融资约束、系统风险与资产定价
翟淑萍 刘湘宁 霍欣欣 (4)
Financing Constraint，Systemic Risk and Asset Pricing
ZHAI Shu-ping LIU Xiang-ning HUO Xin-xin (4) 资本约束、风险承担与银行信贷扩张
张宗益 刘 胤 (13)
Capital Constraint, Risk-Taking and the Expansion of Bank Credit
ZHANG Zong-yi Liu Yin (13)
中国商业银行投资组合配置研究——基于组合投资的VaR优化技术
刘 亚 刘 晶 (20)
A Study of the Investment Portfolio Selection of Chinese Commercial Banks——Based on the Optimization Technique of Investment Portfolio VaR
LIU Ya LIU Jing (20)
商业银行成本控制与经营绩效
房巧玲 崔 宏 张 华 (26)
Cost Control and Operating Performance of Commercial Banks
FANG Qiao-ling CUI Hong ZHANG Hua (26)
银行家个人特征与银行资源配置——基于中国城市商业银行的实证研究
顾 亮 张 扬 刘振杰 (34)
The Banker’s Personal Characteristics and the Allocation of Bank’s Resource ——An Empirical Study Based on Chinese City Commercial Banks
GU Liang ZHANG Yang LIU Zhen-jie (34)
大型商业银行财务资源配置研究
王大军 (44)
A Study of the Financial Resource Allocation of Large Commercial Banks
WANG Da-jun (44)
商业银行综合经营的“契约模式”及监管问题研究
宋婷婷 (49)
A Study of the Contract Mode and Regulation of Commercial bank’s Intergrated Operation
SONG Ting-ting (49)
信用风险转移与中国商业银行的系统性风险
周天芸 余洁宜 (56)
The Credit Risk Transfer and Systemic Risks of Chinese Commercial Banks
ZHOU Tian-yun YU Jie-yi (56)
商业银行高端个人客户资产配置特征分析
王小平 瞿宝忠 (62)
The Asset Allocation Characteristics of the High-Net-Worth Customers of Commercial Banks
WANG Xiao-ping QU Bao-zhong (62)
基于社会网络分析的商业银行客户识别研究
张成虎 吕 毅 (68)
A Study of the Identification of Commercial Bank’s Customers Based on Social Network Analysis
ZHANG Cheng-hu LV Yi (68)
商业银行客户挖掘能力构成及提升策略
姜卫韬 姜卫宁 (73)
The Composition of Commercial Bank’s Ability to Find Customer and the Promotion Strategy
JIANG Wei-tao JIANG Wei-ning (73)
2012年中国高等教育学会财经教育分会金融学专业协作组年会暨
第三届中国金融教育论坛征文启事 (80)
融资约束、系统风险与资产定价
翟淑萍 刘湘宁 霍欣欣
［摘 要］ 本文在控制市场和公司规模等因素的基础上，检验了中国A股市场中具有融资约束的公司股票是否具有更高的风险和预期收益率。实证结果显示，融资约束通过影响公司的系统风险对公司资产定价产生影响，即具有较高融资约束程度的公司，其具有较高的系统性风险；但融资约束并不能成为独立的定价因子对股票收益率产生贡献，它通过影响公司的系统风险对公司股票定价产生影响。这表明中国资本市场在一定程度上能够以资产价格的形式反映出企业的融资约束高低，但资本市场的定价功能未得到充分发挥。
［关键词］ 融资约束；资产定价；系统风险；股票预期收益率
［Abstract］ On the basis of controlling factors such as market and company size, this paper inspects whether or not the stock of the company, which is listed in China’s A-share market and faces financing constraint，has a higher risk and a higher expected return. The empirical results show that financing constraint impacts the systemic risks of company and then impacts the pricing of company asset, which means that the more financing constraint the company faces, the higher the systemic risks are. However, financing constraint can not be an independent pricing factor to impact return on stock and it impacts the pricing of company stocks through its influence on systemic risks, which means that, to a certain extent, the price of asset in China’s capital markets can reflect the level of financing constraint, but the pricing function of capital markets has not been fully realized.
