关于商业银行事后监督战略转型的思考
易会满 (3)
Reflections on the Strategic Transformation of Commercial Bank’s Subsequent Monitoring
YI Hui-man (3)
资本充足率与杠杆率双重监管指标体系的构建——基于微观审慎监管框架的研究
崔婕 沈沛龙 (11)
The Construction of the Dual Regulation Index System of Capital Adequacy Ratio and Leverage Ratio of Commercial Bank——A Study Based on Micro-Prudential Regulatory Framework
CUI Jie SHEN Pei-long (11)
资本充足率监管效果——兼论《巴塞尔协议Ⅲ》的适用性
冯晓莹 韩永辉 (21)
The Regulatory Effects of Capital Adequacy Ratio——The Applicability of Basel III Accord
FENG Xiao-ying HAN Yong-hui (21)
资本充足性与商业银行风险行为
潘佐郑 (29)
Capital Adequacy and Risk Behavior of Commercial Banks
PAN Zuo-zheng (29)
核心资本充足率变动与商业银行盈利能力
段军山 杨 浦 (36)
Changes in Core Capital Adequacy Ratio of Commercial Banks and Their Profitability
DUAN Jun-shan YANG Pu (36)
资本充足率顺周期性的实证研究
俞晓龙 (44)
An Empirical Study of the Pro-Cyclicality of Capital Adequacy Ratio
YU Xiao-long (44)
利率市场化、金融监管与银行危机
尹 雷 赫国胜 (50)
Interest Rate Liberalization, Financial Regulation and Banking Crisis
YIN Lei HE Guo-sheng (50)
商业银行金融市场交易风险管理架构研究——以信用、市场、操作三大风险交互关系为视角
薛冬辉 李 莉 关宇航 (59)
A Study of the Management Framework of Commercial Bank’s Transaction Risks in Financial Market——From the Perspective of the Interactions among Credit Risks, Market Risks and Operational Risks
XUE Dong-hui LI Li GUAN Yu-hang (59)
民间借贷逾期行为研究——基于P2P网络借贷的实证分析
陈 霄 丁晓裕 王贝芬 (65)
A Study of the Overdue Behaviors in Private Borrowing——Empirical Analysis Based on P2P Network Borrowing and Lending
CHEN Xiao DING Xiao-yu WANG Bei-fen (65)
个人客户采纳手机银行的影响因素
王 蕾 卫文斐 李举超 (73)
The Factors to Influence Customer’s Adoption of Mobile Banking
WANG Lei WEI Wen-fei LI Chao-ju (73)
关于商业银行事后监督战略转型的思考
易会满
［摘 要］商业银行传统事后监督存在方式落后、理念技术滞后、管理机制欠缺、缺乏有效协同四个方面的不足，事后监督转型应改革传统规范导向的监督方式，实行风险导向的监督，增强业务运行风险管理能力；实行流程导向的监督，推动业务流程的持续改进；整合监督资源，完成监督体系由业务复审向风险管理与质量控制的战略转型。要实现上述事后监督转型的目标，应在事前和事中突出增强系统和流程对风险的控制能力；事后着力再造科学高效的监督流程；运行监督资源整合方面应注重发挥各类管理资源的协同效应与整体合力。新型事后监督体系的运行机理包括风险导向、良性循环、流程导向、功能完备。
［关键词］ 商业银行；事后监督；监督流程；战略转型
［Abstract］ There are four deficiencies in commercial bank’s subsequent monitoring, i.e., outdated monitoring way, lagged philosophy and technology, defective management mechanism and lack of effective coordination. The transformation of subsequent monitoring should include followings: to reform the traditional norm-oriented monitoring way and replace it with risk-based monitoring way so as to enhance the capability to manage risks of business operations; to implement process-oriented monitoring and promote continuous improvement in business processes; to integrate monitoring resources and realize the strategic transformation of monitoring system from business review to risk management and quality control. To reach the above goals of transformation, it is necessary to strengthen the capability of systems and processes to control risks prior to event and during event, to build scientific and efficient monitoring process after event. As to the integration of the resources of operational monitoring, it should focus on making use of the coordinated effects and integrated capacity of all management resources. The operational mechanism of new subsequent monitoring system includes risk-orientation, healthy cycle, process-orientation and fullness of function.
