中国金融开放的外源性风险评估与预警机制
傅 强 张小波 (3)
The Assessment and Early Warning Mechanism of the Exogenous Risk of China’s Financial Opening
FU Qiang ZHANG Xiao-bo (3)
中国商业银行国别风险与管理研究
郭婷婷 尚金峰 (12)
A Study of Country Risk and Risk Management of China’s Commercial Banks
GUO Ting-ting SHANG Jin-feng (12)
宏观审慎监管框架对银行业的影响与启示
何小杨 (19)
The Influence of Macro-Prudential Regulation Framework on the Banking and the Inspiration
HE Xiao-yang (19)
“中国版巴塞尔协议Ⅲ”对银行业的影响分析
贺建清 (25)
The Influence of Basel Ⅲ of Chinese Version on the Banking Sector
He Jian-qing (25)
投商互动与银行经营转型
施 刚 (33)
The Interaction between Investment Banking and Commercial Banking and Bank’s Business Transformation
SHI Gang (33)
中国上市银行内部治理机制分析——基于中外比较的视角
孙君阳 徐 娜 (38)
The Analysis of Internal Governance Mechanisms of China’s Listed Banks —— A Perspective Based on the Comparison between China and Foreign Countries
SUN Jun-yang XU Na (38)
投资者情绪、证券价格波动与银行业稳定
谭政勋 沈 阳 (45)
Investor Sentiment, Security Price Fluctuation and Banking Stability
TAN Zheng-xun SHEN Yang (45)
中国存贷款市场势力的运动趋势及内在演进规律
汪贵浦 阮盼昕 陈明亮 (52)
The Movement Trends and the Intrinsic Law of Evolution of China’s Deposit and Loan Markets Forces
WANG Gui-pu RUAN Pan-xin CHEN Ming-liang (52)
中国银行业贷款产品定价机制比较分析
曹利莎 张同建 (59)
The Comparative Analysis of Loan Pricing Mechanism of Chinese Banking
CAO Li-sha ZHANGTong-jian (59)
商业银行财务集中的管理框架与创新思路
陈全兴 (64)
The Management Framework and Innovation Thoughts of Centralized Finance in Commercial Banks
CHEN Quan-xing (64)
商业银行跨业经营与风险传导研究
宋婷婷 杜春雷 (70)
Research on Commercial Bank’s Cross-Industry Operation and Risk Transmission
SONG Ting-ting DU Chun-lei (70)
城市商业银行跨区域扩张的收益和风险
刘 飞 (75)
Benefits and Risks of City Commercial Banks to Expand across Regions
LIU Fei (75)
中国金融开放的外源性风险评估与预警机制
傅 强 张小波
［摘 要］ 本文在构建金融开放的外源性风险指标体系的基础上，提出了评估金融开放外源性风险的“3δ”原理和风险的神经网络预警模型。利用中国金融开放的风险指标数据进行的分析结果显示，中国当前金融开放的风险级别处于安全状态。对26个发展中国家金融开放外源性风险的评估和预警表明，该原理和预警模型对金融开放的外源性风险的评估与预警具有一定的实用性和可操作性。为此，本文提出管理部门应从当前的合规性监管转移到对金融开放的外源性风险的重点关注上，建立科学有效的金融开放评估与预警体系机制，调整和改革金融监管体系，以适应金融全球化的需要。
［关键词］ 金融开放；外源性风险；风险评估；预警机制
［Abstract］ On the basis of building exogenous risk index system of financial opening, this paper proposes a 3δ principle, which assesses the exogenous risk of financial opening, and a neural network model of early risk warning. The results of the analysis based on the data of the risk indexes of China’s financial opening show that the current risk level of China’s financial opening is in a safe state. The assessment and early warning of exogenous risks of 26 developing countries’ financial opening show that the principles and early warning model are practical and feasible to a certain extent. Therefore, the paper suggests that the administration should transfer current compliance regulation to focusing on the exogenous risk of financial opening, establish a scientific and effective assessment and early warning system for financial opening, and adjust and reform the financial regulatory system to adapt to financial globalization.