［Key words］ financing constraint; pricing of asset; systemic risk; expected return on stock
资本约束、风险承担与银行信贷扩张
张宗益 刘 胤
［摘 要］ 基于对货币政策传导机制的理论阐释，本文构建实证检验的动态面板模型，运用SYS-GMM方法，利用1998~2010年中国14家主要商业银行数据，考察其资本约束和风险承担对贷款决策的影响，探讨货币政策传导是否存在银行资本渠道和风险承担渠道。结果显示：2004年后，资本监管强化了资本约束对商业银行信贷决策的影响，发挥了资本门限效应，形成了货币政策传导的银行资本渠道；但商业银行较高的风险偏好并未改变，资本监管的框架效应尚未形成；宽松的货币政策激起了商业银行强烈的放贷冲动，影响了其风险识别和风险容忍，货币政策传导的风险承担渠道逐渐显现。
［关键词］ 资本监管；资本约束；风险承担；银行信贷；货币政策
［Abstract］ Based on the theoretical interpretation of the transmission mechanism of monetary policy, this paper constructs a model for the empirical test of dynamic panel data and uses the SYS-GMM method and the data of 14 Chinese major commercial banks from 1998 to 2010 to analyse the impacts of capital constraints and risk-taking on lending-decision, investigate whether there are bank-capital channels and risk-taking channels of monetary policy transmission. The results show that, after 2004, capital regulation has reinforced the impacts of capital constraint on the credit-decision of commercial banks, played a threshold role and has formed the bank-capital channel of monetary policy transmission; but the higher risk-preferring of commercial banks has not changed and the framework effects of capital regulation has not formed yet; the loose monetary policy provokes strong lending-desires of commercial banks, which affect the risk identification and risk tolerance of the banks and the risk-taking channel of monetary policy transmission is gradually emerging.
［Key words］ capital regulation; capital constraint; risk-taking; bank credit; monetary policy
中国商业银行投资组合配置研究——基于组合投资的VaR优化技术
刘 亚 刘 晶
［摘 要］ 本文基于平均收益率和VaR值，利用历史数据，对包括央票、国债和政策性金融债在内、商业银行可投资的28种银行间债券品种进行配置优化，得到了最优的投资组合。通过回溯检验，证明该投资组合具有优化效果。研究表明：本文基于历史数据的投资组合配置方法既符合巴塞尔协议的相关要求，又考虑到了中国商业银行投资组合的实际情况；该方法可以提供期望收益率条件下具有最小VaR值的投资组合，从而可以成为中国商业银行投资组合配置的优化方法；该方法可以为商业银行投资提供一种量化投资方案，供商业银行债券投资业务参考。
［关键词］ 商业银行；巴塞尔协议；在险价值；投资组合；优化配置
［Abstract］ Based on average yield, VaR and historical data, this paper optimizes the selection of 28 kinds of inter-bank bonds, which include cnetral bank bills, treasury bonds and policy financial bonds and can be invested by commercial bank, and obtains an optimal investment portfolio.The backtesting confirms that the portfolio has the function to optimize the investment. The results show that the method of investment portfolio selection based on historical data meets the requirements of the Basel agreement and is consistent with the actual situation of the investment portfolio of Chinese commercial banks; the method can present an investment portfolio with the minimum VaR under the conditons of expected yield and can be regarded as the optimized method of the investment portfolio selection of commercial banks; the method can present commercial banks with a quantified investment program, which can be a reference for the bond investment business of commercial banks.
［Key words］ commercial bank; Basel agreement; value at risk; investment portfolio; optimized selection
商业银行成本控制与经营绩效
房巧玲 崔 宏 张 华
［摘 要］ 本文基于中国商业银行2007~2010年的经验数据，对商业银行的成本控制与经营绩效进行考察。本文认为：商业银行的成本水平并不仅仅取决于银行自身的管理效率，还在很大程度上取决于其先天资源禀赋差异及其为弥补这种差异而付出的经营努力。因此，不同类型商业银行的成本水平存在系统性差异，并不必然导致银行经营绩效的相应差异。对于成本控制，商业银行应采取的科学态度是：对由于自身管理效率低下导致的成本高企，应尽量将成本控制到可接受的低水平；对于银行为扩大边际贡献、实现可持续发展而增加的经营成本，则应遵循经济学原理做出科学决策。
［关键词］ 商业银行；成本控制；经营绩效；成本收入比；资本收益率；资产收益率
［Abstract］ Based on the empirical data of commercial banks from 2007 to 2010, this paper investigates the cost control and operating performance of commercial banks. The author argues that the costs of commercial banks depend on not only the management efficiency, but also largely the innate endowment difference and the efforts of the bank to compensate for the difference. Therefore, there is a systematic difference in the costs of different types of commercial banks, but that does not necessarily lead to the difference in the operating performance of banks. For cost control, the correct approach of commercial banks is to control the high cost, resulted from inefficient management, to an acceptable low level and make scientific decisions about the increased operating costs, resulted from enlarging marginal contribution and achieving sustainable development, according to the principles of economics.