［Key words］ commercial bank; subsequent monitoring; monitoring process; strategic transformation
资本充足率与杠杆率双重监管指标体系的构建——基于微观审慎监管框架的研究
崔 婕 沈沛龙
［摘 要］ 本文以微观审慎监管框架为背景，研究构建中国商业银行的资本充足率与杠杆率双重监管指标体系。研究结果表明，单一资本充足率监管存在资本充足率的顺周期效应、监管资本套利、评判标准单一化、计算复杂等缺点；杠杆率监管指标尽管具有降低高杠杆特性、降低监管套利发生几率、计算简单、降低顺周期性等诸多优点，但该指标尚不能构成微观审慎监管框架的唯一指标，更不能作为资本充足率监管指标的替代，它只能作为资本充足率指标的补充标准。微观审慎监管框架的设立必须是以资本充足率监管为主、杠杆率监管为辅的双重监管指标体系的构建，进而形成资本监管体系的有效防护网。
［关键词］ 商业银行；微观审慎监管；资本充足率；杠杆率
［Abstract］ Based on micro-prudential regulatory framework, this paper researches the construction of the dual regulation index system of capital adequacy ratio and leverage ratio of commercial bank. The results of the paper show that the single regulation of capital adequacy ratio has the characteristics of pro-cyclical effects, capital regulation leverage, single criteria, complex computation and so on; though the regulation index of leverage ratio has the advantages such as reducing high leverage and the probability of regulatory arbitrage occurrence, simple computation, reducing pro-cyclicality, it can’t be the only index of micro-prudential regulatory framework, not mention to the alternative regulatory index of capital adequacy ratio, and it can only be the supplementary standard of capital adequacy ratio. The micro-prudential regulatory framework should be constructed into a dual regulation index system mainly based on the regulation of capital adequacy ratio and supplemented by the regulation of leverage ratio, so as to form an effective protection net for the capital regulation system.
［Key words］ commercial bank; micro-prudential regulation; capital adequacy ratio; leverage ratio
资本充足率监管效果——兼论《巴塞尔协议Ⅲ》的适用性
冯晓莹 韩永辉
［摘 要］ 本文对资本充足率监管措施试行期间（2007~2011年）的监管效果进行实证分析。研究结果表明，总资本充足率与不良贷款率负相关，但资本监管对银行体系造成的监管压力有限，银行风险管理亟须更为有效的监管措施；另一方面，提高资本充足率促使银行提高绩效，增强竞争力，资本新规有利于中国银行业发展。因此，中国商业银行应进一步完善风险监管体系，有效监控隐性风险；适当修正风险测度方法，提高指标计算中的贷款信用风险和债券投资风险的权重，使之更符合中国商业银行风险监管要求；加强银行自身管理水平和经营能力，利用反周期缓冲资本，提高抗冲击能力。
［关键词］ 商业银行；资本充足率；巴塞尔协议Ⅲ；风险管理
［Abstract］ This paper empirically analyses the regulatory effects in the trial period of regulatory measures of capital adequacy ratio（2007~2011）. The results show that, on the one hand, the total capital adequacy ratio has a negative correlation with non-performing loan, but the regulatory pressure, caused by capital regulation, on bank system is limited, therefore, the risk management of banks needs more effective regulatory measures; on the other hand, the increase in capital adequacy ratio promotes banks to improve their performance and enhance their competitiveness, thus, the new regulations of capital are conducive to the development of China’s banking industries. Therefore, China’s commercial banks should further improve their risk monitoring systems, effectively monitor hidden risks, amend risk measurement methods appropriately, raise the weights of the credit risks of loans and the investment risks of bonds in index computation so as to meet the risk regulatory requirements for China’s commercial banks, improve their own management level and operational ability, make use of counter-cyclical capital buffers to improve the ability to resist impacts.
