以科学发展观指导学会工作再创辉煌
姜建清 (3)
Instructing the Work of the CUFS with Scientific Outlook on Development and Pursuing More Glory Accomplishments
JIANG Jian-qing (3)
金融国际化、金融危机与金融监管
曹凤岐 (10)
Financial Internationalization, Financial Crisis and Financial Regulation
CAO Feng-qi (10)
中国金融压力与经济增长的动态关联研究
王 妍 陈守东 (16)
A Study of the Dynamics Relationship between China’s Financial Pressures and Economic Growth
WANG Yan CHEN Shou-dong (16)
中国系统重要性银行的风险传染性研究
宋群英 (24)
The Study of Risk Contagion of Systemically Important Banks in China
SONG Qun-ying (24)
商业银行外汇风险暴露及其影响因素
王相宁 王敷慧 (30)
A Study of Chinese Commercial Banks’ Foreign Exchange Risk Exposure and the Factors
WANG Xiang-ning WANG Fu-hui (30)
资本充足率、市值资产比例与银行风险
张继袖 陆宇建 (38)
Capital Adequacy Ratio, the Ratio of Market Value to Assets and Bank Risk
ZHANG Ji-xiu LU Yu-jian (38)
利率市场化条件下的利率风险及其压力测试
李颖 (43)
Interest Rate Risk under the Condition of the Liberalization of Interest Rate and Its Stress Test
LI Ying (43)
中国利率市场化改革的模式和顺序
周冰 (49)
The Model and Sequence of Chinese Liberalization Reform of Interest Rate
ZHOU Bing (49)
中国上市银行内部控制审计现状分析及对策建议
白涛 何小杨 (58)
The Status Quo of Internal Control Audit of Chinese Listed Banks and the Suggestions
BAI Tao HE Xiao-yang (58)
欧洲主权债务危机演进及对中资银行的启示
罗 宁 王 婕 (66)
The Evolution of Sovereign Debt Crisis in Europe and the Enlightenment to Chinese Banks
LUO Ning WANG Jie (66)
国际化银行组织架构分析与借鉴
刘明坤 (74)
The Analysis of International Banks’ Organizational Structures and Its Implications for Chinese Banks
LIU Ming-kun (74)
金融国际化、金融危机与金融监管
曹凤岐
［摘 要］ 从本次金融危机对国际金融监管体系提出的新挑战出发，本文探讨了金融国际化与金融监管体系改革的关系，以及金融危机对金融监管体系改革的影响。未来，金融监管将日趋国际化，更加注重风险性监管和对创新业务的监管，重视金融机构的内部控制制度和同业自律机制，而统一监管将成为监管体系发展的趋势。在此基础上，本文提出中国金融监管体系改革应走综合监管、统一监管之路，以适应混业经营发展和金融创新的需要；要加强宏观金融审慎监管，保证整个金融系统的稳定；注重保护投资者的合法权益；并不断完善与金融监管体系改革相配套的其他制度与措施。
［关键词］ 金融国际化；金融危机；金融监管；统一监管
［Abstract］ Beginning with the chanlleges faced by international financial regulation system that result from the financial crisis, the paper analyzes the relationship between financial internationalization and the reform of financial regulation system and the influence of financial crisis on the reform. In the future, financial regulation will develop towards the direction of internationalization, pay more attention to risk-centered regulation and the supervision over innovative business and attach importance to financial institutions’ internal control system and the self-discipline. Integrated regulation will represent the general trend of regulation system development. The paper puts forward the following suggestions on the reform of Chinese financial regulation system: pressing ahead with integrated and unified regulation to adpot to the requirements of integrated operation and financial innovation, intensifying macro-prudential regulation on the financial sector to maintain the stability of the overall financial system; paying attention to protecting the lawful rights of investors and constantly improving other mechanisms and measures to match the reform of overall financial regulation system.
［Key words］ financial internationalization; financial crisis; financial regulation; integrated regulation
中国金融压力与经济增长的动态关联研究
王 妍 陈守东
［摘 要］ 本文依据有代表性的金融指标的结构化特点，构建具有时效性的金融压力指数以识别中国金融体系的压力，运用马尔可夫区制转移模型（MS-VAR）研究中国金融体系压力的区制特征，并利用Granger线性与非线性因果关系检验验证了金融压力与工业增加值的增长关系。研究表明，2008年以来，中国金融压力较高；2010年一季度后金融压力有所降低但是波动较大；金融压力指数对工业增加值有显著地线性和非线性Granger影响；对金融压力指数进行预测的结果表明，中国金融系统压力在2011年下半年以后处于低压力区制的高位置波动，并有转向高压力区制的趋势，金融系统表现为不稳定。
［关键词］ 金融压力指数；经济增长；工业增加值；动态关联
［Abstract］ Based on the representative structural features of financial indicators, this paper builds time-sensitive financial stress indexes to identify the pressure of China’s financial system, studies the regime characteristics of the stress with MS-VAR model and verifies the relationship between financial pressure and industrial added value with the linear and nonlinear Granger test. The results show that, since 2008, China’s financial stress is high, and after the first quarter of 2010，it reduces but sill fluctuates largely; financial stress indexes have significant linear and nonlinear Granger effects on the industrial added value. The results of predicting financial pressure indexes show that China’s financial stress will fluctuate in the high position of the low stress regime after the second half of 2011 and it trends to switch to the high stress regime; financial system is unstable.
