中国金融稳定的度量及预测
方兆本 朱俊鹏 (4)
The Estimate and Prediction of the Level of Chinese Financial Stability
FANG Zhao-ben ZHU Jun-peng (4) 单个银行财务稳定性评估方法探讨
顾晓安 周 虹 (11)
A Study of the Method to Assess the Financial Stability of Individual Bank
GU Xiao-an ZHOU Hong (11)
商业银行信贷资产组合结构评价方法研究
林跃武 许大庆 许文嫣 (20)
A Study of the Evaluation Method of Commercial bank’s Credit Portfolio Structure
LIN Yue-wu XU Da-qing XU Wen-yan (20)
银行风险偏好与银行表外业务
李 佳 (27)
The Risk Preference and the Off-Balance-Sheet Business of Bank
LI Jia (27)
银行与保险市场的相关性及影响因素分析
史其禄 刘 朋 (32)
An Analysis of the Correlation of Bank & Insuance Markets and the Factors
SHI Qi-lu LIU Peng (32)
票据融资与货币信贷市场的相关性研究
肖小和 邹 江 汪办兴 (37)
A Study of the Correlation of Bill Business and Currency & Credit Markets
XIAO Xiao-he ZOU Jiang WANG Ban-xing (37)
新一轮流转税改革对商业银行的影响
李瑞波 程南楠 (44)
The Impacts of New Turnover Tax Reform on Chinese Banking Sector
LI Rui-bo CHENG Nan-nan (44)
法制环境对商业信用的非对称性影响
魏 锋 饶 伟 梁 超 (51)
The Asymmetric Impacts of Legal Environment on Commercial Credit
WEI Feng RAO Wei LIANG Chao (51)
小组贷款、个人贷款与小额信贷机构还款率绩效
姜美善 (59)
Group Loan，Personal Loan and the Repayment-Rate Performance of Microfinance Institution
JIANG Mei-shan (59)
基于作业成本法的活期储蓄客户终身价值研究
曹 丽 李纯青 高 婷 (67)
A Study of the Lifetime Value of Demand-Savings Customers Based on Activity-Based Costing
CAO Li LI Chun-qing GAO Ting (67)
个人征信体系国际比较及其启示
陈 实 (75)
An International Comparison of Personal Credit Systems and Its Revelation
CHEN Shi (75)
中国金融稳定的度量及预测
方兆本 朱俊鹏
［摘 要］ 本文为评价中国金融系统稳定水平构建了一个综合的金融稳定度量指标，该指标综合考虑了金融系统的发展、脆弱性、稳健性和世界经济形势等方面的信息。度量指标建立基于主要宏观经济指标的计量模型，模型结果显示度量指标对关键宏观经济指标有较高敏感性。此外，基于计量模型结果使用蒙特卡洛随机模拟的方法对度量指标进行了预测。研究结果显示：中国金融稳定水平多年来稳中有升，且能很好地反映国际金融危机的冲击和国内重大金融事件及改革对金融稳定的影响。模拟预测结果显示2012年度量指标先降后升，即经济面临一定的下行风险。
［关键词］ 金融系统；金融稳定；金融稳定度量指标；蒙特卡洛模拟
［Abstract］ This paper builds comprehensive indicators for the measuring of the stability level of Chinese financial system. The information such as the development of financial system, vulnerability, robustness and the world’s economic situation is comprehensively considered in the measuring indicators. A econometric model of main macro-economic indicators is built based on the measuring indicators and the results of the model show that the measuring indicators are highly sensitive to key macro-economic indicators. In addition, based on the results and the Monte Carlo stochastic simulation, the paper presents a prediction of the measuring indicators. The results of the prediction show that the level of Chinese financial stability is stable or even rises over the years, and can fully reflect the impacts of the international financial crisis and the influence of domestic significant financial events and reform on financial stability. The results of the simulated prediction show that the indicators of the year 2012 go down and then go up, which means the economy faces a downside-risk.