［Key words］ commercial bank; capital adequacy ratio; Basel Accord Ⅲ; risk management
资本充足性与商业银行风险行为
潘佐郑
［摘 要］ 本文采用中国16家上市商业银行2005～2012年的数据，研究资本充足监管对中国商业银行资本充足性及风险行为的影响。研究结果表明：资本充足情况较好与较差的商业银行都提高了资本充足率；资本充足监管有助于商业银行风险的降低，提升风险管理能力；资本监管新要求对提高银行资本充足水平的作用显著。商业银行应加强自身经营管理，转变发展方式，强化资本节约的内涵发展，提升发展质量；监管部门应加强对商业银行分类监管，持续强化银行资本充足的有效性监管，全面提升银行资本管理和风险管理水平。
［关键词］ 商业银行；资本充足监管；资本充足率；资本管理；银行风险
［Abstract］ Based on the data of Chinese 16 listed commercial banks during 2005~2012, this paper analyses the influence of capital adequacy regulation on the capital adequacy and risk behavior of Chinese commercial banks. The results show banks, whether their capital adequacy is high or low, have increased their capital adequacy ratio; capital adequacy regulation helps commercial banks reduce risks and improve their abilities to manage risks; the new requirements of capital regulation have a significant influence on increase in the capital adequacy of banks. Commercial banks should strengthen their own management, change developmental mode, strengthen capital-saving and connotative development,and improve the quality of development. The regulators should strengthen the classified regulation of commercial banks and the effectiveness regulation of capital adequacy, and improve the level of capital management and risk management of banks.
［Key words］ commercial bank; regulation of capital adequacy;capital adequacy ratio; capital management; bank risk
核心资本充足率变动与商业银行盈利能力
段军山 杨 浦
［摘 要］ 本文通过对核心资本充足率变动与商业银行盈利能力之间的关系进行实证研究，发现核心资本充足率对商业银行盈利能力有显著正向影响，对非上市银行的影响大于上市银行，对农商行影响最大，其次为股份制商业银行和城市商业银行，对国有银行影响不显著；商业银行资产收益率存在显著正向滞后效应；金融危机之后，核心资本充足率对非上市商业银行影响减弱，对上市商业银行影响增强。商业银行应提高核心一级资本，简化组织结构，提高企业运行效率，政府应鼓励并且合理引导商业银行发行次级债补充资本。
［关键词］ 商业银行；上市银行；核心资本充足率；盈利能力；资产收益率
［Abstract］ This paper empirically analyses the relationship between changes in core capital adequacy ratio and profitability of commercial banks. The results show that core capital adequacy ratio has a significant and positive influence on the profitability of commercial banks, and the influence on non-listed banks is greater than that on listed banks; the influence on agricultural commercial banks is the most, followed by that on joint-stock commercial banks and city commercial banks, but the influence on state-owned banks is not significant; the ROA of commercial banks has significant and positive lagging effects; after the financial crisis, the influence on non-listed commercial banks is weakened after the financial crisis, but the influence on listed commercial banks increases. Commercial banks should focus on increasing the tier-one core capital, simplify organizational structure, improve operational efficiency, and the government should encourage and guide commercial banks to issue subordinated bonds to replenish capitals.
