商业银行利率风险的表现特征及分类差异性解析
李 成 郑 怡 (3)
An Analysis of the Performance Characteristics and Classification Differences in the Interest Rate Risks of Commercial Banks
LI Cheng ZHENG Yi (3)
商业银行利率敏感性缺口与利率风险防范——基于上市银行的实证分析
谢四美 (11)
Interest Rate Sensitivity Gap and Risk Prevention of Commercial Banks——An Empirical Analysis Based on Listed Banks
XIE Si-mei (11)
存贷利差对居民收入差距的影响
周 丹 金雪军 (20)
The Influence of Interest Spread on Resident’s Income Gap
ZHOU Dan JIN Xue-jun (20)
美国商业银行利率定价机制分析
潘小明 (27)
An Analysis of the Interest Rate Pricing Mechanism of US the Commercial Banks
PAN Xiao-ming (27)
商业银行差异化战略比较研究
刘 涛 张同建 马国建 (35)
A Comparative Study of the Differentiation Strategy of Commercial Bank
LIU Tao ZHANG Tong-jian MA Guo-jian (35)
银行体系流动性的影响因素及实证检验
王宇明 曲洪建 张相贤 (40)
The Factors and Empirical Examination of the Liquidity of Banking System
WANG Yu-ming QU Hong-jian ZHANG Xiang-xian (40)
商业银行理财业务风险控制研究
马俊胜 张龙清 (48)
A Study of the Risk Control of Commercial Bank’s Wealth Management Business
MA Jun-sheng ZHANG Long-qing (48)
商业银行综合化经营风险研究
马 雯 陈彦达 (53)
A Study of the Integrated Operation Risks of Commercial Banks
MA Wen CHEN Yan-da (53)
银行同业业务发展现状及风险分析
肖 崎 阮健浓 (58)
An Analysis of the Developmental Status and Risks of Interbank Business
XIAO Qi RUAN Jian-nong (58)
银行大额风险暴露的测度及监管框架
孙健翔 巴曙松 朱元倩 (65)
The Measuring and Supervision Framework of the Large Risk Exposure of Banks
SUN Jian-xiang BA Shu-song ZHU Yuan-qian (65)
商业银行事后监督理论体系初探
戴志华 (72)
A Preliminary Study of the Theoretical System of Commercial Bank’s Subsequent Monitoring
DAI Zhi-hua (72)
商业银行利率风险的表现特征及分类差异性解析
李 成 郑 怡
［摘 要］ 本文以中国同业拆借市场利率随机波动模拟市场化利率变化，建立GARCH族模型定量分析商业银行整体利率风险的特征状况，通过计算银行同业拆借头寸动态VaR值，对不同类型银行利率风险的差异性进行分析。研究结果表明：（1）银行业整体利率风险较大，但同业拆借利率风险尚小；（2）银行间同业拆借市场利率波动的杠杆效应显著，利好消息影响大于利空消息，其中，城市商业银行和外资银行杠杆效应更为明显；（3）不同类型银行利率风险差异较大，其中，股份制商业银行利率风险最高，国有商业银行次之，城市商业银行和外资银行居后。
［关键词］ 商业银行；利率风险；差异性分析；GARCH族模型
［Abstract］ Based on the random fluctuation in the interest rates of Chinese interbank market, this paper presents a simulation of the changes in market interest rates, establishes a GARCH family model to analyse the characteristics of the interest rate risks of commercial banks as a whole, calculates the dynamic VaR of interbank lending to analyse the differences in interest rate risks of different types of banks. The results show that: （1）the interest rate risks of banks as a whole are great, but the interest rate risks of interbank lending are little; （2）the leverage effect of the fluctuation in market interest rates of interbank lending is obvious, the impact of good news is greater than that of bad news, and the leverage effects of city commercial banks and foreign banks are more obvious; （3）the difference in the interest rate risks of different types of banks is great, the joint-stock commercial bank have the greatest interest rate risks, followed by the state-owned commercial banks, the city commercial banks and foreign banks have the lowest interest rate risks.