［Key words］ financial opening; exogenous risk; risk assessment; early warning mechanism
中国商业银行国别风险与管理研究
郭婷婷 尚金峰
［摘 要］ 随着我国商业银行跨国经营的开展，越来越多的业务受到国别风险的影响。国别风险与商业银行从事国内业务时遇到的一般风险有显著区别，表现形式更加复杂与多样，它将降低跨国投资的预期收益，并且沿着债务链迅速传导到世界其他国家。国别风险的出现对商业银行的风险管理提出了更高的要求，商业银行必须有效识别、准确评估国别风险，设定国别风险限额，维护敞口计量模型和评级模型，根据国别风险的变化及时调整模型，对客户给予风险提示和预警，依据客户所在国家、客户类型、所属行业、信用等级、客户规模等因素制定不同类型客户的准入标准。
［关键词］ 商业银行；跨国经营；国别风险；风险管理
［Abstract］ As China’s commercial banks gradually carry out cross-border operations, more and more business is subject to country risk.Country risk is obviously different from the risk of commercial bank’s domestic business and its forms are more complex and diverse. It will reduce the expected return of cross-border investment and transmit to the rest of the world along the chain of debt. The emergence of country risk calls for higher requirements for risk management of commercial banks. Commercial banks must effectively identify and accurately assess country risk, set country risk limit, maintain exposure measurement model and rating model, adjust the models according to the change of country risk in time, remind customers about the risk, set access standards for different types of customers according to country, customer type, industry, credit grade, customer size and other factors.
［Key words］ commercial bank; cross-border operation; country risk; risk management
宏观审慎监管框架对银行业的影响与启示
何小杨
［摘 要］ 加强宏观审慎监管已成为后危机时代国际金融监管改革的主旋律。本文在介绍宏观审慎监管内容的基础上，深入分析了该监管对中国银行业带来的影响：资本质量要求提高，发展表外业务受限；动态拨备制度建立，挑战传统盈利模式；流动性要求提高，调整结构势在必行。据此提出应积极调整业务结构，构建资本节约型发展模式；实现综合化经营，推动业务转型；实施跨国经营，加快国际化进程。中国银行业还要特别关注监管与中国国情相适应，引进的工具方法与转变风险管理理念相统一，监管与宏观经济调控相结合。
［关键词］ 金融监管；宏观审慎；系统性风险；资本节约型
［Abstract］ In the post-crisis period, strengthening macro-prudential regulation has become the main theme of international financial regulation reform. After expounding the contents of macro-prudential regulation, the paper deeply analyzes its influence on Chinse banking. For instance, tightened requirements for capital quality will restrict the development of off-balance sheet business; the dynamic provisioning system will challenge the traditional profit mode; the more stringent requirements for liquidity suggest a need for structure adjustment. Furthermore, the paper puts forward that commercial banks should proactively adjust business structure to establish a capital-saving development mode, accelerate comprehensive operation to push forward business transformation, and implement multinational operation to accelerate the process of internationalization. Chinese banking also needs to pay special attention to the adaptability of regulation policy to Chinese conditions. The introduced instruments and appraoches should be united with the change of risk management idea, and macro-prudential regulation is required to be in line with macro-control.
［Key words］ financial regulation; macro-prudential; systemic risk; capital-saving mode
“中国版巴塞尔协议Ⅲ”对银行业的影响分析
贺建清
［摘 要］ 在《巴塞尔协议Ⅲ》的基础上，结合中国实际，中国银监会颁布了“中国版巴塞尔协议Ⅲ”，即《中国银行业实施新监管标准指导意见》，确立了中国银行业实施新监管标准的政策框架。经过对比《巴塞尔协议Ⅲ》与“中国版巴塞尔协议Ⅲ”发现，新监管标准将对中国银行业的发展产生深远影响：新资本充足率标准使中国商业银行在长期将面临资本补充压力，流动性监管标准促进银行业务转型，拨备率和杠杆率监管标准抑制商业银行的信贷扩张冲动。拓宽资本补充渠道、促使经营模式转型、强化风险管理，走内涵式发展道路将是中国商业银行增强风险抵御能力，适应新监管标准的有效对策。
［关键词］ 巴塞尔协议Ⅲ；中国版巴塞尔协议Ⅲ；银行业监管体系；资本充足率
［Abstract］ After Basel Ⅲ was issued, China Banking Regulatory Commission promulgated Instruction Opinion to Implement New Supervision Standard on Chinese Banking Industry, called Basel Ⅲ of Chinese version, and established the policy framework to implement the new supervision standard for Chinese banking sector. By comparing Basel Ⅲ and the Chinese version, the paper points out that the new supervision standard will influence the development of Chinese banking sector profoundly. The new capital adequacy standard makes Chinese commercial banks face long-term capital supplement pressure, regulation standard for liquidity promotes the transformation of bank business, and regulation standards for the ratio of provision rate and leverage suppress the impulse of commercial banks in credit expansion. Expanding capital supplement channel, accelerating business transformation, strengthening risk management and choosing a connotative development road are effective countermeasures to adapt to the new supervision standards.
