国有商业银行风险成因、效应及治理策略研究
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摘要
时下,国有商业银行重组改制上市正在紧锣密鼓进行。为了国有商业银行能够达到境内外上市标准,今年元月国家动用450亿美元的外汇储备为中行和建行补充资本金,7月又相继批准中行和建行发行次级债,并对两行2787亿元人民币可疑类贷款进行了剥离,这些举措提高了两家国有商业银行的资本充足率,降低了不良贷款率,相信两家银行上市的目标不久就会实现。但是,重组上市并不是国有商业银行改革的最终目标,建立风险防范的长效机制是国有商业银行面临的一项长期而又艰巨的任务。本文在全面分析国有商业银行风险的现状、成因、效应进行的基础上,提出了风险治理策略,希望能对当前国有商业银行的综合改革有所启发。
首先,对国有商业银行的风险和风险管理的现状和特点进行了实证分析,并进行了国内外比较。在对国有商业银行风险现状进行分析过程中,主要从资产风险、资本金管理、盈利能力和流动性管理四个方面进行了分析,描述了国有商业银行风险表现:不良资产占比高,资产质量差;资本充足率低,抗风险能力差;资产运用效率低,资产盈利能力差;流动性管理不足,资产流动性差。国有商业银行风险的特点可以归纳为:制度性、结构性、累积性、隐蔽性、风险收益不对称性。风险管理存在的主要问题:风险意识不强,管理不到位;风险管理基础薄弱、道德风险问题相当普遍。风险管理发展方向:风险管理内容由单一风险管理向全面风险管理过渡,风险管理重点由“存量风险”化解向“增量风险”防范转变,风险管理目标由管住风险向“为股东创造价值”过渡,风险管理技术由浅度度量向模型深度度量方式过渡,风险管理组织—由层级管理向垂直管理过渡,风险管理机制由资本粗放管理向资本精细化管理过渡。
其次,运用委托代理理论从产权代理关系、上下级代理关系、银企代理关系三个层面对国有商业银行风险成因进行了深入分析。现行的产权代理关系导致国有商业银行经营目标具有多重性,造成国有商业银行经营行为异化、经营目标虚化、激励约束不足。上下级之间委托代理链条过长,加剧了信息不对称,导致代理效率损耗、内部人控制和代理成本外溢。银企代理关系中,由于信息不对称、预算软约束的存在,加上二者产权同质性,加剧了银行贷款的道德风险。
再次,对国有商业银行风险的通货膨胀效应和通货紧缩效应进行了分析。主要运用货币数量理论、货币供应理论、金融不稳定性假说等理论分析研究两种效应的形成
机制和路径,并通过引用大量数据进行实证分析,建立了通货膨胀效应的非线性模型和紧缩效应的线性模型。商业银行风险的通货膨胀效应是在特殊的经济环境下,银行信贷资金经过企业低效率的资金运用,导致银行信用的被动扩张,反映在宏观经济上,则是社会总需求和总供给的失衡。银行体系高风险的通货紧缩是在经济下行过程中,商业银行贷款的能力和贷款的意愿降低,导致中央银行货币传导机制的梗阻,货币的供给减少,降低社会有效需求,最终反映为物价的下跌,加重通货紧缩。
然后,对银行间风险传染效应进行了分析。本章开篇分析了银行间风险传染的主要途径:债权债务关系、公众预期变化、银行行为变异;然后对银行支付体系风险传导进行了理论和实证分析,建立了银行间风险传导模型;运用噪声理论对公众预期传导进行了理论分析,并对国内公众预期的形成机制进行了分析,建立了流动性风险模型。
最后,提出了国有商业银行风险治理策略。本文认为国有商业银行风险治理应该从三个方面着手:从治理结构改革入手,改革国有商业银行的产权结构、组织结构和激励机制,着力解决委托代理效率低下问题;从约束机制改革入手,改革国有商业银行的内部控制模式、外部约束机制和市场约束机制,着力建立风险防范的长效机制;从风险控制方法入手,建立内部评级体系、资产管理体系和风险管理文化,着力推行全面风险管理。
Presently the state-owned commercial banks are urgently accelerating its restructuring process and preparing to get listed. At the end of last year the State drew 45 billion dollars from foreign exchange reserves to refill the capital funds for Bank of China and China Construction Bank. This July the two banks have been successful in issuing secondary bonds and taking off doubted loan under the permission of the State. All these measures have greatly improved the capital adequacy ratio of the two banks and cut the non-performing loan ratio and therefore brought them much closer to the objective of getting listed. However, financing by shareholding is not the fundamental objective of the state-owned commercial banks’ reform and instead the establishment of a consistent risk-hedging mechanism is a long-term and tough task for them. Based on the in-depth analysis of present status, cause and effect of risks in the state-owned commercial banks, this article proposes the risk management strategy for banks. I hope it will be referential for the comprehensive reform of the state-owned commercial banks.