［Key words］ financial pressure index; economic growth; industrial added value; dynamics relationship
中国系统重要性银行的风险传染性研究
宋群英
［摘 要］ 本文从资本市场的角度出发，运用Copula函数方法对中国14家上市银行之间的风险传染性进行分析，使用尾部相关系数作为度量风险传染性的指标。主要结论如下：（1）通过比较次贷危机前后尾部相关系数的变化，确定工商银行、建设银行、中国银行、交通银行、民生银行和中信银行6家银行为中国的系统重要性银行；（2）中国的系统重要性银行传染性非常强，一旦发生风险可能会对其他银行乃至整个金融业产生极大的破坏力，因此，这些银行是“大而不能倒”的，必须加强对这些银行的监管，做到宏观审慎监管与微观审慎监管相结合。
［关键词］ 系统重要性银行；上市银行；风险传染；金融危机
［Abstract］ From the angle of capital market, this paper uses Copula function to measure the risk contagion of 14 listed banks in China. Tail-dependence coefficient is applied to measure the risk contagion. By contrasting the change in values of tail-dependence coefficient before and after sub-prime mortgage crisis, the paper confirms that six banks, including ICBC, CCB, BOC, Bank of Communications, CMBC and CITIC Bank, are the systemically important banks in China. The contagion of systemically important banks is very significant. Once risks break out, other banks and even the whole financial sector may be seriously impacted. Therefore, the six banks are“too big to fail”. The regulation authority should intensify the supervision on systemically important banks and combine macro-prudential regulation with micro-prudential regulation.
［Key words］ systemically important bank; listed bank; risk contagion; financial risk
商业银行外汇风险暴露及其影响因素
王相宁 王敷慧
［摘 要］ 本文以中国上市的14家商业银行为研究对象，计算未被预期到的汇率变动率及各家银行的外汇风险暴露系数，采用偏最小二乘回归法对影响商业银行外汇风险暴露水平的诸因素进行分析。结果表明，有 7家银行有显著的外汇风险暴露系数，其中6家受到人民币升值的不利影响。对于受人民币升值不利影响的银行，现金流量能力越强，对汇率波动的敏感性越低；资产负债率越高、规模越大、成长性越高，对汇率波动的敏感性越高。相对于其他财务指标来说，资产负债率对银行的外汇风险暴露水平具有更大的影响力。
［关键词］ 商业银行；外汇风险暴露；汇率变动；负债率；人民币升值
［Abstract］ This paper calculates the unexpected change of exchange rate and the coefficients of foreign exchange risk exposure of Chinese 14 listed commercial banks and, with Partial Least-squares Regression, analyses the factors to impact commercial bank's foreign exchange risk exposure. The results show that 7 banks have significant exposure coefficients of foreign exchange risk, of which 6 are adversely impacted by RMB appreciation. When adversely affected by RMB appreciation, the banks that have stronger cash flow will have lower sensitivity to exchange rate fluctuations. On the contrary, the banks with higher asset-debt ratio, larger asset scale and more rapid growth will have higher sensitivity. Compared to other financial indicators, asset-debt ratio has more influence on foreign exchange risk exposure.