［Key words］ financial system; financial stability; indicator for the measuring of financial stability; Monte Carlo simulation
单个银行财务稳定性评估方法探讨
顾晓安 周 虹
［摘 要］ 本文构建了以多维度盈亏平衡分析、安全边际分析和资产报酬率（ROA）影响因素分析为基本框架的单个银行财务稳定性评估方法体系，并利用主要上市银行的相关数据进行实证检验。研究表明：目前各家样本银行具有较低的保本点和较高的安全边际率，处于财务稳定状态；在影响资产报酬率ROA的各因素中，平均利息率和净利差对银行财务稳定性的影响最大，验证了净利差是目前中国商业银行盈利的主要来源，非利息收入占比、成本收入比、存贷比和广义货币供应量（M2）对银行财务稳定也有显著影响，重视这些因素的改进对提高银行财务稳定性水平有一定的作用。
［关键词］ 商业银行；财务稳定性；盈亏平衡分析；净利差；资产报酬率
［Abstract］ This paper constructs a method system to assess the financial stability of individual bank. The basic framework of the method system consists of multi-dimensional breakeven analysis, safety margin-analysis and the factors to impact ROA. Based on the data of main listed banks, the paper presents an empirical analysis. The results show that each sample bank has a lower breakeven point and a higher safety margin-ratio, which means the bank is in a state of financial stability. Among the factors to impact ROA, average interest rate and net interest margin have the greatest impacts on the financial stability of bank, which verifies that the net interest margin is the main source of the profits of Chinese commercial banks; the ratios of non-interest income, cost to income , loan to deposit and the broad money supply (M2) also have significant impacts on the financial stability of bank. It will stengthen the financial stability of bank to pay attention to the improvement of the factors.
［Key words］ commercial bank; financial stability of bank; breakeven analysis; net interest margin; ROA
商业银行信贷资产组合结构评价方法研究
林跃武 许大庆 许文嫣
［摘 要］ 本文以现代资产组合理论和巴塞尔新资本协议的有关规范为基础，分析国内信贷资产组合结构评价实践中的问题，包括评价体系与发展战略、评价体系与巴塞尔监管指引、总行层面评价与分行层面评价、分行层面评价与区域差异性等方面存在的衔接问题，进而提出以投资效用为主线的评价方法。该评价方法是将信贷资产组合的投资效用作为评价的主标尺，把预期收益、风险作为效用标尺的两大基本考量因素，而将风险偏好作为效用标尺的调整参数，评价过程尽可能运用巴塞尔新资本协议高级方法的计量成果。
［关键词］ 商业银行；信贷资产；组合结构；巴塞尔Ⅲ
［Abstract］ Based on the modern asset portfolio theory and the relevant specifications of the Basel III , this paper analyses the problems in the domestic practice of the evaluation of credit-asset portfolio structure, including the coordinating problems in evaluation system and development strategy, evaluation system and Basel regulatory guidelines, the evaluation of head office and the evaluation of branch office, the evaluation of branch office and the regional difference, and presents an evaluation method mainly based on investment utility. The main evaluation scale of the method is the investment utility of credit-asset portfolio. The expected return and risk are considered two basic factors of utility scale. Risk preference is used as adjustment parameter of utility scale. The measuring results of the advanced method of the Basel III are used as much as possible in the evaluation process.
［Key words］ commercial bank; credit asset; portfolio structure; Basel III
银行风险偏好与银行表外业务
李 佳
［摘 要］ 商业银行逐渐将表外业务作为其业务转型的重要取向，以提高竞争力。随着巴塞尔协议的演变，风险管理战略逐步成为商业银行发展战略的重要内容，风险偏好也逐渐成为商业银行风险战略的核心。鉴于表外业务的风险，商业银行在拓展过程中必须严守风险偏好框架，实证分析也表明以收益、资本和风险为主的风险偏好指标确实能对表外业务产生影响。因此，中国商业银行在拓展表外业务时，必须对这些指标进行平衡，严格遵守监管机构关于表外业务的监管标准，分阶段推进表外业务创新，这样才能使表外业务更好地服务于商业银行业务转型。
［关键词］ 商业银行；表外业务；风险偏好；风险管理
［Abstract］ Currently, Commercial banks will gradually make off-balance-sheet business as the main orientation of business, in order to improve competitiveness. With the Basel agreement evolves, risk management strategy has gradually become the important content of the development strategy of commercial banks, its core is to determine the risk preference, risk preference of commercial banks have gradually become the core of risk strategy. In view of off-balance-sheet business risks, commercial banks in the development process must be strictly risk preference framework, the empirical analysis also indicates that the risk preference index of income, capital and risk is indeed affect the balance-sheet business development. Therefore, China’s commercial banks which is in the development of off-balance-sheet business, must balance these indicators, strictly compliance with regulatory agencies on off-balance-sheet business regulatory standards, in order to make the off-balance-sheet business to serve the business transition of commercial bank betterly.