［Key words］ commercial bank; interest rate risk; difference analysis; GARCH family model
商业银行利率敏感性缺口与利率风险防范——基于上市银行的实证分析
谢四美
［摘 要］ 本文以利率市场化进程为背景，分析中国商业银行面临的利率风险类型及其表现。研究表明，不同规模的商业银行在管理利率风险的能力上存在差异，中小规模银行在资产负债表结构调整上的灵活性优于大规模商业银行；多数商业银行中长期资产与负债匹配失衡，面临着较大的中长期利率风险；存贷利率发生非对称性变化时，商业银行可能面临较大风险，现阶段中国商业银行的利率风险管理尚处于较低水平。为此，商业银行应构建高效的利率风险内部防范体系，营造良好的利率风险管理的外部环境，提高管理利率风险的能力。
［关键词］ 上市银行；利率风险；利率市场化；利率敏感性；敏感性压力测试
［Abstract］Combining the context of the liberalization of interest rate, this paper analyses the type and performance of the interest rate risks that Chinese commercial banks face. The results of the paper show that commercial banks with different scales differ in their abilities to manage interest rate risk, and small and medium-sized banks have more flexibility in balance sheet restructuring than large-scale commercial banks; the medium- and long-term assets of most commercial banks can not match their liabilities, so these banks face great medium- and long-term interest rate risks; when the deposit and loan interest rates asymmetrically change, commercial banks may face great risks; at this stage, the level of the interest rate risk management of Chinese commercial banks is low. Therefore, commercial banks should construct efficient internal systems to prevent interest rate risks, create a favorable external environment for the management of interest rate risks and improve the ability to manage interest rate risks.
［Key words］ listed bank; interest rate risk; liberalization of interest rate; interest rate sensitivity; sensitivity stress test
存贷利差对居民收入差距的影响
周 丹 金雪军
［摘 要］ 本文用对比分析方法，研究银行利差水平与收入分配的线性和指数关系。研究发现，银行存贷利差对收入分配的影响效应显著，且比经济因素影响直接和明显。在通货膨胀作用下，利差会加剧居民收入差距。存贷利差对居民收入分配存在逆向的补贴效应，扭曲的利差水平降低资源配置效率，减少低收入者的福利。为缓解金融抑制，应拓宽居民投资渠道，使居民投资方式实现多元化，缩小居民收入差距；放松银行业准入限制，优化金融资源配置效率，构建新的竞争格局；逐步加大市场化改革，推进利率市场化，使资金价格能够反映市场供求关系。
［关键词］ 商业银行；存贷利差；逆向“补贴”；收入差距；经济增长
［Abstract］ This paper uses comparative analysis method to research the linear and exponential relationship between the bank’s interest spread and the distribution of income. It is found that bank’s interest spread has a significant influence on the distribution of income, and the influence is more direct and more significant than that of economic factors. Under the impact of inflation, interest spread will reinforce resident’s income gap. The interest spread between loan and deposit has adverse subsidy effects on the distribution of resident’s income. The irrational level of interest spread reduces the efficiency in resource allocation and low-income resident’s welfare. To solve financial repression, it’s necessary to broaden resident’s investment channels, so resident’s investment may be diversified and the resident’s income gap may be reduced; to release banking access restrictions, improve the efficiency in the allocation of financial resources and form a new competitive market structure; to reinforce marketization reform and promote interest rate liberalization gradually so that money price can reflect the relationship between supply and demand of market.
