资本充足率要求与银行对策研究
|
摘要
和其他行业相比，银行资本的首要作用是吸收和缓冲风险。当然，银行之所以要吸收和缓冲风险，最终的目的是维持自身的偿付能力，而银行偿付能力的维持也具有重要的社会意义——它间接保护了存款人和一般债权人。也正因为后一个意义，我们对银行资本的研究才更有必要，也具有更广泛的价值。
然而，对于上述问题，无论是银行自身还是监管者，最初以致长期以来对上述问题的认识都是模糊的，或者说仅仅将其视作银行自身的融资决策问题。而与此同时，一个长期持续恶化的现象就是银行资本／资产比率的不断下降，根据美国的银行统计数据显示：1840年时该比率高达约55％，而到1978年12月时竟然降到了3.70％的水平!再加上此后的美国储蓄信贷机构破产危机以及拉美债务危机等带来的巨大损失和经济震动，迫使人们开始考虑“为什么银行资本水平不断下降?银行资本的作用到底是什么?什么是必要的银行资本水平?”等一系列的问题并试图找到解决问题的对策。
在上世纪七、八十年代以来不断深化的金融自由化，经济全球化背景下，应对竞争、解决银行危机和重建制度的需要等使英美两国开始强化银行的资本充足率要求，而日本经济崛起后日元的持续升值等促进了日本的银行疯狂海外扩张，它所带来的国际银行间竞争的加剧又进一步引起其他发达国家提出公平竞争问题，上述种种原因交织在一起，最终导致了1988年的巴塞尔协议，也就是加权资本充足性准则的制定，它协调了国际银行监管，或者说它建立起了银行监管的国际统一的、可比较的基础。该资本充足性的思想结合了银行监督和保护，强调向银行体系注入风险评估原则、控制银行的无偿付能力风险，并由此防止银行失败倒闭。尽管它的有效性和效率仍有待理论和实践的检验，但该思想本身的魅力自80年代以来已使世界各国政府信服并先后在本国具体实施资本充足率要求。
我国的银行监管当局也越来越重视对于商业银行的资本充足率的监管，其中尤以银监会所颁布的2004年第2号令——自2004年3月1日起施行的《商业银行资本充足率管理办法》为代表。尽管从该办法看，当前对我国银行提出的资本要求仍然主要是根据1988年巴塞尔协议和1996年修改方案中原则制定的，而巴塞尔委员会迄今已经提出了多方面的改革建议，某些发达国家已经开始实施新的建议。巴塞尔委员会不断地进行的对协议的修正和完善是一种指引，同时也是一种压力。尽管人们对发展中国家在银行资本要求方面的最佳选择究竟是什么尚不明确，但在经济金融全球化背景下实施国际标准，或者说和国际惯例接轨无论如何都是融入全球经济发展潮流，应对挑战和机遇的一种不可逃避和没有选择的选择。因此，对资本充足率要求的历史发展及其未来趋势进行探讨并针对国内银行提出自己的对策建议是本文的研究中心。
在笔者看来，资本充足率监管的合理发展方向应当是这样的：由于1988年巴塞尔协议的过于“一刀切”，银行监管者可能在一个有限的客观基础上，强迫一家银行维持显著高于
监管资本最低标准，或者它的竞争对手的资本比率，除非该机构明显己问题重重。因此，
将监管资本与银行自行决定的经济资木统一起来是必要的。而且，无论是利用银行内部信
用评级体系，还是内部的信用风险模型、一市场风险模型来决定银行的资本充足水平，监管
者将来的工作职责将主要是对银行的内部风险评估和资本配置体系的合理审慎程度或者说
可信赖度进行检查，而不是强制性地作出一些无差异的资本充足率规定。要知道，资本充
足率监管的目的就是增进Ifi]际银行体系的安全和稳健程度，后者在本质上取决于银行体系
的风险评估、控制能力，一个简单的资本充足率指标根本不足以涵盖银行的审慎经营程度，
只有银行风险管理体系的强化才会从根本上转变为得到改善的审慎政策和程序，也许还能
减少银行通过不透明的表外交易来掩盖信用风险以和监管者进行博弈的激励。监管者对银
行内部风险评估体系的利用也可能促进经过改善的风险管理技术的更迅速的发展，以及能
更迅速地向一种共同的风险评估框架和语言演变—后者可能导致风险披露的改善(更高
的透明度)。这也使一市场纪律能更迅速有效地规范银行经营，弥补政府监管的不足。
有鉴于此，笔者认为，银行满足资本充足率要求的根本途径是:在建立和改善自身的
风险评估和控制体系的基础_卜，建立和完善资本管理的组织体系，规范资本预算，强化资
本基础等。而其中需要特别强调的是银行的风险评估控制体系。
本文共分四章，结构如下:
第一章是浮论，本部分首先是选题原因、文献综述及研究思路、方法的介绍，然后，
界定了银行资木及资本充足性的含义。
第二章研究一了提出资本充足率要求的必要性及其影响。首先，笔者分析了提出资本充
足率要求的必要性，包括外部性、信息不对称、安全网和金融自由化背景下的制度重建的
要求等。其次，资本充足率要求实施之后究竟效果如何，产生了什么样的影响?笔者对该
问题进行了详细分析。最后，作为巴塞尔协议的一个未曾预料的结果—监管资本套利在
西方发达国家发展如此迅速且将对未来的银行资本充足率要求发展趋势具有重要的影响，
?
The capital in bank acts chiefly as a cushion to absorb risks, while the ultimate purpose of absorbing risks is certainly to sustain the solvency of itself, the indirect result of which is also very important-helping to protect the depositors and other ordinary creditors. And just because of the latter, it's of special importance for us to carefully research the problems on bank capital.
However, bank itself and regulators, whoever they are, had been taken a dim understanding of &e above problems for a long time. Meantime, there was a continuous deteriorate phenomenon that the ratio of bank capital to asset was declining all through. According to the statistic data of American banks, the ratio was very high to be about 55% in 1840, while this figure actually fell to be 3.70% in December of 1978! Besides, the huge loss and economic shocks brought about by the S&L crisis in the U.S and the debt crisis in Latin America since then compelled people of that time to begin to think about many problems, such as, what's on earth the role of capital in banks? What is a necessary minimum level of capital adequacy requirement for banks? And they tried to find solutions.