The article sets out to describe the risk status in the state-owned commercial banks and summarize its characteristics. By in-depth analysis of the risk status from four sides of assets risk, capital management, profitability and liquidity management, it demonstrates that the main risks are as follows: high loan risk and low assets quality, big proportion of bad assets and low assets profitability, high loan concentration and low risk-hedging capacity, high ratio of medium and long-term loan and low-level assets liquidity. It can be summarized that: the risks in the state-owned commercial banks are usually centralized, systematic, potential and social, with wide influences and asymmetry of risk and return. The main problem of risk management shows weak awareness of risk and insufficient management, weakness of risk management basis and common existence of virtue risk. The development direction can be summarized as: the content of risk management changes from simplification to all-direction, the focus from stock risk management to increment risk management, the objective from management of risk to creation of value for shareholders, the technology from surface measurement to in-depth measurement, the management organization from level-oriented management to vertical management, the mechanism from capital extensive management to subtle capital management.
Then follows the factor analysis from three levels based on entrusted agency theory. Firstly the present entrusted property right relationship leads to banks’ operation with multi-objectives, operating behavior deviation, operating target nonentity and insufficient incentive control. Secondly in the respect of the entrusted agency relationship between the higher and lower level of bank, the agency chain strengthens info asymmetry, cuts agency efficiency and causes failure in cost control. And finally in the respect of the entrusted agency relationship between the enterprises and banks, the existence of info asymmetry and budgeting control as well as the same nature of their ownership worsen the virtual risks of state-owned commercial banks.
The next is establishment of the inflation and tightening effect models. The article employs currency quantity theory, currency supply theory and financial uncertainty assumption together with mass data to analyze the forming mechanism of the two effects and finally establishes the non-linear model for inflation effect and the linear model for tightening effect.
The article goes on to the analysis of the transmitting route of risks in the state-owned commercial banks and finds out three channels: indebtedness, the transformation of the public expectation and banks’ behavior deviation. It sets risk transmitting model, risk liquidity model and bank president efficiency function.
Finally the article puts forward risk management strategy for the state-owned commercial banks. From the angle of structure reform, we should focus on th
首先,对国有商业银行的风险和风险管理的现状和特点进行了实证分析,并进行了国内外比较。在对国有商业银行风险现状进行分析过程中,主要从资产风险、资本金管理、盈利能力和流动性管理四个方面进行了分析,描述了国有商业银行风险表现:不良资产占比高,资产质量差;资本充足率低,抗风险能力差;资产运用效率低,资产盈利能力差;流动性管理不足,资产流动性差。国有商业银行风险的特点可以归纳为:制度性、结构性、累积性、隐蔽性、风险收益不对称性。风险管理存在的主要问题:风险意识不强,管理不到位;风险管理基础薄弱、道德风险问题相当普遍。风险管理发展方向:风险管理内容由单一风险管理向全面风险管理过渡,风险管理重点由“存量风险”化解向“增量风险”防范转变,风险管理目标由管住风险向“为股东创造价值”过渡,风险管理技术由浅度度量向模型深度度量方式过渡,风险管理组织—由层级管理向垂直管理过渡,风险管理机制由资本粗放管理向资本精细化管理过渡。
其次,运用委托代理理论从产权代理关系、上下级代理关系、银企代理关系三个层面对国有商业银行风险成因进行了深入分析。现行的产权代理关系导致国有商业银行经营目标具有多重性,造成国有商业银行经营行为异化、经营目标虚化、激励约束不足。上下级之间委托代理链条过长,加剧了信息不对称,导致代理效率损耗、内部人控制和代理成本外溢。银企代理关系中,由于信息不对称、预算软约束的存在,加上二者产权同质性,加剧了银行贷款的道德风险。
再次,对国有商业银行风险的通货膨胀效应和通货紧缩效应进行了分析。主要运用货币数量理论、货币供应理论、金融不稳定性假说等理论分析研究两种效应的形成
机制和路径,并通过引用大量数据进行实证分析,建立了通货膨胀效应的非线性模型和紧缩效应的线性模型。商业银行风险的通货膨胀效应是在特殊的经济环境下,银行信贷资金经过企业低效率的资金运用,导致银行信用的被动扩张,反映在宏观经济上,则是社会总需求和总供给的失衡。银行体系高风险的通货紧缩是在经济下行过程中,商业银行贷款的能力和贷款的意愿降低,导致中央银行货币传导机制的梗阻,货币的供给减少,降低社会有效需求,最终反映为物价的下跌,加重通货紧缩。
然后,对银行间风险传染效应进行了分析。本章开篇分析了银行间风险传染的主要途径:债权债务关系、公众预期变化、银行行为变异;然后对银行支付体系风险传导进行了理论和实证分析,建立了银行间风险传导模型;运用噪声理论对公众预期传导进行了理论分析,并对国内公众预期的形成机制进行了分析,建立了流动性风险模型。
最后,提出了国有商业银行风险治理策略。本文认为国有商业银行风险治理应该从三个方面着手:从治理结构改革入手,改革国有商业银行的产权结构、组织结构和激励机制,着力解决委托代理效率低下问题;从约束机制改革入手,改革国有商业银行的内部控制模式、外部约束机制和市场约束机制,着力建立风险防范的长效机制;从风险控制方法入手,建立内部评级体系、资产管理体系和风险管理文化,着力推行全面风险管理。