［Key words］ commercial bank; cost control; operating performance; ratio of cost to income; return on capital; return on asset
银行家个人特征与银行资源配置——基于中国城市商业银行的实证研究
顾 亮 张 扬 刘振杰
［摘 要］ 本文从个人特征角度研究银行董事长、行长的个人特征及两者个人特征差异与银行资源配置的关系。结合高阶理论和企业社会资本理论，利用2009年中国56家城市商业银行和16家上市银行的数据，本文的研究表明：城市商业银行董事长的性别、年龄、教育背景显著影响银行资源配置，行长的教育背景显著促进银行资源配置，城市商业银行董事长、行长之间的个人特征差异与银行资源配置存在相关关系但关系不显著。银行家个人特征影响中国商业银行的资源配置，在分析银行资源配置时，有必要考虑银行家特别是城市商业银行董事长的个人特征。
［关键词］ 银行家；城市商业银行；个人特征；资源配置
［Abstract］ From the perpspective of personal characteristics, this paper researches the relationship between the personal characteristics of the chairman and president of bank, the differences of the personal characteristics of the chairman and president and the resource allocation of bank. Combining with the Upper Echelons Theory and the theory of corporate social capital, this paper uses the data of 56 Chinese city commercial banks and 16 listed banks in 2009 to test the relationship. The results show that the gender, age, and educational background significantly affect the chairman’s resource allocation of bank; the president’s educational background significantly promotes the resource allocation of bank; the resource allocation of bank are related to the difference in the personal characteristics of the chairman and president, but not significantly. Banker’s personal characteristics affect the resources allocation of Chinese commercial banks. Therefore, while analysing the resource allocation of bank, it is necessary to consider banker’s personal characteristics, especially those of the chairman of city commercial bank.
［Key words］ banker; city commercial bank; personal characteristics; resource allocation
大型商业银行财务资源配置研究
王大军
［摘 要］ 本文使用中国某大型商业银行内部分支机构作为样本，对银行财务资源配置情况进行实证分析。研究发现，中国大型商业银行内部财务资源配置机制逐步完善，财务资源配置与经营业绩和业务创新紧密关联，但是也存在着对经营效率重视不足、代理链条过长导致配置机制传导不够顺畅的问题。因此，本文提出政策建议：一是通过明确资源配置政策、加强传导效率考核，建立公开透明的配置机制，解决政策传导过程中的效率损失问题；二是通过完善资源配置模式、实施多维度资源配置，建立与价值管理相适应的配置方式，全面促进经营发展。
［关键词］ 大型商业银行；财务资源；配置机制；传导效率
［Abstract］ This paper uses the internal branches of a large commercial bank as sample to analyse the financial resource allocation of the bank empirically. The results show that the internal mechanism of the financial resource allocation of Chinese large commercial banks is being gradually improved and the financial resource allocation is closely related to operation performance and business innovation, but there are such problems as insufficient attention to operational efficiency and a too long proxy chain which leads that the transmission of allocation mechanism is not smooth enough. Therefore, the author puts forward the following policy recommendations: first, to make the resource allocation policy explicit, strengthen the assessment of conduction efficiency and build an open, transparent allocation mechanism to solve the problem of efficiency loss in the process of policy transmission; second, to improve the resource allocation mode, implement multi-dimensional resource allocation and an allocation mode adaptable to value management to promote business development fully.