Under the background of increasingly deepening of financial liberalization and economic globalization from 1970s, in order to solve bank crisis and reconstruction of institution, some developed countries, especially the USA and UK, strengthened their capital adequacy requirement. What's more, the crazy overseas expanding of Japanese banks following the rapid grown up of Japanese economy and appreciation of Japanese Yen made other countries feel that they were at a competitive disadvantage, so these countries claimed that the playing field must be leveling internationally. The above entangling problems led to the introduction of the Basle Accord in 1988. It has been coordinating the international bank regulations by establishing a comparable and uniform basis internationally.' The idea behind the capital adequacy of the Basle Accord is to integrate bank protect and supervision, stress to infuse principle of risk measurement into bank system, control the risk of bank insolvency and then to prevent bank failure
. Although its effectiveness and efficiency are still needed to be check by theory and practice, the charm of this idea has brought conviction to many countries to implement the capital adequacy requirement since 1980s.
The authorities of bank regulation in China have attached more and more importance to the regulation of bank's capital adequacy. Although the capital requirement of Chinese commercial bank now bases mainly on the 1988 Accord and 1996 Amendment version, the Basle Committee has brought forward many new reform suggestions in these years, and these amendment and perfectness of 1988 Accord is not only a guide, but also bring pressure to us. While what's the best choice of developing countries as the bank capital requirement is concerned, under the challenge of economic and financial globalization, meeting the international standards or
tracking down the international convention is of no choice for the developing countries. So, the focus of this dissertation is to discuss the history development and future trend of bank capital requirement, then try to make some suggestions on what can be done for the domestic commercial banks
The structure of this dissertation is as follows:
Chapter one is a basis for the whole dissertation. After introducing the reason and research methods of this dessertation, etc., the meanings of bank capital analyzed and a clear definition of capital adequacy is gived. Then and history development is discussed.
