资产价格、信贷波动与逆周期资本缓冲
朱 宇 (3)
Asset Price, Credit Fluctuation and Counter-Cyclical Capital Buffer
ZHU Yu (3)
银行缓冲资本调节与资产风险变化——基于中国商业银行的实证研究
李海洪 李 刚 胡 金 (8)
Adjustments in Capital Buffers and Changes in Asset Risks of Banks——An Empirical Study of Chinese Commercial Banks
LI Hai-hong LI Gang HU Jin (8)
行业差异、违约概率周期性与银行缓冲资本
曹 麟 (14)
Industry Differences, Default Probability and Capital Buffers of Bank
CAO Lin (14)
地缘政治动荡评价与中资银行应对策略
程 实 (24)
The Evaluation of Geopolitical Unrest and the Strategies of Chinese Banks
CHENG Shi (24)
社会信任、政治关联与中小企业融资
郭丽婷 (34)
Social Trust, Political Association and SME’s Financing
GUO Li-ting (34)
高管团队背景特征与银行创新能力关系研究
吴成颂 黄送钦 唐伟正 刘 勇 (43)
A Study of Relationship between Top Management Team’s Backgrounds and Innovation Ability of Bank
WU Cheng-song HUANG Song-qin TANG Wei-zheng LIU Yong (43)
非贷款业务对银行一级资本充足率的影响
王 琼 刘 亚 (52)
The Influence of Non-Credit Business on the Tier-1 Capital Adequacy Ratio of Banks
WANG Qiong LIU Ya (52)
科技金融信用风险的识别、度量与控制
汪 泉 曹 阳 (60)
The Identification, Measurement and Control of Credit Risks in Sci-Tech Finance
WANG Quan CAO Yang (60)
大商业银行同业业务风险与顺周期性研究
章向东 姚 斌 (65)
A Study of the Risks and Procyclicality of Commercial bank’s Interbank Business
ZHANG Xiang-dong YAO Bin (65)
跨国银行内部资本市场的金融风险传导
袁 洋 许国艺 (72)
Financial Risk Transmission in Internal Capital Markets of Multinational Banks
YUAN Yang XU Guo-yi (72)
资产价格、信贷波动与逆周期资本缓冲
朱 宇
［摘 要］ 本文对巴塞尔资本监管协议实施以来几次重大的经济衰退及信贷紧缩过程的分析发现，在银行面临资本监管约束的情况下，经济衰退过程中的信贷紧缩造成经济波动放大是一个资产价格、资本充足率和银行信贷相互影响、自我实现的过程，资产价格波动是银行资本监管约束实现其亲周期性的重要途径。资产价格波动影响银行的资本充足水平，并通过改变资本约束影响信贷供给，因此，逆周期资本缓冲同资产价格挂钩是必要的。基于资产价格对于银行信贷波动及顺周期的影响，可以将资产价格作为逆周期资本缓冲的挂钩变量之一。
［关键词］ 资产价格；信贷波动；资本缓冲；资本监管
［Abstract］ This paper analyses several major economic recessions and credit reductions since the implementation of the Basel Capital Supervision Accords. It is found that, on conditions that banks confront capital regulation constraints, credit reduction amplifying economic fluctuation during economic recession is a process of self-realization and interaction between asset price, capital adequacy ratio and bank credits, and fluctuation in asset price is an important way for capital regulation constraints to realize pro-cycle. Fluctuation in asset price influences the capital adequacy of bank and the credit supply by changing capital constraints. Therefore, it’s necessary that counter-cyclical capital buffer is linked with asset price. Considering the impacts of asset price on fluctuation in bank credits and pro-cycle, asset price can be one of the variables linked with counter-cyclical capital buffer.
［Key words］ asset price; credit fluctuation; capital buffer; capital regulation
银行缓冲资本调节与资产风险变化——基于中国商业银行的实证研究
李海洪 李 刚 胡 金
［摘 要］ 本文基于中国52家商业银行2007~2012年的非平衡面板数据，运用最小二乘法和广义矩估计（GMM）研究方法，对中国银行业缓冲资本调节与资产风险变化的关系进行实证研究。中国银行业缓冲资本调节与资产风险变化总体上互为正相关关系，对于缓冲资本水平低于4%的银行，两者之间则呈现负相关关系。因此，对于缓冲资本水平较高的银行，可以考虑适当增加风险资产，以提高资本的利用率；对于缓冲资本低于4%的银行，其缓冲资本具有一定的顺周期性，建议资本监督部门以4%缓冲资本水平为参考，对中国银行业的缓冲资本水平进行具体的指导。
［关键词］ 缓冲资本水平；缓冲资本调节；资产风险变化；巴塞尔协议Ⅲ
［Abstract］Based on the unbalanced panel data of Chinese 52 commercial banks during 2007~2012, this paper uses the least squares method and GMM to analyse the relationship between adjustments in capital buffers and changes in asset risks of Chinese banks. It is found that the adjustments are positively correlated overall with the changes, however, as for the banks with less than 4% capital buffers, the adjustments are negatively correlated with the changes. Therefore, the banks with high level of capital buffers can increase their risk assets to improve the utilization of capitals; as for the banks with less than 4% capital buffers, their capital buffers are pro-cyclical. It is suggested that regulatory institutions use 4% capital buffers as an instruction for the capital buffer level of Chinese commercial banks.