［Key words］ commercial bank; foreign exchange risk exposure; change of exchange rate; debt ratio; RMB appreciation
资本充足率、市值资产比例与银行风险
张继袖 陆宇建
［摘 要］ 基于风险和回报的基本关系，本文检验了以会计指标为主要计量尺度的资本充足率和以市场指标为计量手段的市值资产比例是否能够代表银行风险。研究发现，会计指标在没有被操控的情况下可以预测银行风险。虽然资本充足率也能够反映银行风险，但市值资产比例对银行股价回报的解释力更强，尤其在危机时期。本文建议，监管机构依然可以坚持选用资本充足率这样的会计指标监控银行风险，同时辅以市场指标，因为中国资本市场受到人为因素和政策因素干扰较多，股票价格不一定如实反映内涵价值，还应该坚持以会计指标为主。
［关键词］ 资本充足率；市值资产比例；银行安全；银行风险
［Abstract］ Based on the fundamental relationship between risk and return, this paper examines whether or not capital adequacy ratio, measured by accounting indicators, and the ratio of market value to assets, measured by market indicators, can represent bank risk. The results show that accounting indicators can be used to predict bank risk on condition that accounting indicators are not manipulated. Although capital adequacy ratio can reflect the risks of bank, the ratio of market value to assets can better explain the returns of bank stock, especially during the period of financial crisis. The paper suggests that regulatory agencies can still use such accounting indicators as capital adequacy ratio to supervise and control the risks of bank and employ market indicators as supplements in the meanwhile. Because the Chinese capital market is interfered by human and policy factors and stock price does not certainly reflect the true value, it is necessary to use accounting indicators as main indicators.
［Key words］ capital adequacy ratio; proportion market value of asset; bank safety; bank risk
商业银行利率市场化之利率风险分析及其压力测试研究
李 颖
[摘要] 本文研究我国推行利率市场化过程中商业银行所面临的利率风险，以中国工商银行数据为例，基于敏感性压力测试的方法，测试国有大型商业银行遭遇潜在利率风险时，其风险抵抗及应对能力。研究表明，压力测试作为一种国际通行的测量极端潜在风险的方法，对于利率风险的规避具有定量分析的意义。目前中国大型商业银行处于短期内为利率敏感性负缺口，此类情形在利率升高时将面临利润下降的风险。商业银行应考虑加快业务创新，全面加大发展中间业务，增加非利差收入，抵消因利率风险给银行带来的收益减少。
[关键词] 利率市场化；商业银行；利率风险；压力测试
［Abstract］ This paper researchs on the interest rate risk faced by the Chinese commercial banks in the process of the liberalization of interest rate. Based on the data of ICBC and the method of sensitivity stress test, the paper measures the analytic results of interest rate risk under stress situation and the large state-owned commercial bank’s capabilities to cope with the risks while the bank encounters potential interest rate risk. The results show that stress test, as an internationally accepted method to measure the potential extreme interest rate risk, has a function of quantitative analysis for the aversion of interest rate risk. Currently, Chinese large commercial banks are in the stage of short-term negative gap of interest rate sensitivity. The banks face the risk that profits may fall once interest rates increase. Commercial banks should accelerate business innovation, develop intermediary business and increase non-spread revenue to offset the decrease in earnings resulting from interest rate risk.
［Key words］ liberalization of interest rate; commercial bank; interest rate risk; stress test
中国利率市场化改革的模式和顺序
周 冰
［摘 要］ 本文通过分析各国利率市场化改革的经验，总结出三种主要的改革模式，即市场驱动型、政府激进型和政府渐进型改革模式。基于中国利率改革的进程，中国的利率市场化改革应该属于政府渐进型模式。在此基础上，本文将未来我国利率改革划分为四个阶段，并利用16家上市银行的数据对相关阶段银行业所受影响进行实证分析，发现上述四个阶段中，短期存款利率放开对银行业的冲击最大，因此应该最后逐步实现，以降低改革成本。为了更好地适应利率市场化改革，商业银行应该测算利率市场化后续改革措施可能的冲击影响，加快业务结构转型。
［关键词］ 利率市场化；市场驱动型改革；政府激进型改革；政府渐进型改革；商业银行
［Abstract］ Based on the experience analysis of the liberalization reform of the interest rate in different countries, this paper sums up three reform models, which are market-driven, government- radical and government-progressive. Considering the process of Chinese interest rate reform, it should be the government-progressive model. In the paper, the Chinese reform of interest rate is divided into four stages, and the impacts on banking industry during the relevant stages are empirically analysed based on the data of 16 listed banks. It is found that, in the above four stages, the liberalization of interest rate of short-term deposits impacts the banking sector the most, so it should be implemented in the final phase to reduce the cost of reform. In order to adapt to market-oriented reform of interest rate, commercial banks should measure the impacts of the following measures of the liberalization reform of interest rate and accelerate business restructuring.