［Key words］ commercial bank; interest spread; adverse subsidy; income gap; economic growth
“美国商业银行利率定价机制分析
潘小明
［摘 要］ 本文通过研究美国银行业的利率定价机制，得出如下结论：利率市场化可在短期内完成；利率管制并未给美国银行业带来超额利差与利润；无论是短期还是中长期，利率市场化均不必然导致利差水平下降；完善透明且国际化的金融市场催生其成熟的利率形成机制，联邦基金利率、LIBOR、国债及掉期利率分别作为美国银行业短中长期资金定价的基准利率。中国在不放松市场准入限制的情况下推进利率市场化，缺少一种机制来抵消超额利差；商业银行应建立融合利率、费率与汇率的客户关系定价机制，并重视建设全面风险管理体系和管理会计体系等。
［关键词］ 美国商业银行；利率定价机制；利率市场化； 基准利率
［Abstract］ This paper analyses the interest rate pricing mechanism of the US banks and comes the conclusion that the liberalization of interest rate can be completed in a short time; the interest rate control does not provide excess spread and profits for the US banks; in the short, medium or long term, the liberalization of interest rate does not necessarily result in a decrease in spread; perfect, transparent and international financial markets foster fine interest rate formation mechanism, the representation of which is that the federal fund rate, LIBOR, treasury security and swap rates become the benchmark interest rate for the US banks’ pricing respectively in the short, medium and long term. On condition that China does not relax the restriction on market entrance and promotes the liberalization of interest rate, there isn’t a mechanism to offset the excess spread; commercial banks should establish a customer-relationship pricing mechanism mixing interest rate, fee rate and exchange rate, and pay attention to total risk management system and management accounting system.
［Key words］ US commercial bank; interest rate pricing mechanism; liberalization of interest rate; benchmark interest rate
商业银行差异化战略比较研究
刘 涛 张同建 马国建
［摘 要］ 本文认为中国上市商业银行差异化战略实施的具体策略包括战略导向、数据库建设、市场细分、市场定位、产品差异化、分销渠道差异化、服务差异化和形象差异化。实证检验表明：国有、股份制和城市上市银行的差异化战略路径存在一定的差异。战略导向和客户数据库建设对上市银行差异化战略存在普遍的促进作用；分销渠道差异化对各类上市银行均未产生作用；国有上市银行的差异化优势在于市场细分、产品差异化、服务差异化和形象差异化，股份制上市银行的差异化优势在于市场定位，城市上市银行的差异化优势在于市场细分、市场定位和服务差异化。
［关键词］ 上市商业银行；差异化战略；市场定位；服务差异化；形象差异化
［Abstract］ This paper argues that the tactics of Chinese listed commercial banks to implement the differentiation strategy include strategic orientation, database construction, market segmentation, market positioning, product differentiation, distribution channel differentiation, service differentiation and image differentiation. The empirical tests of the paper show that the differentiation strategy paths of the state-owned, joint-stock and city listed banks are different; strategic orientation and customer database construction have positive influence for all listed banks; distribution channel differentiation has no influence on all listed banks; the differential advantages of state-owned listed banks are market segmentation, product differentiation, service differentiation and image differentiation, the differential advantage of joint-stock banks is market positioning, and the differential advantages of city listed banks are market segmentation, market positioning and service differentiation.
［Key words］ listed commercial bank; differentiation strategy; market positioning; service differentiation; image differentiation
银行体系流动性的影响因素及实证检验
王宇明 曲洪建 张相贤
［摘 要］ 本文在银行流动性现状分析的基础上，从理论上探究银行体系流动性的影响因素，然后采用2003年10月~2013年9月样本数据进行实证分析。研究发现：逆回购、财政性存款、央行票据、存款准备金率、再贴现率、保险新增量、信托新增量会降低银行体系流动性；从政策的效果看，存款准备金率、央行票据的影响程度较大，再贴现率的影响程度相对较小；外汇占款短期可以增加银行体系流动性，长期反而降低银行体系流动性；受到多方资产管理联动的影响，资本市场会提高银行体系流动性；对外业务对银行体系流动性影响甚少，随着对外业务的开展，该影响将越来越大。
［关键词］ 银行体系；流动性；流动性风险；利率市场化
［Abstract］ Based on the analysis of the status of banking liquidity, this paper presents a theoretical research on the factors to influence the liquidity of banking system, and then uses the sample data during October, 2003~September, 2013 to examine the factors empirically. It is found that reverse repo, fiscal deposits, central bank bills, deposit reserve ratio, rediscount rate, amount of new insurance, amount of new trust reduce the liquidity of banking system; from the perspective of the effects of policy, the impacts of deposit reserve ratio and central bank bills are great, but the rediscount rate has a relatively small impact; foreign exchange can increase the liquidity of banking system in the short term, but decrease the liquidity in the long term; due to the impact of multi-asset management，capital market will increase the liquidity；the impact of foreign business is little, but it will be greater and greater with the development of the business.