［Key words］ large commercial bank; financial resource; allocation mechanism; conduction efficiency
商业银行综合经营的“契约模式”及监管问题研究
宋婷婷
［摘 要］ 国内银行综合经营的商业模式中存在一种非经资本（股权）联结，而经由合作协议联结的“契约模式”。从其动因来看，主要是出于对不同监管管辖权下净监管负担差异的选择性回避。本文通过以银信合作理财业务为例进行实证，发现该模式具有单体风险隐匿性和风险暴露的政策敏感性两大特征。契约模式监管的主要问题在于不同监管主体之间的监管竞争。无论是“趋利式竞争”还是“避害式竞争”，“学习示范效应”都将使监管套利行为进一步扩大。建议在加强风险监测和预警的基础上，综合运用监管工具和构建更有力的监管协作机制，同时加大引入第三支柱市场约束力量。
［关键词］ 商业银行；综合经营；契约模式；监管竞争
［Abstract］ Among the modes of domestic bank’s intergrated operation, there is a contract mode that is not linked by capital （equity） but by cooperation agreement. The main motivation of the mode is the selective avoidance of the net regulatory burden difference under different regulatory jurisdiction. Taking the wealth management business based on bank-trust cooperation as sample, this paper presents an empirical analysis and finds that the mode has two characteristics that the single risk is hidden and the risk exposure is sensitive to policy. The main problem in the regulatory of contract mode is the regulatory competition between the different regulators. Whether the benefit-pursuit competition or the loss-avoidance competition, the learning-demonstration effect will further promote the happening of regulatory arbitrage. On the basis of strengthening risk monitoring and early warning, it is proposed to use regulatory tools comprehensively, build a more powerful regulatory coordination mechanism and increase the introduction of market constraints as the third pillar in the meanwhile.
［Key words］ commercial bank; intergrated operation; contract mode; regulatory competition
信用风险转移与中国商业银行的系统性风险
周天芸 余洁宜
［摘 要］ 本文利用中国上市银行的面板数据，通过扩展的CAPM模型，测算了贷款转让对中国商业银行系统性风险的影响。结果表明，商业银行进行贷款转让之后，系统性风险水平有了明显的提高，而且四大商业银行的系统性风险水平比其他商业银行的提高更为明显。系统性风险水平的提高来自于商业银行与市场相关性的提高，银行个体的风险水平是下降的。银行通过贷款转让行为将个体的风险转移到市场中去，提高了市场相关性，因此提高了系统性风险。中国金融监管部门不应仅将监管重点置于银行个体的风险暴露水平，亦应重点关注银行个体行为对市场整体风险水平的影响。
［关键词］ 商业银行；系统性风险；信用风险转移；贷款转让
［Abstract］ Based on the panel data of Chinese listed banks and the extended CAPM model, this paper estimates the impacts of loan transfer on the systemic risk of Chinese commercial bank. The results show that the systemic risk of the commercial bank has significantly increased after the loan transfer and systemic risks of four major commercial banks increase more obviously than other commercial banks. The rise of systemic risk results from the rise of the relevance of commercial bank and market, but the risk of the individual bank declines. The bank diverts its own risk to market through the loan transfer, which results in the rise of the relevance of market and thereby the rise of systemic risk. When the banks are supervised, the Chinese financial regulatory authorities should focus not only on the risk of the individual bank, but also on the impact of the behavior of individual bank on the whole risk of the market.
［Key words］ commercial bank; systemic risk; transfer of credit risk; loan transfer
商业银行高端个人客户资产配置特征分析
王小平 瞿宝忠
［摘 要］ 本文通过问卷调查方式，对来自商业银行的高端个人客户的资产配置特征做了统计分析。结果表明，中国商业银行的高端个人客户群以专业技术人员和私营企业家为主；投资积累和稳定收入为其主要的财富来源；大多具有一定的投资知识和经验；投资比重比较大，市场参与度高；资产长期成长是其最主要的投资目标；投资期限大多为3～5年；大多为积极型投资者，风险容忍度较高；投资决策有一定的自信度；资产以现金储蓄、股票和房地产为主，少量持有其他类型的资产；对股票与房地产的未来走势持观望态度。
［关键词］ 商业银行；高端个人客户；资产配置特征；调查问卷
［Abstract］ Based on a questionnaire, this paper provides a statistical analysis of the asset allocation characteristics of the high-net-worth customers of commercial banks. The results show that professional technician and private entrepreneurs are the main high-net-worth customers of Chinese commercial banks. Investment accumulation and steady income are their main source of wealth. Most of the high-net-worth customers have investment knowledge and experience. The proportion of their wealth used in investment is relatively large. The extent that they participate in market is high. The long-term growth of their assets is their main investment objective. The investment period is mostly 3 to 5 years. Most of them are active investors and have higher tolerance to risk. They have certain self-confidence in investment decision. Cash savings, stocks and real estate are their main assets, but each has a small amount of other types of assets in the meanwhile. To the future trend of the stock and real estate, they are on the sidelines.