［Key words］ commercial bank; off-balance-sheet business; risk preference; risk management
银行与保险市场的相关性及影响因素分析
史其禄 刘 朋
［摘 要］ 存贷款利率和货币供给量是影响银行经营绩效的主要因素；而除同受货币供给量的影响外，影响保险业经营绩效的主要因素则是居民消费水平和物价水平，具体到寿险公司和同时经营人寿与财产保险的综合性保险集团，其影响因素差别也较明显。在银保代理业务发展中，一个地区保险业发展程度、经济和社会发展程度以及银行业发展对银保代理规模的影响程度逐渐减弱，其中GDP和理赔支出对其的影响为负，而人口数量和保费收入对银保代理业务有正面影响。传统的银保代理业务在中等发达省份和中小城市具有较大发展空间，而在大城市则需更灵活的产品策略。
［关键词］ 综合性保险集团；银行保险；银保合作；代理业务；经营绩效
［Abstract］ Deposit rates, lending rates and the monetary supply are the main factors to affect the operational performance of bank. In addition to the impact of monetary supply, consumption level and price level are the main factors to impact the operational performance of insurance industry. As for the factors to impact life insurance company and comprehensive insurance group operating life and property insurance, the difference is obvious. In the process of the development of bancassurance agency business, the impacts of the development of regional insurance industry, economy, society and banking sector on the scale of bancassurance agency are gradually weakened. The impacts of GDP and loss-adjustment expenses are negative, while the impacts of population and premium income are positive. Traditional bancassurance agency business has a larger development space in medium-developed provinces and small and medium-sized cities, while it needs a more flexible product-strategy in big cities.
［Key words］ comprehensive insurance group; bancassurance; cooperation of bank and insurance; agency business; operating performance
票据融资与货币信贷市场的相关性研究
肖小和 邹 江 汪办兴
［摘 要］ 本文通过对2000～2011年中国金融机构票据业务与货币信贷政策相互关系的考察与分析，发现：（1）票据承兑业务发展动因在于宏观经济增长，而受货币信贷政策的影响较小；（2）票据贴现业务受货币政策调控的影响显著，当货币政策分别为稳健、从紧和适度时，票据贴现业务占贷款的比例分别为稳步增大、下降和显著上升；（3）宏观金融调控政策推动了票据理财业务的发展及票据贴现业务与货币市场的同步运行。为了有利于票据业务的发展，发挥票据业务对于经济增长和中小企业的积极作用，票据管理制度应该兼顾票据融资的特性而有所创新。
［关键词］ 金融调控；票据融资；票据理财；货币信贷
［Abstract］ Based on the analysis of the relationship between the bill business of Chinese financial institutions and the monetary & credit policies, this paper finds that: （1）the motivation to develop bill business is the macroeconomic growth and the bill business is less impacted by monetary and credit policies; （2）bill-discounting business is significantly impacted by the regulation and control of monetary policy: when the monetary policy is sound, tight or moderate, the ratio of bill-discounting business and loan steadily increases, decreases or significantly increases; （3）macrofinancial regulation policy promotes the development of bill-wealth-management business and the synchronous operation of bill-discounting business and currency markets. For the development of bill business and in order to play the role of bill business to facilitate economic growth and small and medium-sized enterprises, the inovation of bill management system needs taking account of the characteristics of bill financing.