［Key words］ commercial bank; listed bank; core capital adequacy ratio; profitability;ROA
资本充足率顺周期性的实证研究
俞晓龙
［摘要］ 本文运用面板数据模型，对中国商业银行资本充足率是否存在顺周期性特征进行研究。文章针对中国29家不同类型的商业银行2005~2012年的资本情况进行的实证分析表明，中国不同类型的商业银行资本存在不同的周期性特征：目前国有商业银行和农村商业银行资本充足率不存在周期性特征；全国性股份制商业银行资本充足率具有显著的顺周期性特征，即银行资本在经济繁荣时期下降，萧条时上升；而城市商业银行资本充足率则具有显著的逆周期性特征，即银行资本在经济繁荣时上升，萧条时下降。由此建议监管部门在实施逆周期政策时需根据不同类型银行采取差别的政策。
［关键词］ 商业银行；资本充足率；顺周期性；逆周期性
［Abstract］ Based on panel data model, this paper researches whether or not the capital adequacy ratios of Chinese commercial banks have pro-cyclical characteristics. The paper empirically analyses the capital status of Chinese 29 commercial banks that are divided into different type. The results of the paper show that Chinese different type of commercial banks doesn’t have the same cyclical characteristics. At present, the capital adequacy ratios of state-owned commercial banks and rural commercial banks don’t have cyclical characteristics. The capital adequacy ratios of national joint-stock commercial banks have obvious pro-cyclical characteristics that the capitals of the banks decrease during economic boom and increase during economic depression. The capital adequacy ratios of city commercial banks have obvious counter-cyclical characteristics that increase during economic boom and decrease during economic depression. Therefore, it is suggested that regulators implement different counter-cyclical policies for the different type of banks.
［Key words］ commercial bank; capital adequacy ratio; pro-cyclicality; counter-cyclicality
利率市场化、金融监管与银行危机
尹 雷 赫国胜
［摘 要］ 本文选取50个国家1973~2005年间的面板数据，研究利率市场化、金融监管与银行危机间的关系，结论如下：（1）利率市场化与银行危机呈正相关关系，随着利率市场化进程深入，银行发生危机的概率增加；（2）中国的银行危机发生概率低于国际平均值，但银行风险与危机已呈抬升迹象；（3）银行业私有化程度增加、银行业监管加强、银行准入门槛开放将降低利率市场化所诱发的银行危机发生概率，证券市场开放程度在利率市场化与银行危机关系中并未发挥显著作用。各国在推行利率市场化改革的同时，需综合金融监管政策的配套改革，并警惕与防范银行危机的发生。
［关键词］ 利率市场化；金融监管；银行危机；商业银行
［Abstract］ This paper selects the panel data of 50 countries during 1973~2005 to research the relationship between interest rate liberalization, banking regulation and banking crisis. The conclusions of the paper show: (1) interest rate liberalization is positively correlated with banking crisis, and the probability of banking crises increases with the deepening of interest rate liberalization; (2) the probability of Chinese banking crises is lower than international average probability, but banking risks and crises have shown an increasing trend; (3) the increase in the degree of banking privatization, strengthening of banking regulation and openness of banking access threshold will reduce the probability of banking crises triggered by interest rate liberalization, but the openness of stock market does not significantly impact the relationship between interest rate liberalization and banking crisis. All countries should implement the reform of financial regulatory policies and prevent banking crises when they promote interest rate liberalization.
［Key words］ interest rate liberalization; financial regulation; banking crisis; commercial bank
商业银行金融市场交易风险管理架构研究——以信用、市场、操作三大风险交互关系为视角
薛冬辉 李 莉 关宇航
［摘 要］ 本文构建信用、市场、操作三大风险交互影响的模型框架，总结各类金融市场交易涉及的风险类型，以数学建模方式给出信用风险与市场风险交互影响的逻辑推理。本文认为，在金融市场交易中每笔交易都可能同时涉及三类风险，且三类风险间存在着紧密的内在联系，风险间的正相关关系是导致金融市场不稳定的重要原因。对商业银行来说，推行金融市场交易事前控制，通过制度和信息系统建设严格管理交易参与者的行为，使用信息科技手段来强化对交易过程和交易策略制定过程的标准化管理能有效提高金融市场交易风险的管控效率。
［关键词］ 商业银行；金融市场交易；风险管理；信用风险；市场风险；操作风险
［Abstract］ This paper constructs a model framework to analyse the interaction among credit risks, market risks and operational risks, summarizes the types of risk relating to financial market transaction, and demonstrates the logic inference of the interaction between credit risks and market risks by a mathematical model. The paper concludes that each transaction in financial market may involve three types of risk, there are closely intrinsic links among the three types of risk, and the positive correlation between risks is an important reason for the instability of financial market. It will improve the efficiency in the management and control of transaction risks in financial market that commercial banks implement prior control of financial market transaction, construct rules and information systems to manage trader’s behavior strictly, and strengthen the standard management of transaction process and formulation process of transaction rules.