［Key words］ Basel Ⅲ; Basel Ⅲ of Chinese version; regulation system of the banking sector; capital adequacy ratio
投商互动与银行经营转型
施 刚
［摘 要］ 金融危机后，广东企业积极抢滩资本市场，并购重组、私募引资等资本化运作越来越多。这种金融脱媒趋势对银行的综合化、一体化服务能力以及风险管理能力提出更高的要求。为此，工商银行广东省分行积极开拓，大胆探索，初步形成了“投行开路、商行跟进，或是投商互动，产业上下游全链条，产品表内外全覆盖，境内外服务一体化”的发展新模式，成功运作了明阳风电赴美上市项目，在促进广东分行盈利可持续增长的同时，实现了经营转型。本文还针对该模式面临的一些问题提出如下建议：培育上市后备企业；加大产品创新力度；提升风险控制水平；加强对银行的业务指导。
［关键词］ 广东省；投资银行业务；投商互动；银行经营转型
［Abstract］ After the financial crisis, enterprises in Guangdong Province had been proactively racing into capital market, and various capitalization operation, such as merger, acquisition and PE, became more and more frequent. Such trend of financial disintermediation puts forward higher requirements for bank’s ability to provide comprehensive and integrated service. Therefore, ICBC Guangdong Branch vigorously explored a new development mode as follows: using investment banking as pioneer and commercial banking to provide following-up service, or emphasizing the interaction between investment banking and commercial banking to service whole industrial chain from upstream to downstream, effectively utilize all on- and off-balance sheet products and provide integrated service for both domestic and foreign clients. According to this development mode, Guangdong Branch also successfully operated the project of Mingyang Wind Power to list in the United States. Guangdong Branch successfully achieved both sustainable growth of profitability and business transformation. The paper puts forward the following suggestions to further perfect the development mode: cultivating reserved enterprises for listing, strengthening product innovation, improving risk control, and enhancing business instruction to banks.
［Key words］ Guangdong Province; investment banking; the interaction between investment banking and commercial banking; bank’s business transformation
中国上市银行内部治理机制分析——基于中外比较的视角
孙君阳 徐 娜
［摘 要］ 本文将股权结构、董事会安排、高管薪酬等内部治理要素纳入到银行公司治理的范畴，在比较国外上市银行两种典型的治理模式的基础上，分析我国上市银行的内部治理机制。结果发现，中国上市银行股权结构存在股东属性多元化、股权集中度和制衡度差异明显等特征；董事会的职能定位介于盎格鲁—撒克逊模式和欧洲大陆模式之间，从形式上看是一种混合模式，从权力配置角度看是一种单一决策、双重监督的治理结构；中国上市银行高管的薪酬形式基本上是以短期激励效应的现金薪酬为主，没有长期激励效应的限制性股票奖励和股票期权等薪酬形式。
［关键词］ 上市银行；公司治理；股权结构；董事会安排；高管薪酬
［Abstract］ Ownership structure, board arrangements, senior management’s remuneration and other elements of internal governance being brought into bank corporate governance,this paper, based on the comparison of two typical governance models of foreign listed banks, analyses the internal governance mechanisms of China’s listed banks. The results show that the ownership structures of China’s listed banks have the characteristics of diversified shareholder property, significantly different ownership concentration and different degree of checks and balances. The function of the board of director is defined between Anglo- Saxon mode and continental Europe mode, which is a hybrid mode in form and a single decision-making, dual supervision governance structure in power configuration. The remuneration of senior management of China’s listed banks is basically cash-based, which has short-term incentive effects, and does not include restricted stock awards , stock options and other remuneration that has long-term incentive effects.