［Key words］ financial regulation；bill financing；bill-wealth-management；currency and credit
新一轮流转税改革对商业银行的影响
李瑞波 程南楠
［摘 要］ 本文对中国银行业流转税制的现状和新一轮流转税改革对银行业的影响进行了分析。研究表明，当前中国银行业流转税税负整体偏重，亟待改革，营业税改征增值税将对中国银行业的流转税税负、损益情况、资产负债情况、发票管理、会计核算、信息系统、纳税管理等产生重要影响。总体上看《营业税改征增值税试点方案》对中国银行业有利好，但具体到不同的银行，税负变化的方向和程度将与增值税的征收模式、征税范围、收入中应税项目占比、支出中可抵扣税项目占比以及定价议价能力等诸多不确定性因素息息相关，需要引起各家银行的高度关注并采取积极应对措施。
［关键词］ 银行业；流转税改革；营业税；增值税
［Abstract］ This paper analyses the status quo of the turnover tax in Chinese banking sector and the impacts of the new reform of turnover tax on banking sector. The analysis shows that the current overall tax burden of Chinese banking sector is heavy and the overall tax needs to be reformed, replacing business tax with VAT(value-added tax) will greatly impact the overall tax burden, profit and loss, balance sheets, invoice management, accounting, information system, tax management of Chinese banking sector. Overally, The Pilot Program to Replace Business tax with VAT is beneficial to Chinese banking sector, but the direction and extent of the change in tax burden are related to many uncertainties, such as the mode ,and scope of taxation, the percentage of taxable items in income, the percentage of tax-deductible items in expenditure, the ability to price and bargain, etc., which should be attached great importance and active countermeasures by banks.
［Key words］ banking sector; reform of turnover tax; business tax; VAT
法制环境对商业信用的非对称性影响
魏 锋 饶 伟 梁 超
［摘 要］ 本文利用中国上市公司1997～2007年面板数据，研究了地区法制环境对企业商业信用的非对称影响。通过采用工具变量的两阶段最小二乘法（2SLS）来控制内生性造成的估计误差，进行检验后发现，法制环境对衡量商业信用的指标具有非对称影响，主要体现在两个方面：一方面，地区的法制环境发展对于衡量商业信用提供量与接受量的应收、应付账款具有非对称的影响；另一方面，法制环境发展对传统挂账形式与票据形式的商业信用具有非对称的影响，在短期内法制环境发展对票据市场具有消极影响，但长期看地区法制的完善对于信用市场发展具有促进作用。
［关键词］ 法制环境；商业信用；信用市场；票据市场
［Abstract］ This paper uses the panel data of Chinese listed companies from 1997 to 2007 to analyse the asymmetric impacts of regional legal environment on corporate commercial credit. By the method of two-stage least squares(2SLS) with instrumental variables to control the endogenous estimation error, the paper presents an examination. It is found that legal environment has asymmetric impacts on the indicators to measure commercial credit. The impacts mainly include that, on the one hand, the development of regional legal environment has asymmetric impacts on the receivables and payables, which measure the supply and acceptance of commercial credit; on the other hand, the development of legal environment has asymmetric impacts on the commercial credit in the form of traditional accounts and bills; legal environment has negative impacts on bill market in the short term, but the improvement of legal system will promote the development of credit market.
［Key words］ legal environment; commercial credit; credit market; bill market
小组贷款、个人贷款与小额信贷机构还款率绩效
姜美善
［摘 要］ 本文选取小额信贷机构（MFI）的属性、运行机制和还款率变量，利用全球280个发展中国家的MFI数据，对小组贷款、个人贷款和MFI的还款率绩效的关系进行实证研究，检验对小组贷款是否提高MFI还款率的两分理论。结果发现，小组贷款对MFI还款率绩效具有负面影响，个人贷款方式对MFI还款率绩效有正面影响，MFI使用小组贷款方式的比重越大，还款率越低，而且这种负面影响并不会因为MFI的其他运行机制，包括聚焦妇女、聚焦小企业、聚焦农村和非金融服务等作用，以及MFI属性，包括所有权形式、规制和经历等的不同而发生改变。
［关键词］ 小组贷款；小额信贷；小额信贷机构；个人贷款；还款率
［Abstract］ This paper selects the properties, operational mechanism and repayment rate of microfinance institution(MFI) as variables. Based on the data of 280 MFIs in developing countries worldwide, the paper empirically analyse the relationship of the group loan, personal loan and the repayment-rate performance of MFI, and examines whether group loan improves the repayment rate of MFI. The results show that group loan has a negative impact on the repayment-rate performanc of MFI, but personal loan has a positive impact; the greater the proportion of the group loan issued by MFI is, the lower the repayment rate will be; the negative impact does not change due to the other operational mechanisms of MFI, including focusing on women, micro-enterprises, rural customers and non-financial services, etc., and the properties of MFI, including ownership, regulation and experience, etc.