［Key words］ capital buffer level; adjustment in capital buffer; change in asset risk; Basel Ⅲ
行业差异、违约概率周期性与银行缓冲资本
曹 麟
［摘 要］ 本文设计了一个考虑贷款行业差异的宏观压力测试方法，对监管资本充足性进行评估。研究表明，贷款行业不同，根据压力测试结果设置的缓冲资本及缓冲资本比例是不同的。各行业违约概率的顺周期性及波动性存在差异；宏观冲击下单位信贷资产所需缓冲资本数量决定于违约概率顺周期性大小与违约概率的波动性大小；违约概率顺周期性低的行业，所需缓冲资本比例仍然可能较高；商业银行信贷资产过于集中在单个行业，所需缓冲资本比例往往高于分散化的信贷组合，而保持合理的行业信贷组合可有效降低所需缓冲资本比例。
［关键词］ 行业差异；违约概率；银行缓冲资本；监管资本；经济周期
［Abstract］ This paper proposes a method, in which industry difference is considered, to test macro-stress and assess the adequacy of regulatory capital. The results of the paper show that, for different industry that receives loans, the capital buffers and the capital buffer ratio are different. The pro-cyclicality and fluctuation in default probability of different industry are not the same; in the period of macro-impact, capital buffers of per unit credit asset depends on the pro-cyclicality and fluctuation in default probability; if the bank issues loans to the industry that has low default probability, the bank may need a high capital buffer ratio; the bank whose credit assets are concentrated in one single industry needs a higher capital buffer ratio than the bank that has a diversified credit portfolio, and a reasonable credit portfolio can effectively reduce capital buffer ratio.
［Key words］ industry difference ; default probability ; capital buffer of bank ; regulatory capital ; economic cyclicality
地缘政治动荡评价与中资银行应对策略
程 实
［摘 要］本文应用层次分析法建立地缘政治动荡评价体系，从政治冲击、经济冲击和金融冲击三个维度衡量地缘政治动荡的风险等级。其中，政治冲击的等级取决于政治脆弱性、地缘政治动荡所属长期冲突的级别、地缘政治动荡的危险性和重要性；经济冲击的等级取决于经济脆弱度、经济影响力、资源影响力和经济冲击传染性；金融冲击的等级取决于金融脆弱度、市场影响力、金融冲击传染性以及动荡带来的市场恐慌度。本文还以2013年泰国政治动荡为例，介绍研究框架的实际应用，并从集团、境外机构和相关业务部门三个层面提出中资银行应对不同风险等级地缘政治动荡的框架性策略。
［关键词］ 地缘政治动荡；风险等级；评价体系；层次分析法；中资银行
［Abstract］ This paper uses the Analytic Hierarchy Process to construct an evaluation system and measure the risk grade of geopolitical unrest in three dimensions, political shock, economic shock and financial shock. The risk grade of political shock depends on the political vulnerability, the grade of long-term conflict to which the geopolitical unrest belongs, the damage and importance of the geopolitical unrest. The risk grade of economic shock depends on the economic vulnerability, the economic influence, the resource influence and the propagation of economic shock. The risk grade of financial shock depends on the financial vulnerability, the market influence, the propagation of financial shock, the market panic caused by the unrest. The paper builds a framework of basic research and explains the application of the framework with the case of political turmoil in Thailand in 2013. The strategies of Chinese banks to deal with geopolitical unrest in different risk levels are proposed for group, overseas institutions and relevant business departments.