Chapter two presents the necessity and the influence of the requirement of bank capital adequacy. Firstly, what's on earth the effect of the requirement of bank capital adequacy, and what's influence it has brought about?Secondly, as an unexpected result-Regulatory Capital Arbitrage is developing rapidly, which will greatly influence the future trends of bank capital adequacy requirement, so the RCA problem is re
然而，对于上述问题，无论是银行自身还是监管者，最初以致长期以来对上述问题的认识都是模糊的，或者说仅仅将其视作银行自身的融资决策问题。而与此同时，一个长期持续恶化的现象就是银行资本／资产比率的不断下降，根据美国的银行统计数据显示：1840年时该比率高达约55％，而到1978年12月时竟然降到了3.70％的水平!再加上此后的美国储蓄信贷机构破产危机以及拉美债务危机等带来的巨大损失和经济震动，迫使人们开始考虑“为什么银行资本水平不断下降?银行资本的作用到底是什么?什么是必要的银行资本水平?”等一系列的问题并试图找到解决问题的对策。
在上世纪七、八十年代以来不断深化的金融自由化，经济全球化背景下，应对竞争、解决银行危机和重建制度的需要等使英美两国开始强化银行的资本充足率要求，而日本经济崛起后日元的持续升值等促进了日本的银行疯狂海外扩张，它所带来的国际银行间竞争的加剧又进一步引起其他发达国家提出公平竞争问题，上述种种原因交织在一起，最终导致了1988年的巴塞尔协议，也就是加权资本充足性准则的制定，它协调了国际银行监管，或者说它建立起了银行监管的国际统一的、可比较的基础。该资本充足性的思想结合了银行监督和保护，强调向银行体系注入风险评估原则、控制银行的无偿付能力风险，并由此防止银行失败倒闭。尽管它的有效性和效率仍有待理论和实践的检验，但该思想本身的魅力自80年代以来已使世界各国政府信服并先后在本国具体实施资本充足率要求。
我国的银行监管当局也越来越重视对于商业银行的资本充足率的监管，其中尤以银监会所颁布的2004年第2号令——自2004年3月1日起施行的《商业银行资本充足率管理办法》为代表。尽管从该办法看，当前对我国银行提出的资本要求仍然主要是根据1988年巴塞尔协议和1996年修改方案中原则制定的，而巴塞尔委员会迄今已经提出了多方面的改革建议，某些发达国家已经开始实施新的建议。巴塞尔委员会不断地进行的对协议的修正和完善是一种指引，同时也是一种压力。尽管人们对发展中国家在银行资本要求方面的最佳选择究竟是什么尚不明确，但在经济金融全球化背景下实施国际标准，或者说和国际惯例接轨无论如何都是融入全球经济发展潮流，应对挑战和机遇的一种不可逃避和没有选择的选择。因此，对资本充足率要求的历史发展及其未来趋势进行探讨并针对国内银行提出自己的对策建议是本文的研究中心。
在笔者看来，资本充足率监管的合理发展方向应当是这样的：由于1988年巴塞尔协议的过于“一刀切”，银行监管者可能在一个有限的客观基础上，强迫一家银行维持显著高于
监管资本最低标准，或者它的竞争对手的资本比率，除非该机构明显己问题重重。因此，
将监管资本与银行自行决定的经济资木统一起来是必要的。而且，无论是利用银行内部信
用评级体系，还是内部的信用风险模型、一市场风险模型来决定银行的资本充足水平，监管
者将来的工作职责将主要是对银行的内部风险评估和资本配置体系的合理审慎程度或者说
可信赖度进行检查，而不是强制性地作出一些无差异的资本充足率规定。要知道，资本充
足率监管的目的就是增进Ifi]际银行体系的安全和稳健程度，后者在本质上取决于银行体系
的风险评估、控制能力，一个简单的资本充足率指标根本不足以涵盖银行的审慎经营程度，
只有银行风险管理体系的强化才会从根本上转变为得到改善的审慎政策和程序，也许还能
减少银行通过不透明的表外交易来掩盖信用风险以和监管者进行博弈的激励。监管者对银
行内部风险评估体系的利用也可能促进经过改善的风险管理技术的更迅速的发展，以及能
更迅速地向一种共同的风险评估框架和语言演变—后者可能导致风险披露的改善(更高
的透明度)。这也使一市场纪律能更迅速有效地规范银行经营，弥补政府监管的不足。
有鉴于此，笔者认为，银行满足资本充足率要求的根本途径是:在建立和改善自身的
风险评估和控制体系的基础_卜，建立和完善资本管理的组织体系，规范资本预算，强化资
本基础等。而其中需要特别强调的是银行的风险评估控制体系。
本文共分四章，结构如下:
第一章是浮论，本部分首先是选题原因、文献综述及研究思路、方法的介绍，然后，
界定了银行资木及资本充足性的含义。
第二章研究一了提出资本充足率要求的必要性及其影响。首先，笔者分析了提出资本充
足率要求的必要性，包括外部性、信息不对称、安全网和金融自由化背景下的制度重建的
要求等。其次，资本充足率要求实施之后究竟效果如何，产生了什么样的影响?笔者对该
问题进行了详细分析。最后，作为巴塞尔协议的一个未曾预料的结果—监管资本套利在
西方发达国家发展如此迅速且将对未来的银行资本充足率要求发展趋势具有重要的影响，
?
The capital in bank acts chiefly as a cushion to absorb risks, while the ultimate purpose of absorbing risks is certainly to sustain the solvency of itself, the indirect result of which is also very important-helping to protect the depositors and other ordinary creditors. And just because of the latter, it's of special importance for us to carefully research the problems on bank capital.