［Key words］ banking system; liquidity; liquidity risk; liberalization of interest rate
商业银行理财业务风险控制研究
马俊胜 张龙清
［摘 要］ 本文通过梳理目前银行理财业务中出现的各种“乱象”，即“资金池”管理模式、不当销售、关联交易无防火墙、理财产品投资不真实、信息披露不充分，进而剖析产生上述问题的根源。从本质上看，以上问题是对理财业务的信托法律关系认识不清和理解不透造成的。商业银行控制理财业务风险应确保理财资产独立、实行资金托管、严密监督关联交易、防止不当销售以及提高信息披露透明度。由此，文章提出发展商业银行理财业务的相关政策建议：抓紧着手银行理财业务立法、建立统一协调的监管体制、密切监督理财产品营销行为、督促银行建立理财风险管理体系。
［关键词］ 商业银行；理财业务；资产托管；风险控制；信息披露
［Abstract］ This paper summarizes the problems currently in bank’s wealth management business, i.e. “fund pool” management mode, improper sale, related party transaction without a firewall, untrue investment in wealth management products, inadequate disclosure of information, and then analyses the cause of the above problems. In essence, the wrong understanding of the trust legal relationship of wealth management business is the cause of the above problems. To control the risk of wealth management business, commercial banks should ensure the independence of wealth management assets, implement asset custody, supervise related transactions, prevent improper sale, increase the transparency of information disclosure. Thus, the paper proposes following policy recommendations for the development of wealth management business: to promote the legislation of wealth management business, establish a unified and harmonious regulation system, supervise the sale of wealth management products, urge banks to establish risk management system of wealth management products.
［Key words］ commercial bank; wealth management business; asset custody; risk control; information disclosure
商业银行综合化经营风险研究
马 雯 陈彦达
［摘 要］ 本文采用模拟合并方法，分析中国商业银行以全能银行形式实施综合化经营对其经营风险的影响。模拟分析结果显示，当以变异系数的倒数为风险衡量指标时，随着综合化经营程度的提高，每单位风险所能带来的收益呈现先升后降的趋势，从而为商业银行综合化经营程度的选择提供了参考。模拟分析结果还表明，商业银行实施综合化经营战略时，其经营结构也会对商业银行的风险与收益产生影响，当证券业务资产在非银行业务总资产中占较大比重时，商业银行可以在一定区间内调整其综合化经营程度而不影响风险收益比。
［关键词］ 商业银行；全能银行；综合化；综合化经营；经营风险；模拟合并法
［Abstract］This paper uses the simulated merger method to analyse the influence of the integrated operation of Chinese commercial banks as universal banks on operational risks. The result indicates that, when the reciprocal of VROE（varied coefficients of ROE、ROA） represents a measure of risk, the revenue of per unit of risk shows a trend that increases first and then decreases with the increase in the level of integrated operation. This result can be a reference for commercial banks to choose the level of integrated operation. The result also indicates that, when a commercial bank implements integrated operation strategy, its management structure will influence its own risks and revenues; when the assets of security business account for a large proportion of the total assets of non-banking businesses, the commercial banks can adjust the level of its integrated operation in a certain range without changing the ratio of risk to revenue.
［Key words］ commercial bank; universal bank; integrated; integrated operation; operation risk; simulated merger method
银行同业业务发展现状及风险分析
肖 崎 阮健浓
［摘 要］ 本文分析中国商业银行同业业务的发展现状及风险，特别对民生和兴业两家银行的同业业务进行了比较分析。研究表明：银行同业业务有利于金融机构之间资金的相互调剂，但同时其快速发展也改变了商业银行传统的经营模式和盈利方式，银行同业业务具有高杠杆操作、期限结构严重错配、依赖批发市场融资等特征，这增强了金融机构之间的系统关联性和内在脆弱性。因此，监管当局对同业业务宜疏不宜堵，应构建一个有效的、激励相容的宏观审慎管理体系，同时还需要加快推进金融体系的配套改革。
［关键词］ 商业银行；同业业务；民生银行；兴业银行；系统性风险
［Abstract］ This paper analyses the developmental status and risks of the interbank business of Chinese commercial banks, and especially presents a comparative analysis of the interbank business of the China Minsheng Bank and the Industrial Bank. The results of the paper show that interbank business is conducive to the mutual fund transfer between financial institutions, but its rapid growth has changed the traditional business mode and profit mode of commercial banks; interbank business has the characteristics of high-leverage operation, serious mismatch of term structure, depending on wholesale financing market, etc., which enhances systemic correlation and inherent vulnerability of financial institutions. Therefore, regulatory authorities should guide the interbank business, build an effective, incentive-compatible and macro-prudential management system, meanwhile accelerate the reform of financial system.