［Key words］ commercial bank; high-net-worth customer; asset allocation characteristics; questionnaire
基于社会网络分析的商业银行客户识别研究
张成虎 吕 毅
［摘要］客户是商业银行的核心资源，有效的客户识别对于商业银行能否吸引和留住高价值客户至关重要。作为一种日益成熟的研究方法，社会网络分析已在许多研究领域引起了广泛的关注及应用，也为商业银行的客户识别提供了新的研究视角。本文针对目前商业银行客户识别方法中存在的问题，将社会网络分析与商业银行客户识别相结合，使用商业银行交易数据建立商业银行客户网络模型，并从点度中心性、中间中心性、凝聚子群等三个角度进行分析，识别商业银行核心客户、重要客户、小团体客户。研究表明，社会网络分析可为商业银行客户识别提供定量分析的依据及方法。
［关键词］社会网络分析；商业银行；客户识别；客户网络模型
［Abstract］Customers are commercial bank’s core resources. Effective customer identification is vital for commercial banks to attract and retain high-net-worth customers. As an increasingly sophisticated research method, social network analysis（SNA） has gotten much attention and is applicated in many research fields. The SNA also provides a new perspective for the study of the identification of commercial bank’s customers. Aiming at the problems in the existing methods for the identification of commercial bank’s customers, this paper combines SNA with the identification of commercial bank’s customers, builds a network model of commercial bank’s customers with the commercial bank’s transaction data, and analyses the identification of commercial bank’s core customers, key customers, small group customers from the perspectives of the point centrality, the middle centrality and the cohesive subgroup. The analysis of the paper shows that the SNA can provide a basis and a method for the quantitative analysis of the identification of commercial bank’s customers.
［Key words］social network analysis; commercial bank; identification of customer; network model of customer
商业银行客户挖掘能力构成及提升策略
姜卫韬 姜卫宁
［摘 要］本文从客户经理社会资本的视角剖析了客户挖掘能力的内在构成要素：代表结构能力的客户经理关系网络和代表资源能力的客户经理社会资源。研究表明，关系网络的结构特征用中心性、不对称性和地位性来描述，其核心是控制利益；而社会资源本质上体现的是角色的二重性，其核心是信息利益。客户经理社会资本就是其调动关系网络中的社会资源以获取客户挖掘机会的能力。在实践中，客户经理需要通过掌握更多的网络通道来优化自身的关系网络，通过建立更异质化的社会联系来优化自身的社会资源，如加入社会团体，参加培训，利用网络媒体，借助学缘及地缘聚会等。
［关键词］商业银行；客户经理社会资本；关系网络；社会资源；客户挖掘
［Abstract］From the perspective of the social capital of customer manager, this paper analyses the inherent composition of the ability to find customer, i. e. the customer manager’s network representative of structural ability and the customer manager’s social resources representative of resource ability. The results of the paper show that the structural characteristics of relationship network can be discribed as center, asymmetry and status and the core is controlling interest; social resources are essentially representative of the duality of the role and the core is information interest. The customer managers’ social capital is their ability to utilize the social resources in their own relationship network to obtain the opportunity to find customer. In practice, the customer managers should acquire more network channels to optimize their own relationship networks and establish more heterogeneous social ties, such as joining social groups, training, utilizing online media, classmate party or fellow party, to optimize their own social resources.
［Key words］commercial bank; customer manager’s social capital; relationship network; social resource; finding customer