However, bank itself and regulators, whoever they are, had been taken a dim understanding of &e above problems for a long time. Meantime, there was a continuous deteriorate phenomenon that the ratio of bank capital to asset was declining all through. According to the statistic data of American banks, the ratio was very high to be about 55% in 1840, while this figure actually fell to be 3.70% in December of 1978! Besides, the huge loss and economic shocks brought about by the S&L crisis in the U.S and the debt crisis in Latin America since then compelled people of that time to begin to think about many problems, such as, what's on earth the role of capital in banks? What is a necessary minimum level of capital adequacy requirement for banks? And they tried to find solutions.
Under the background of increasingly deepening of financial liberalization and economic globalization from 1970s, in order to solve bank crisis and reconstruction of institution, some developed countries, especially the USA and UK, strengthened their capital adequacy requirement. What's more, the crazy overseas expanding of Japanese banks following the rapid grown up of Japanese economy and appreciation of Japanese Yen made other countries feel that they were at a competitive disadvantage, so these countries claimed that the playing field must be leveling internationally. The above entangling problems led to the introduction of the Basle Accord in 1988. It has been coordinating the international bank regulations by establishing a comparable and uniform basis internationally.' The idea behind the capital adequacy of the Basle Accord is to integrate bank protect and supervision, stress to infuse principle of risk measurement into bank system, control the risk of bank insolvency and then to prevent bank failure
. Although its effectiveness and efficiency are still needed to be check by theory and practice, the charm of this idea has brought conviction to many countries to implement the capital adequacy requirement since 1980s.
The authorities of bank regulation in China have attached more and more importance to the regulation of bank's capital adequacy. Although the capital requirement of Chinese commercial bank now bases mainly on the 1988 Accord and 1996 Amendment version, the Basle Committee has brought forward many new reform suggestions in these years, and these amendment and perfectness of 1988 Accord is not only a guide, but also bring pressure to us. While what's the best choice of developing countries as the bank capital requirement is concerned, under the challenge of economic and financial globalization, meeting the international standards or
tracking down the international convention is of no choice for the developing countries. So, the focus of this dissertation is to discuss the history development and future trend of bank capital requirement, then try to make some suggestions on what can be done for the domestic commercial banks
The structure of this dissertation is as follows:
Chapter one is a basis for the whole dissertation. After introducing the reason and research methods of this dessertation, etc., the meanings of bank capital analyzed and a clear definition of capital adequacy is gived. Then and history development is discussed.