［Key words］ listed bank; corporate governance; ownership structure; board arrangements; senior management’s remuneration
投资者情绪、证券价格波动与银行业稳定
谭政勋 沈 阳
［摘 要］ 本文构建了一个不同于传统金融中介理论的模型，分析了投资者情绪变化对证券价格的影响，资产证券化和杠杆的变化对证券价格波动的影响，证券价格波动对银行利润、资产配置及银行稳定的影响。研究表明，在金融市场中，投资者情绪变化将导致证券价格波动，并通过财富效应等渠道对投资者造成财富和心理冲击，使得投资者情绪不稳定，而且银行风险资产的比例会顺周期变化；银行杠杆也具有较强的顺周期性，因为银行会在繁荣时期过多地进行资产证券化，衰退时期无法进行资产证券化；投资者情绪波动、证券价格波动及其强化机制危害了银行业的稳定性。
［关键词］ 投资者情绪；证券价格；资产证券化；银行稳定
［Abstract］ This paper builds a model different from the traditional theory of financial intermediation and analyses the impacts of changes in investor sentiment on stock prices, the impacts of changes in asset securitization and leverage on security price fluctuation and the impacts of security price fluctuation on bank profits, assets allocation and banking stability.The studies show that, in financial markets, investor’s sentiment change will lead to security price fluctuation, and affect investor’s wealth and psychology through wealth effect and other channels, which will make investor’s sentiment swing and the proportion of bank risk assets will pro-cyclically change. Bank leverage will also be strongly pro-cyclical, because bank has too much asset securitization during the period of boom but has no asset securitization during the period of recession. Investor’s mood swing, stock price fluctuation and its strengthening mechanism will damage the banking stability.
［Key words］ investor’s sentiment; security prices; asset securitization; the banking stability
中国存贷款市场势力的运动趋势及内在演进规律
汪贵浦 阮盼昕 陈明亮
［摘 要］ 本文基于中国13家商业银行1996~2008年的存贷款数据，采用Monti-Klein模型测度其勒纳指数，并在分析存贷款市场势力演进路径和内在关系后发现：（1）存款市场势力与人均存款呈复合U型，并存在反向转置的三个拐点；贷款市场势力与人均贷款整体呈现弱Logistic增长趋势，只存在局部U型。（2）寻找市场势力的影响因素时发现贷款HHI是贷款市场格兰杰原因的最终源头，存贷比是存款市场格兰杰因果关系最终源头。（3）用平行数据验证存贷款市场势力演进轨迹，发现贷款额在存贷款市场势力中起到比利润还重要的作用。
［Abstract］ Based on 13 Chinese commercial bank’s deposit and loan data from 1996 to 2008 and Monti-Klein model, this paper measures the Lerner index of the model. After the analysis of the evolution path and intrinsic relationship of deposit and loan markets forces, results show that:（1） a complex U-shaped relationship exists between deposit market force and per capita deposit, with three reverse inflection points, and loan market force and per capita loan overall appear a weak trend of Logistic growth, which only shows partial U-shaped; （2） HHI is the ultimate source of the Granger causality of loan market and the ratio of loan and deposit is the ultimate source of the Granger causality of deposit market, which are found when the author analyses the factors that impact market forces; （3） loan amount plays a more important role in deposit and loan market forces than profits, which is found when the author verifies the evolution path of deposit and loan market forces with parallel data.
［Key words］ commercial bank; deposit and loan markets; market force; Lerner Index
中国银行业贷款产品定价机制比较分析
曹利莎 张同建
［摘 要］ 中国商业银行贷款产品定价行为主要受到贷款成本分析、信贷人员责任意识、信贷资金监督、信用风险计量、客户市场定位与客户关系管理等因素的影响。研究表明，中国银行业的贷款定价机制具有高度的同质性。客户盈利分析定价模式的效率普遍高于基准利率加点模式，而基准利率加点模式的效率普遍高于成本加总定价模式。信贷人员责任意识与客户关系管理要素在定价机制中发挥着显著的作用，信用风险计量与客户市场定位要素发挥着一般性的作用，而贷款成本分析与信贷资金监督要素则处于功能缺失状态。
［关键词］ 贷款产品定价；成本加总定价；基准利率加点定价；客户盈利分析定价；信贷配给理论
［Abstract］ The loan pricing of Chinese commercial banks is mainly affected by loan cost analysis, credit officer's responsibility awareness, credit funds supervision, credit risk measurement, customer positioning and customer relationship management. The study result shows that the loan pricing mechanisms of Chinese banks have a high degree of commonality. The efficiency of customer profitability analysis mode is generally higher than that of the benchmark rate plus points mode, and the efficiency of the benchmark rate plus points mode is higher than that of total costs pricing mode. Credit officer's responsibility awareness and customer relationship management play a prominent role in pricing mechanism, credit risk measurement and customer positioning play a mediocre role, and credit cost analysis and credit funds supervision fail to show any function in loan pricing.