［Key words］ group loan; micro finance; micro finance institution; personal loan; repayment rate
基于作业成本法的活期储蓄客户终身价值研究
曹 丽 李纯青 高 婷
［摘 要］ 本文以商业银行活期储蓄客户为研究对象，利用中国某商业银行活期储蓄客户的交易数据预测活期储蓄客户不同渠道的交易次数以及月均账户余额，计算客户成本和客户终身价值，进而对不同价值的客户提出不同的管理和营销方案。研究结果发现：客户交易行为随机模型能够准确估计活期储蓄客户未来发生的交易次数和月均账户余额；根据活期储蓄客户交易的特点及各渠道不同的作业成本动因分配率分配作业成本，商业银行可以预测及计算活期储蓄客户的成本、边际收益和客户终身价值，提出不同价值客户的管理和营销策略。
［关键词］ 活期储蓄客户；客户终身价值；作业成本法；客户交易行为；客户成本分析
［Abstract］ With the transaction data of the demand-savings customers of a Chinese commercial bank, this paper researches demand-savings customers, predicts the demand-savings customer’s transaction times in different channels and the average monthly account balance, calculates customer costs and customer lifetime value(CLV) and proposes different management and marketing program according to every customer’s value. The results of the research show that the stochastic model of customer’s transaction behavior can accurately estimate the demand-savings customer’s future transaction times and the average monthly account balance; to allocate activity cost according to customer’s characteristics of transaction and the different allocation rate of cost driver in every channel, commercial banks can predict and calculate customer costs, marginal revenue and CLV, develop different management and marketing strategy to every customer’s value.
［Key words］ demand-savings customer; customer lifetime value; activity-based costing; customer’s transaction behavior; analysis of customer cost
个人征信体系国际比较及其启示
陈 实
［摘 要］ 本文对国际个人征信体系进行梳理，分别讨论了以欧洲大陆国家为例的政府主导模式的个人征信体系、以美国为例的市场主导模式的个人征信体系，以及以日本为例的行业主导模式的个人征信体系这三种全球较为常见的个人征信体系。文章将公共和私立征信机构进行比较研究，认为私立征信机构具有市场适应性强，数据更全面等优点，而公共征信机构更加重视对金融系统的监管以及对消费者隐私权的保护。通过国际经验比较，建议中国在个人征信体系改革过程中，应重视对法律法规和信息收集的完善，同时还需要在数据的全面性和消费者隐私权之间寻找合理的平衡点。
［关键词］ 个人征信体系；私立征信机构；公立征信机构；隐私权
［Abstract］ This paper sorts out the international personal credit systems and respectively discusses three kinds of common personal credit system in the world, the system in continental European countries, a government-led mode, the system in the United States, a market-led mode, and the system in Japan, an industry-led mode. The author presents a comparative study of public and private credit institutions and argues that the private institutions have the advantages of good market-adaptability and more comprehensive data, and the public institutions pay more attention to the supervision of the financial system and the protection of consumer’s privacy. Based on the comparison of international experience, the author suggests that more attention is paid to the improvement of laws, regulations and information collection in the process of the reform of China’s personal credit systems and the institutions find a reasonable balance between the comprehensiveness of data and the consumer’s privacy.
［Key words］ personal credit system; private credit institution; public credit institution; privacy