Chapter two presents the necessity and the influence of the requirement of bank capital adequacy. Firstly, what's on earth the effect of the requirement of bank capital adequacy, and what's influence it has brought about?Secondly, as an unexpected result-Regulatory Capital Arbitrage is developing rapidly, which will greatly influence the future trends of bank capital adequacy requirement, so the RCA problem is re
引文
1、商业银行资本充足率管理办法，中国银行业监督管理委员会，2004
2、彭茂吾，西方银行资本管理，企业管理出版社，2003
3、[英]Cormac Butler著，于研、陈勇译，风险值概论，上海财经大学出版社，2002
4、[美]菲利浦．乔瑞著，张海鱼等译，VAR：风险价值——金融风险管理新标准，中信出版社，2000
5、[美]Jane E．Hughes等著，刘群艺等译，国际银行管理，清华大学出版社，2003
6、江曙霞，银行监督管理与资本充足性管制，中国发展出版社，1994
7、陈彩虹，论商业银行资本充足率的风险评定原则，财贸经济，1997(2)
8、何振亚，论我国银行资本充足率的提高，金融与经济，1998(3)
9、雷银、吕宇，巴塞尔资本充足率新框架及其对国际金融市场的影响，中国城市金融，1999(10)
10、宋敏，从资本充足率看我国商业银行的竞争力，经济科学，2000(3)
11、暴冰，我国商业银行的资本充足率与经营发展，经济师，2000(12)
12、沈沛龙，新的资本充足率框架与我国商业银行风险管理，金融研究，2001(2)
13、童频，国有商业银行资本充足率研究，金融研究，2001(11)
14、沈沛龙，新巴塞尔协议资本充足率计算方法剖析，金融研究，2002(6)
15、Aggarwal, R and K Jacques, A Simultaneous Equations Estimation of the Impact of Prompt Corrective Action on Bank Capital and Risk, Federal Reserve Bank of New York. (1997)
16、Alistare Milne, Bank capital and risk-taking, Bank of England (1998)
17、Allen N. Berger, The role of capital in financial institutions, Journal of Banking & Finance 19 (1995)
18、Andrea Sironi, The Basel Committee proposals for a new capital accord: implications for Italian banks, Review of Financial Eeonornics 12 (2003)
19、Arupratan Daripa, Agency incentives and reputational distortions:a comparison of the effectiveness of VaR and Pre-commitment in regulating market risk, Bank of England (1997)
20、Carty, L.V., Lieberman, D., Defaulted bank loan recoveries. Global Credit Research, Special report. Moody's investors Service 1996.
21、Christine A. Brown, Credit risk: The case of First Interstate Bankcorp, International Review of Financial Analysis 11 (2002)
22、Daisuke Nakazato, Determination of the adequate capital for default protection under the one-factor Gaussian term structure model, Journal of Banking & Finance 24(2000)
23、David Besanko, The Regulation of Bank Capital: Do Capital Standards Promote Bank Safety? Journal of Financial Intermediation 5 (1996)
24、David Jones, Credit Risk Modeling and Internal Capital Allocation Processes: Implications for a Models-Based Regulatory Bank Capital Standard, Journal of Economics and Business 51 (1999)
25、Drew Dahl, Prompt corrective action and bank efforts to recover from undercapitalization, Journal of Banking & Finance 19 (1995)
26、Edward I. Altman, An analysis and critique of the BIS proposal on capital adequacy and ratings, Journal of Banking & Finance 25 (2001)
27、Edward I. Altman,Suggitt, Default rates in the syndicated bank loan market: A mortality analysis, Journal of Banking and Finance 24 (1/2), 2000。
28、Edward J. Kane, Difficulties of transferring risk-based capital requirements to developing countries, Pacific-Basin Finance Journal 3 (1995)
29、Fama,Eugene, "What's Different About Banks?" Journal of Monetary Economics, 6 (1985)
30、Gennotte,Pyle. Capital controls and bank risk, J. Banking Finance 15, (1991)
31、Giovanni Ferri, The role of rating agency assessments in less developed countries: Impact of the proposed Basel guidelines, Journal of Banking & Finance 25 (2001)
32、Giuseppe Coco, Collateral, heterogeneity in risk attitude and the credit market equilibrium, European Economic Review 43 (1999)
33、Gorton,Rosen, Corporate control, portfolio choice, and the decline of banking, Finance 50, (1996)
34、Joao A. C. Santos, Bank capital and equity investment regulations, Journal of Banking & Finance 23 (1999)。
