. The historical data of the top 1 000 world banks ranking show that, in the last 20 years, the eastern banking appears to grow rapidly and the future focus of the world banking will shift from the west to the east, meanwhile the diversified pattern of the international banking will gradually take shape.The current world financial crisis has an important impact on the business model of the international banking. In the future, the enhanced financial supervision, the British, the French, the German and the other European countries’“bank tax” policies will lead the banking to continue and strengthen the deleveraging trend. Moreover, the asset quality of the world banking faces challenges. Especially in Europe, there is a huge exposure to its banking.
［Key words］ financial crisis; international banking; core capital; assets; profits
微型企业信贷违约风险的影响因素——对安徽省亳州市农村信用社的调查
马 宇
［摘 要］ 本文在对安徽亳州农村信用社实地调查的基础上，利用Logistic模型对微型企业信贷违约的微观影响因素进行实证分析，结果表明：微型企业所处地理位置对违约风险影响显著，地处城区企业的违约概率小于地处乡镇和农村地区的企业，即区位优势对企业的经营有很大影响；贷款用途对企业违约风险影响显著，即将贷款用于流动资金周转的风险小于购买固定资产；贷款金额和期限对违约风险影响显著，即贷款数额越大，期限越长，违约风险越大；企业负责人受教育程度对违约风险影响显著，即负责人受教育程度越高，违约风险越小；另外，女性负责人的违约概率低于男性负责人。
［关键词］ 安徽；农村信用社；微型企业；违约风险；区位优势
［Abstract］ Based on the investigation of the rural credit cooperatives of Bozhou city, Anhui province and the Logistic model, this paper empirically analyses the micro-factor affecting the credit default of micro-enterprise.The results show that, the geographical location of the micro-enterprise significantly impacts on the default risk; the default probability of the enterprise located in the city is less than that of the enterprise located in town or rural area, which means that the location advantage has a significant impact on the operation of the enterprise; the purposes of the loan significantly impacts the default risk of the enterprise, i.e. the risk of the loan used for the cash flow is less than that for purchasing fixed assets; the amount and duration of the loan significantly impacts on the default risk, i. e. the bigger the amount and the longer the duration, the greater the risk; the education level of the enterprise’s responsible person significantly impacts on the default risk, i. e. the higher the level, the less the risk. In addition, the responsible female person’s default probability is less than that of male person’s.
［Key words］ Anhui; rural credit cooperatives; micro-enterprise; default risk; regional advantage