［Key words］ loan pricing; total costs pricing; the benchmark rate plus points mode; customer profitability analysis pricing; credit rationing theory
商业银行财务集中的管理框架与创新思路
陈全兴
［摘 要］ 商业银行财务集中有效解决了财务核算主体分散、监控管理不到位的问题，使财务信息核算质量提高，但是，其仍然存在以下隐忧：受管理环境的制约，财务集中的基础性定位、单一的核算职能与商业银行价值管理的发展要求存在差距，财务信息与商业银行预算管理、绩效评价等管理会计的相关性较弱。财务集中的创新应通过全面的成本控制来发挥财务资源配置的作用；以可靠的信息为基础，拓展财务信息关联性；以财务预算、绩效评价等管理会计工作为突破点，加强财务风险控制职能，将财务集中融入管理会计、内控管理等工作流程；采取财务人员轮训方式，借助财务集中培养后备人才。
［关键词］ 商业银行；财务集中；财务会计；集约化管理
［Abstract］ Centralized financial management in commercial banks effectively resolves such problems as scattered financial accounting subjects and insufficient supervision, and improve the accounting quality of financial information. However, the following hidden worries still exist: limited by management environment, the basic positioning of centralized finance and single accounting function fail to satisfy the development requirement of value management of commercial banks; financial information shows weak correlation to management accounting of commercial bank in the aspects of budget management and performance evaluation. The innovation of centralized finance should play the function of financial resource allocation through overall cost control. On the basis of reliable information, the relationship among financial information should be expanded. Focusing on management accounting, such as financial budget and performance evaluation, commercial banks should strengthen risk control and integrate centralized finance into work process of management accounting and internal control management. Furthermore, commercial banks should train financial personnel in turn and use centralized finance to cultivate reserved talents.
［Key words］ commercial bank; centralized finance; financial accounting; intensified management
商业银行跨业经营与风险传导研究
宋婷婷 杜春雷
［摘 要］ 本文基于面板数据分析，对国内政策层面启动综合经营试点以来有关银行的绩效波动建立回归模型，综合考察了不同性质跨业综合经营对银行总体风险的传导作用。实证结果显示： 不同的跨业形式对于风险的影响在方向上可能完全相反，因此对于综合经营是增大还是减小银行风险的研究，应当是一种基于跨业差异性的分类讨论；尽管跨业综合经营可以提高国内商业银行经营收入的多元化，但以投资性资产上升带来的经营收入的非利息化也加大了银行的风险；目前国内商业银行表内、表外业务的相对比例变化对银行风险的影响尚不显著。
［关键词］ 商业银行；跨业经营；经营绩效；风险传导
［Abstract］ On the basis of panel data analysis, the paper establishes a regression model about bank’s performance volatility since the pilot of integrated operation started, and studies the functions of different cross-industry integrated operation to transmit risks to banks. The empirical results show that different forms of cross-industry operation may impact risks in the completely opposite direction, so whether integrated operation would increase or decrease bank’s risks should be discussed separately on the basis of cross-industry difference. Although cross-industry operation can diversify bank’s operating income, the non-interest trend of operating income resulting from the increase of investment assets also raises bank’s risks. At present, the change of proportion of on- to off- balance sheet business fails to show significant influence on bank’s risks.
［Key words］ commercial bank; cross- industry operation; operating performance; risk transmission
城市商业银行跨区域扩张的收益和风险
刘 飞
［摘 要］ 本文借鉴CAMEL评级体系的指标设置，从监管的角度对近几年来中国城市商业银行跨区域扩张的收益和风险进行了实证分析。实证结果发现，总行与新设分行之间的距离对其成本有显著的正影响，但对其他方面没有显著的影响；省外新设分行的成本收益率要小于省内新设分行；省内重组的城市商业银行经营绩效比自行新设分行的城市商业银行要差一些。这些结果表明城市商业银行跨区域扩张并不一定会增大其风险，对于那些经营能力强、资本和流动性比较充足，以及有能力跨区域发展的城市商业银行，不宜限制其跨区域发展。
［关键词］ 城市商业银行；跨区域扩张；CAMEL评级体系；收益和风险
［Abstract］ With the indexes of CAMEL rating system, this paper, from a regulatory point of view, gives an empirical analysis of the benefits and risks of China’s city commercial banks to expand across regions in recent years. Empirical results show that the distance between head office and new branch has a significant positive impact on the cost of the branch, but has no significant impact on other aspects; the ratio of cost and benefit of the new branch outside province is less than that inside province; the business performance of re-organized city commercial bank inside province is worse than that of new branch set by itself; These results show that the expansion of city commercial bank across regions will not certainly increase its risks and the city commercial bank that has high operating ability, abundant capital and liquidity and ability to develop across regions should not be limited.
［Key words］ city commercial bank; expansion across regions; CAMEL rating system; benefit and risk