35、John J. Mingo, Policy implications of the Federal Reserve study of credit risk models at major US banking institutions, Journal of Banking & Finance 24 (2000)
36、Jose A. Lopez, Evaluating credit risk models, Journal of Banking & Finance 24 (2000)
37、JP Morgan, RiskMetrics,Technical Document (1997)
38、Kahane. Capital adequacy and the regulation of financial intermediates, J. Banking Finance 1, (1977)
39、Keeley, Furlong. A reexamination of mean-variance analysis of bank capital regulation, J. Banking Finance 14, (1990)
40、Koehn, Santomero, Regulation of bank capital and portfolio risk,Finance 35, (1980).
41、Kupiec, O'Brien.A, pre-commitment approach to capital requirements for market risk, Federal Reserve Board,Finance and Economics Discussion Series,July, (1995)
42、Maria Concetta Chiuri, The macroeconomic impact of bank capital requirements in emerging economies:Past evidence to assess the future, Journal of Banking & Finance 26 (2002)
43、Mayer, Colin "New Issues in Corporate Finance," European Economic Review, 32 (1988):
44、Michael B. Gordy, A comparative anatomy of credit risk models, Journal of Banking & Finance 24 (2000)
45、Michel Dietsch, The credit risk in SME loans portfolios:Modeling issues, pricing, and capital Requirements, Journal of Banking & Finance 26 (2002)
46、Miguel A Segoviano, Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy, BIS Working Papers, (2002)
47、Models Task Force, Range of Practice in Banks' Internal Ratings Systems, A
discussion paper of BCBS, (2000)
48、Nickell, Ratings-versus equity-based credit risk models: an empirical investigation. Bank of England working paper (1998)
49、Nickell, Stability of rating transitions. Journal of Banking and Finance 24, (2000)
50、Patricia Jackson, Bank capital and VaR, Bank of England (1998)
51、Patricia Jackson, Capital requirement and bank behaviour:the impact of the Basel Accord, Basle Committee, Switzerland (1999)
52、Patricia Jackson, Regulatory and 'economic' solvency standards for internationally active banks, Bank of England (2002)
53、Patricia Jackson, Regulatory implications of credit risk modelling, Journal of Banking & Finance 24 (2000)
54、Paul Calem, The Impact of Capital-Based Regulation on Bank Risk-Taking, Journal of Financial Intermediation 8, (1999)
55、Peek, Rosengren, The International Transmission of Financial Shocks: The Case of Japan, American Economic Review, (1997)
56、Richard Cantor, Moody's investors service response to the consultative paper issued by the Basel Committee on Bank Supervision "A new capital adequacy framework", Journal of Banking & Finance 25 (2001)
57、Rudiger Frey, VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights, Journal of Banking & Finance 26 (2002)。
58、Satoshi Daigo, Banks recapitalization policies in Japan and their impact on the market, Journal of International Financial Markets, Institutions and Money 9 (1999)
59、Taggart, Bank capital and public regulation, J. Money, Credit, Banking 10, (1978)
60、Tor Jacobson, Bank lending policy, credit scoring and value-at-risk, Journal of Banking & Finance 27 (2003)
61、Wimboh Santoso, Capital adequacy assessment with respect to market risk, Bank Indonesia (1998)
62、William F. Treacy, Credit risk rating systems at large US banks, Journal of Banking & Finance 24 (2000)
63、Wolfgang Hammes, The implications of the new capital adequacy rules for portfolio management of credit assets, Journal of Banking & Finance 25 (2001)
64、Victor E. Barrios, The effectiveness of bank capital adequacy regulation: A theoretical and empirical approach, Journal of Banking & Finance 27 (2003)
2、彭茂吾，西方银行资本管理，企业管理出版社，2003
3、[英]Cormac Butler著，于研、陈勇译，风险值概论，上海财经大学出版社，2002
4、[美]菲利浦．乔瑞著，张海鱼等译，VAR：风险价值——金融风险管理新标准，中信出版社，2000