［Key words］ commercial bank; interbank business; China Minsheng Bank; Industrial Bank; systemic risk
银行大额风险暴露的测度及监管框架
孙健翔 巴曙松 朱元倩
［摘 要］ 本文从大额风险暴露监管发展的视角对银行资产组合的风险暴露集聚进行研究，分析巴塞尔委员会的大额风险暴露新框架对中国16家上市银行监管的影响。研究发现，大额风险暴露监管包括交易对手方识别、合格资本定义和风险暴露范围三个因素。新框架是对巴塞尔协议III在集中度风险监管方面的重要补充，中国现行的大额风险暴露监管主要针对贷款集中风险，与巴塞尔委员会的新框架尚有差距，需要进一步提高风险暴露的监管门槛与上限，提高系统重要性银行的监管敏感性，同时注重监管的适度性。
［关键词］ 大额风险暴露；关联交易对手；银行监管；巴塞尔协议III；系统重要性银行
［Abstract］ This paper analyses the development of the supervision policies of large risk exposure and the risk exposure accumulation of bank asset portfolio, and researches the influence of the Basel Committee’s new framework of large risk exposure on the supervision of Chinese 16 listed banks. It is found that the supervision of large risk exposure includes three factors, the counterparty identification, definition of qualifying capital and the range of risk exposure. The new framework is an important complement to the concentration risk regulation of the Basel III. At present, the supervision of large risk exposure in China mainly aims at the concentration risk of loan and it differs from the Basel Committee’s new framework. China needs raise the regulatory threshold and ceiling, improve the systemically important bank’s sensitivity to supervision, and meanwhile, pay attention to the moderation of supervision.
［Key words］ large risk exposure; related counterparty; bank supervision; Basel III; systemically important bank
商业银行事后监督理论体系初探
戴志华
［摘 要］ 基于对中国商业银行事后监督发展历程的研究，本文将事后监督归纳为分散、集中、重点和风险导向监督四个阶段，并提出了一个事后监督理论体系。本文认为：事后监督理论框架体系由监督目标、环境、主体、对象、职能构成；监督目标是事后监督理论体系的起点，事后监督应贯彻的风险导向、流程导向、竞争力导向和公司治理导向，决定了事后监督的风险管理、质量控制、流程改进和经营支持职能；不同的监督环境决定了不同的监督模式和特征；监督主体界定了事后监督的范围，事后监督属商业银行业务核算体系的自我约束机制；事后监督对象是业务核算与运行中的风险事件。
［关键词］ 商业银行；事后监督；风险管理；业务核算；风险事件
［Abstract］ Based on the study of the development process of Chinese commercial banks’ subsequent monitoring, this paper divides subsequent monitoring into four stages, i.e. decentralized monitoring, centralized monitoring, focal monitoring and risk-oriented monitoring, and proposes a theoretical system of subsequent monitoring. The author of the paper argues that the theoretical system consists of monitoring purpose, environment, entity, object and function. Monitoring purpose is the starting point of the theoretical system. Risk-orientation, process-orientation, competitiveness-orientation and corporate-governance-orientation, all of which should be implemented in subsequent monitoring, determine the functions of subsequent monitoring such as risk management, quality control, process improvement and operational support. Monitoring environment determines the monitoring mode and monitoring characteristics. Monitoring entity determines monitoring range. Subsequent monitoring should be regarded as a self-restriction mechanism in commercial bank’s business accounting system. Monitoring object is the risk events occurring in business accounting and operation.
［Key words］ commercial bank; subsequent monitoring; risk management; business accounting; risk event