Presently the state-owned commercial banks are urgently accelerating its restructuring process and preparing to get listed. At the end of last year the State drew 45 billion dollars from foreign exchange reserves to refill the capital funds for Bank of China and China Construction Bank. This July the two banks have been successful in issuing secondary bonds and taking off doubted loan under the permission of the State. All these measures have greatly improved the capital adequacy ratio of the two banks and cut the non-performing loan ratio and therefore brought them much closer to the objective of getting listed. However, financing by shareholding is not the fundamental objective of the state-owned commercial banks’ reform and instead the establishment of a consistent risk-hedging mechanism is a long-term and tough task for them. Based on the in-depth analysis of present status, cause and effect of risks in the state-owned commercial banks, this article proposes the risk management strategy for banks. I hope it will be referential for the comprehensive reform of the state-owned commercial banks.
The article sets out to describe the risk status in the state-owned commercial banks and summarize its characteristics. By in-depth analysis of the risk status from four sides of assets risk, capital management, profitability and liquidity management, it demonstrates that the main risks are as follows: high loan risk and low assets quality, big proportion of bad assets and low assets profitability, high loan concentration and low risk-hedging capacity, high ratio of medium and long-term loan and low-level assets liquidity. It can be summarized that: the risks in the state-owned commercial banks are usually centralized, systematic, potential and social, with wide influences and asymmetry of risk and return. The main problem of risk management shows weak awareness of risk and insufficient management, weakness of risk management basis and common existence of virtue risk. The development direction can be summarized as: the content of risk management changes from simplification to all-direction, the focus from stock risk management to increment risk management, the objective from management of risk to creation of value for shareholders, the technology from surface measurement to in-depth measurement, the management organization from level-oriented management to vertical management, the mechanism from capital extensive management to subtle capital management.
Then follows the factor analysis from three levels based on entrusted agency theory. Firstly the present entrusted property right relationship leads to banks’ operation with multi-objectives, operating behavior deviation, operating target nonentity and insufficient incentive control. Secondly in the respect of the entrusted agency relationship between the higher and lower level of bank, the agency chain strengthens info asymmetry, cuts agency efficiency and causes failure in cost control. And finally in the respect of the entrusted agency relationship between the enterprises and banks, the existence of info asymmetry and budgeting control as well as the same nature of their ownership worsen the virtual risks of state-owned commercial banks.
The next is establishment of the inflation and tightening effect models. The article employs currency quantity theory, currency supply theory and financial uncertainty assumption together with mass data to analyze the forming mechanism of the two effects and finally establishes the non-linear model for inflation effect and the linear model for tightening effect.
The article goes on to the analysis of the transmitting route of risks in the state-owned commercial banks and finds out three channels: indebtedness, the transformation of the public expectation and banks’ behavior deviation. It sets risk transmitting model, risk liquidity model and bank president efficiency function.
Finally the article puts forward risk management strategy for the state-owned commercial banks. From the angle of structure reform, we should focus on th
引文
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