5、[美]Jane E．Hughes等著，刘群艺等译，国际银行管理，清华大学出版社，2003
6、江曙霞，银行监督管理与资本充足性管制，中国发展出版社，1994
7、陈彩虹，论商业银行资本充足率的风险评定原则，财贸经济，1997(2)
8、何振亚，论我国银行资本充足率的提高，金融与经济，1998(3)
9、雷银、吕宇，巴塞尔资本充足率新框架及其对国际金融市场的影响，中国城市金融，1999(10)
10、宋敏，从资本充足率看我国商业银行的竞争力，经济科学，2000(3)
11、暴冰，我国商业银行的资本充足率与经营发展，经济师，2000(12)
12、沈沛龙，新的资本充足率框架与我国商业银行风险管理，金融研究，2001(2)
13、童频，国有商业银行资本充足率研究，金融研究，2001(11)
14、沈沛龙，新巴塞尔协议资本充足率计算方法剖析，金融研究，2002(6)
15、Aggarwal, R and K Jacques, A Simultaneous Equations Estimation of the Impact of Prompt Corrective Action on Bank Capital and Risk, Federal Reserve Bank of New York. (1997)
16、Alistare Milne, Bank capital and risk-taking, Bank of England (1998)
17、Allen N. Berger, The role of capital in financial institutions, Journal of Banking & Finance 19 (1995)
18、Andrea Sironi, The Basel Committee proposals for a new capital accord: implications for Italian banks, Review of Financial Eeonornics 12 (2003)
19、Arupratan Daripa, Agency incentives and reputational distortions:a comparison of the effectiveness of VaR and Pre-commitment in regulating market risk, Bank of England (1997)
20、Carty, L.V., Lieberman, D., Defaulted bank loan recoveries. Global Credit Research, Special report. Moody's investors Service 1996.
21、Christine A. Brown, Credit risk: The case of First Interstate Bankcorp, International Review of Financial Analysis 11 (2002)
22、Daisuke Nakazato, Determination of the adequate capital for default protection under the one-factor Gaussian term structure model, Journal of Banking & Finance 24(2000)
23、David Besanko, The Regulation of Bank Capital: Do Capital Standards Promote Bank Safety? Journal of Financial Intermediation 5 (1996)
24、David Jones, Credit Risk Modeling and Internal Capital Allocation Processes: Implications for a Models-Based Regulatory Bank Capital Standard, Journal of Economics and Business 51 (1999)
25、Drew Dahl, Prompt corrective action and bank efforts to recover from undercapitalization, Journal of Banking & Finance 19 (1995)
26、Edward I. Altman, An analysis and critique of the BIS proposal on capital adequacy and ratings, Journal of Banking & Finance 25 (2001)
27、Edward I. Altman,Suggitt, Default rates in the syndicated bank loan market: A mortality analysis, Journal of Banking and Finance 24 (1/2), 2000。
28、Edward J. Kane, Difficulties of transferring risk-based capital requirements to developing countries, Pacific-Basin Finance Journal 3 (1995)
29、Fama,Eugene, "What's Different About Banks?" Journal of Monetary Economics, 6 (1985)
30、Gennotte,Pyle. Capital controls and bank risk, J. Banking Finance 15, (1991)
31、Giovanni Ferri, The role of rating agency assessments in less developed countries: Impact of the proposed Basel guidelines, Journal of Banking & Finance 25 (2001)
32、Giuseppe Coco, Collateral, heterogeneity in risk attitude and the credit market equilibrium, European Economic Review 43 (1999)
33、Gorton,Rosen, Corporate control, portfolio choice, and the decline of banking, Finance 50, (1996)
34、Joao A. C. Santos, Bank capital and equity investment regulations, Journal of Banking & Finance 23 (1999)。
35、John J. Mingo, Policy implications of the Federal Reserve study of credit risk models at major US banking institutions, Journal of Banking & Finance 24 (2000)
36、Jose A. Lopez, Evaluating credit risk models, Journal of Banking & Finance 24 (2000)
37、JP Morgan, RiskMetrics,Technical Document (1997)
38、Kahane. Capital adequacy and the regulation of financial intermediates, J. Banking Finance 1, (1977)
39、Keeley, Furlong. A reexamination of mean-variance analysis of bank capital regulation, J. Banking Finance 14, (1990)
40、Koehn, Santomero, Regulation of bank capital and portfolio risk,Finance 35, (1980).