［Key words］ liberalization of interest rate; market-driven reform; government- radical reform; government-progressive reform; commercial bank
中国上市银行内部控制审计现状分析及对策建议
白 涛 何小杨
［摘 要］ 作为内部控制系统的再监督机制，内部控制审计对于银行业具有重要的作用。随着《企业内部控制基本规范》及配套指引的出台，中国各上市银行加快了规范内部控制审计的步伐，但在内部控制审计的地位、独立性和权威性、方法论、信息化、行业标准化和团队建设中仍存在一些不足。有关的完善建议包括：从组织架构和管理体制上确保内部审计的地位；更加充分重视风险文化的建立；更加注重对审计方法论、技术和内容等的精细化研究；培养专家型和研究型的审计人员；开发更多的计算机审计技术；监管部门应加快出台银行业内部控制审计操作指南。
［关键词］ 上市银行；内部控制；内部控制审计；风险管理；公司治理
［Abstract］ As a re-supervising mechanism of internal control system, the internal control audit plays a decisive role in the banking sector. Along with the promulgation of C-XOS and its supporting guidance, Chinese listed banks have been accelerating their steps to regulate their internal control audit. However, some deficiencies still exist in the internal control audit, such as its status, independence and authority, methodology, informatization, standardization and team development. The suggestions are mainly as follows: ensuring the status of internal audit in the aspects of organization framework and management mechanism; attaching more importance to the establishment of risk culture; paying attention to high quality research in audit methodology, technology and content; cultivating specialist-type and research-type auditors; developing more computerized audit technology; encouraging the regulation authority to promulgate operational guidance in internal control audit as soon as possible.
［Key words］ listed bank; internal control; internal control audit; risk management; corporate governance
欧洲主权债务危机演进及对中资银行的启示
罗 宁 王 婕
［摘 要］ 受全球金融危机的持续影响和欧元区制度问题的激化，欧洲主权债务危机呈愈演愈烈之势，逐步从边缘国家扩散至核心国家，并从主权债务危机向银行业危机演化。目前，欧元区重债国采取的财务整顿政策难以在短期发挥缩减赤字的作用，反而加大复苏风险；对重债国援助资金总量有限，其发放门槛徒增短期违约风险；欧洲央行购买国债虽有利于缓解危机恶化，但量化宽松的政策与其控制通胀的设立宗旨存在矛盾。在此背景下，中资银行应调整涉欧资产配置，进一步加强国别风险研究和管理，积极稳健地推进国际化经营，打造资产、业务和经营地域多元化的国际化银行。
［关键词］ 欧元区；主权债务危机；银行业危机；中资银行
［Abstract］ Affected by sustaining global financial crisis and the escalation of institution contradiction of Eurozone, sovereign debt crisis in Europe tends to be increasingly intensified, gradually expands from peripheral countries to core countries and switches from sovereign debt crisis to the banking crisis. At present, the financial overhaul policies adopted by heavily indebted countries in Eurozone are hard to reduce financial deficit in the short term but pose threats to economic recovery; the volume of funds to rescue heavily indebted countries is limited and setting rescue threshold may increase their short-term default risks; although the behaviour of European Central Bank to purchase sovereign bonds may alleviate the deterioration of crisis, such quantitative easing policy contradicts to the aim of ECB to control inflation. Under the above backgrounds, Chinese banks should adjust their asset allocation related to Europe, further enhance the research and management of country risk, push forward international operation pro-actively and steadily and try their best to establish international banks with diversified assets, business structures and business areas.
［Key words］ Eurozone; sovereign debt crisis; the banking crisis; Chinese banks
国际化银行组织架构分析与借鉴
刘明坤
［摘 要］ 20世纪70年代以后，西方银行开始进行组织架构的变革。以客户为中心、专业化和垂直型的组织架构模式已经成为包括国际化银行在内的西方银行的主流模式。本文通过对几家典型国际化银行的考察发现，国际化银行的组织架构并没有统一的模式，但具有共同的特点，即以客户为中心设计组织架构、矩阵式结构应用普遍、组织架构与战略及环境相匹配、组织形式灵活等。中资银行可以得到的借鉴在于：组织架构不能“一劳永逸”，需要不断调整；设计组织架构要综合考虑内外部因素，“量体裁衣”；进一步围绕客户设置前台部门；逐步推进业务线垂直管理；考虑对境外机构的区域管理等。
［关键词］ 国际化银行；组织架构；以客户为中心；矩阵管理；区域管理
［Abstract］ In 1970s, the western banks began to reform their organizational structures. The customer-centered, professional and vertical organizational model has now become the mainstream model of western banks including international banks. After examining a few typical international banks, the author finds that there is no universal organizational model for international banks, but there are common characteristics of their organizational structures, including customer-centered organizational design, the wide adoption of matrix model, the match among organizational structure, strategy and environment, flexible organizational form, etc. What Chinese banks can learn from international banks is that the organizational design is not “once and for all” and should be adjusted constantly; both internal and external factors should be taken into consideration in deciding the organizational structure; front-office departments should be customer-centered; the vertical management of business lines should be further promoted; regional management of overseas subsidiaries could be considered as an option.
［Key words］ international bank; organizational structure; customer-centered; matrix management; regional management