［Key words］ eopolitical unrest; risk grade; evaluation system; Analytic Hierarchy Process; Chinese bank
社会信任、政治关联与中小企业融资
郭丽婷
［摘 要］ 本文通过理论模型的构建论证了政治关联在民营中小企业融资中的作用，并以312家中小企业板上市公司2007~2012年的数据，对政治关联对民营中小企业融资、社会信任的影响及政治关联与社会信任在民营中小企业融资中是否存在替代效应进行实证检验。研究发现：有政治关联的民营中小企业面临着较少的融资约束；政治关联的普遍建立不利于该地区社会信任的建立；政治关联与社会信任在中小企业融资中起着相互替代的作用，即政治关联较高的地区，政治关联在信贷融资中起着关键性作用，而社会信任度较高的地区，社会信任起着关键性作用。
［关键词］ 政治关联；民营中小企业；信贷；融资；社会信任
［Abstract］ This paper constructs a theoretical model to demonstrate the role of political association in the financing of private SMEs. Based on the data of 312 companies listed in SME board during 2007~2012, the paper tests the influence of political association on the financing and social trust of private SMEs, and whether the political association and social trust have substitution effects in the financing of private SMEs. It is found that the private SMEs with political association confront fewer financing constraints; the area in which political association is generally established is not conducive to the formation of social trust; political association plays a replaceable role with social trust in SME financing, which means that, in a high-political-association area, political association plays a key role in financing, and in a high-social-trust area, social trust does so.
［Key words］ political association; private SMEs; credit; financing; social trust
高管团队背景特征与银行创新能力关系研究
吴成颂 黄送钦 唐伟正 刘 勇
［摘 要］ 本文借鉴“高层梯队理论”的研究思路，以2002~2011年中国13家上市银行为主要研究对象，考察高管团队特征对银行创新能力的影响。研究结果表明，银行高管团队背景特征对中国商业银行的创新能力具有显著的影响，并呈现出不同的作用路径。具体表现为，银行创新能力与高管团队学历间呈正相关性；与高管团队年龄、任期间均呈倒U形关系，并分别存在关系“分水岭”，即年龄为50岁和任期为7年的时候。银行高管团队特征影响着中国商业银行的创新能力，在分析和培育银行创新能力时，有必要考虑银行高管团队的人口特征。
［关键词］ 高管团队；高层梯队理论；上市银行；创新能力
［Abstract］ According to the Top Echelon Theory, this paper uses the cases of Chinese 13 listed banks during 2002~2011 to test the influences of Top Management Team’s(TMT’s) backgrounds on the innovation ability of bank. The results of the paper show that TMT’s backgrounds have significant influences on the innovation ability of Chinese commercial banks and the influences show in different ways: innovation ability correlates positively with TMT’s education and has an inverted U-shaped relationship with TMT’s age and tenure; there is a watershed in the relationship, i.e. the age of 50 years old and the tenure of 7 years. Because the TMT’s backgrounds have influences on the innovation ability of Chinese commercial banks, it is necessary to consider the TMT’s demographic characteristics of banks when the innovation ability is analysed or cultivated.
［Key words］ Top Management Team; Top Echelon Theory; listed bank; innovation ability
非贷款业务对银行一级资本充足率的影响
王 琼 刘 亚
［摘 要］ 本文以中国内地108家商业银行2006~2012年度的财务数据为样本进行统计分析，结果表明：中国商业银行的非贷款业务规模与一级资本充足率之间存在负相关，它不仅不能起到节约一级资本的作用，反而还会拉低非利息收入占比高于15%的银行一级资本充足率水平。随着银行非贷款业务规模的扩大，这种负效应更显著、作用程度也更深；决定一级资本充足率的微观因素随银行业务结构不同呈差异化，但上期一级资本充足率偏离和当期不良贷款率均为关键因素。银行必须理性发展非贷款业务，盲目追求业务结构创新反而会对一级资本带来负面的冲击。
［关键词］ 商业银行；非贷款业务；非利息收入；一级资本充足率
［Abstract］ This paper uses the financial data of Chinese 108 commercial banks during 2006~2012 as samples for statistical analysis. The results of the paper show that, for Chinese commercial banks, there is a negative relationship between the scale of non-credit business and tier-1 capital adequacy ratio; the non-credit business has no influence on saving tier-1 capital, on the contrary, it reduces the tier-1 capital adequacy ratio of the bank whose proportion of non-interest income is greater than 15%. With the expansion of non-credit business scale, the above negative effects are more obvious and stronger. The micro-factors that decide tier-1 capital adequacy ratio differ with the change in business structure of banks, however, the deviation of capital adequacy ratio in the last term and the current NPL ratio are key factors. Banks should develop their non-credit business rationally rather than blindly, otherwise, their business innovation will result in adverse impacts.