41、Kupiec, O'Brien.A, pre-commitment approach to capital requirements for market risk, Federal Reserve Board,Finance and Economics Discussion Series,July, (1995)
42、Maria Concetta Chiuri, The macroeconomic impact of bank capital requirements in emerging economies:Past evidence to assess the future, Journal of Banking & Finance 26 (2002)
43、Mayer, Colin "New Issues in Corporate Finance," European Economic Review, 32 (1988):
44、Michael B. Gordy, A comparative anatomy of credit risk models, Journal of Banking & Finance 24 (2000)
45、Michel Dietsch, The credit risk in SME loans portfolios:Modeling issues, pricing, and capital Requirements, Journal of Banking & Finance 26 (2002)
46、Miguel A Segoviano, Internal ratings, the business cycle and capital requirements: some evidence from an emerging market economy, BIS Working Papers, (2002)
47、Models Task Force, Range of Practice in Banks' Internal Ratings Systems, A
discussion paper of BCBS, (2000)
48、Nickell, Ratings-versus equity-based credit risk models: an empirical investigation. Bank of England working paper (1998)
49、Nickell, Stability of rating transitions. Journal of Banking and Finance 24, (2000)
50、Patricia Jackson, Bank capital and VaR, Bank of England (1998)
51、Patricia Jackson, Capital requirement and bank behaviour:the impact of the Basel Accord, Basle Committee, Switzerland (1999)
52、Patricia Jackson, Regulatory and 'economic' solvency standards for internationally active banks, Bank of England (2002)
53、Patricia Jackson, Regulatory implications of credit risk modelling, Journal of Banking & Finance 24 (2000)
54、Paul Calem, The Impact of Capital-Based Regulation on Bank Risk-Taking, Journal of Financial Intermediation 8, (1999)
55、Peek, Rosengren, The International Transmission of Financial Shocks: The Case of Japan, American Economic Review, (1997)
56、Richard Cantor, Moody's investors service response to the consultative paper issued by the Basel Committee on Bank Supervision "A new capital adequacy framework", Journal of Banking & Finance 25 (2001)
57、Rudiger Frey, VaR and expected shortfall in portfolios of dependent credit risks: Conceptual and practical insights, Journal of Banking & Finance 26 (2002)。
58、Satoshi Daigo, Banks recapitalization policies in Japan and their impact on the market, Journal of International Financial Markets, Institutions and Money 9 (1999)
59、Taggart, Bank capital and public regulation, J. Money, Credit, Banking 10, (1978)
60、Tor Jacobson, Bank lending policy, credit scoring and value-at-risk, Journal of Banking & Finance 27 (2003)
61、Wimboh Santoso, Capital adequacy assessment with respect to market risk, Bank Indonesia (1998)
62、William F. Treacy, Credit risk rating systems at large US banks, Journal of Banking & Finance 24 (2000)
63、Wolfgang Hammes, The implications of the new capital adequacy rules for portfolio management of credit assets, Journal of Banking & Finance 25 (2001)
64、Victor E. Barrios, The effectiveness of bank capital adequacy regulation: A theoretical and empirical approach, Journal of Banking & Finance 27 (2003)