［Key words］ commercial bank; financial market transaction; risk management; credit risk; market risk; operational risk
民间借贷逾期行为研究——基于P2P网络借贷的实证分析
陈 霄 丁晓裕 王贝芬
［摘 要］ 本文在对网贷参与者逾期行为进行理论分析的基础上，将影响逾期行为的因素分为信用、个人、标的及往期借款四个特征维度,认为网贷平台应当关注借款人的信用状况、个人生活状况、偿还历史及往期借款等指标。通过建立Logit回归模型进行实证分析，发现借款人信用等级、生活状况、居住地区、个人收入、成功借款次数和按时还款次数对借款人逾期率具有显著的负向影响，逾期还款次数、受教育年限、借款利率、借款时间和提前还款次数对借款人逾期率具有显著的正向影响，而有无银行逾期、借款金额及投标笔数对借款人逾期率不存在显著影响。
［关键词］ 民间借贷；借款人；P2P；网络贷款；逾期行为；信用体系
［Abstract］ Based on the theoretical analysis of network-loan-participant’s overdue behaviors, this paper classifies the factors to influence the overdue behaviors as four types, i.e. credit, individual, objective and the past borrowing, and proposes that the borrower’s credit status, personal living conditions, repayment records, the past borrowing and other indicators should be paid attention to. The empirical analysis based on the Logit regression model shows that the borrower’s credit status, living conditions, resident region, personal income, times of successful borrowing and times of repayment on schedule influence borrower’s overdue rate significantly and negatively, and times of overdue repayment, education years, interest rate of loan, times of repayment ahead of schedule influence borrower’s overdue rate significantly and positively, but record or no record of overdue repayment, loan amount and bid items don’t influence borrower’s overdue rate significantly.
［Key words］ private borrowing and lending; borrower; P2P; network loan; overdue behavior; credit system
个人客户采纳手机银行的影响因素
王 蕾 卫文斐 李举超
［摘 要］ 本文采用UTAUT理论并通过构建结构方程模型（SEM），研究在校大学生采纳手机银行的影响因素。通过问卷调查和数据分析发现，按照影响程度大小，影响在校大学生采纳手机银行意愿的因素包括：社会影响、感知创新性、绩效期望和努力期望；同时，手机银行的使用行为受到感知娱乐性和便利条件的影响。通过结构方程模型调节效应分析发现：性别和生源地类型（农村或城市）对个人采纳手机银行的意愿和行为均具有调节效应。基于此，商业银行应对手机银行的宣传方式、市场营销策略以及业务创新等方面进行调整，以期提高其在手机银行市场中的占有率。
［关键词］ 手机银行；大学生；UTAUT理论；结构方程模型（SEM）；手机银行采纳
［Abstract］ This paper uses the UTAUT theory to construct a structural equation model（SEM） for the analysis of the factors to influence college student’s adoption of mobile banking. The questionnaires and data analysis show that the factors, ranked in accordance with influence degree, include social influence, perceived innovation, performance expectation and effort expectation, and meanwhile, the usage of mobile banking is influenced by perceived amusement and convenient conditions. The analysis of the adjusting effects of the SEM shows that the student’s gender and source（rural area or city) have effects to adjust personal wishes and behavior to adopt mobile banking. Therefore, commercial banks should change propaganda mode, marketing strategy and business innovation to increase their own market shares of mobile banking.
［Key words］ mobile banking; college student; UTAUT theory; structural equation model （SEM）; adoption of mobile banking