［Key words］ commercial bank; non-credit business; non-interest income; tier-1 capital adequacy ratio
科技金融信用风险的识别、度量与控制
汪 泉 曹 阳
［摘 要］ 与一般金融活动面临的风险相比，科技金融的信用风险更大。加强对科技金融的信用风险管理，需要适度放宽对这种风险的容忍度，注重运用“SPECIAL”信用评价法进行信用风险识别和度量，并按照风险规避、风险覆盖、风险转移、风险分散、风险补偿的路径和方法，采取以下风险控制措施：建立科技金融专营机构以规避风险；开发适应性金融产品使总体收益足以弥补项目损失；发展履约保证保险和科技担保贷款以转移风险；构建和发展多层次资本市场以分散风险；政府优化公共资源配置从而对科技金融活动进行风险补偿。
［关键词］ 科技金融；科技型企业；信用风险管理；风险控制
［Abstract］Compared with the risks in general financial activities, the credit risks in sci-tech finance is greater. To strengthen the management of the credit risks in sci-tech finance, it’s necessary to raise the tolerance for the risks, use the credit evaluation method SPECIAL to identify and measure credit risks, and according to such path or method as risk aversion, risk coverage, risk transfer, risk diversification, risk compensation, take following measures to control risks: establish a specialized organization for sci-tech finance to avert risks; develop adaptive financial products so that overall revenue can compensate project loss; develop performance guarantee insurance and sci-tech guarantee credits to transfer risks; develop a multi-level capital market to diversify risks; the government makes the allocation of public resources optimized so as to compensate risks.
［Key words］ sci-tech finance; sci-tech enterprise; management of credit risk; risk control
商业银行同业业务风险与顺周期性研究
章向东 姚 斌
［摘 要］ 本文在对同业业务发展及其风险进行分析的基础上，着重对同业业务的顺周期性进行分析和评估。通过测算弹性系数表明，同业负债对名义GDP的弹性系数大于广义信贷；通过HP滤波方法发现，“同业负债/GDP”偏离度要明显大于“广义信贷/GDP”等指标，即“同业负债”顺周期性表征功能更强，在宏观审慎管理实践中，可视为有效的补充监测指标。为规范发展同业业务，要尽力引导金融机构优化负债结构，同时控制部分类型业务的规模；创新宏观审慎指标和工具，加强监测分析和流动性风险管控；利用部际监管联席会议制度，加强部门间沟通和信息共享制度建设。
［关键词］ 商业银行；同业业务；顺周期；宏观审慎监管
［Abstract］ Based on the analysis of the development and risks of interbank business, the paper focuses on the measurement of the procyclicality of interbank business. The estimate of elasticity coefficient shows that the elasticity coefficient of interbank debt to nominal GDP is greater than that of generalized credit. The analysis based on the HP filter method shows that the deviation of interbank-debt / GDP is obviously greater than that of generalized-credit / GDP or other indexes, which means that interbank debt show a more obvious procyclicality, and can be an effective complement of monitoring indicator in the practice of prudent macro-management. In order to regulate interbank business, it’s necessary to guide financial institutions to optimize debt structure, and meanwhile control the scale of some business; innovate macro-prudential indicators and tools, strengthen the monitoring, analysis and control of fluidity risks; make use of department-joint-conference system to improve the communication and system of sharing information.
［Key words］ commercial bank; interbank business; procyclicality; prudent macro-supervision
跨国银行内部资本市场的金融风险传导
袁 洋 许国艺
［摘 要］ 本文利用1999~2012年的47家跨国银行分布于五大洲的54个发展中国家或新兴经济体的235家分支机构的数据，验证跨国银行内部资本市场风险传递的作用。研究表明：在经济平稳期，分支机构更依赖母银行的内部资本市场以支持其贷款增长，欧洲地区分支机构的表现尤为明显，而且一定程度上受总部与分支机构是否在同一地域的限制；新设立的或贷存比高的银行更容易依靠母银行的支持而不是根据自身积累的资金来支持贷款增长，同时金融开放程度高或银行业集中度低的环境下，内部资本市场金融风险传导的作用更强。
［关键词］ 跨国银行；内部资本市场；金融风险传导；贷款
［Abstract］ Based on the data of the 235 foreign branches of 47 multinational banks in 54 developing countries during 1999~2012, this paper tests the role of internal capital markets of multinational banks in risk transmission. It is found that, in the period of economic stability, the branches depend more on the internal capital markets of parent banks to maintain loan growth, which is particularly evident in Europe and dependent on whether headquarter and branch offices are in same region; newly-established banks or banks that have a high ratio of loan to deposit rely more on the supports of parent banks rather than their own accumulated funds to maintain loan growth; in an environment with high-degree financial openness or low-degree banking concentration, the internal capital markets have greater effects on financial risk transmission.
［Key words］ multinational bank; internal capital market; financial risk transmission; loan