金融混业经营及其风险管理研究
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摘要
金融混业经营成为世界金融业发展的主导趋势,在金融混业经营模式下,必然要面对金融混业经营模式和监管模式的选择、风险分析、金融风险度量、金融混业经营机构内部经济资本分配等一系列问题。因此在此背景和趋势下,结合西方国家的经验和我国的国情,本文运用定性和定量分析相结合的方法对金融混业经营的上述问题进行了研究。
1.金融混业经营模式研究。首先对西方主要国家的金融混业经营模式进行了探讨。然后运用三角模糊数和AHP综合评价模型对几种金融混业模式进行综合评价,提出了:信息优势、规模经济、范围经济、收入流的多元化和交叉销售的可能5个指标潜在收益指标和降低竞争、利益冲突、关联交易、政府安全网的扩展、内部控制成本和监管成本6个指标潜在成本指标作为其评价因素指标集。
2.金融混业经营模式的监管有效性分析。首先对西方主要国家的金融混业经营的监管模式进行了比较分析,得出了当前全球监管模式的演变趋势和主要特征。然后运用经济成本—效益(CBA)分析方法对金融混业监管模式进行分析,并结合经济学分析理论对其进行了进一步解释。
3.金融混业经营的风险分析。首先分析了各个利益相关者进行金融风险管理的动因,其次着重研究了金融混业经营面对的风险类型及其评估方法,在上述基础上提出了金融混业经营风险管理框架。
4.金融混业经营的风险度量研究。首先运用VaR和Copulas函数等方法对金融混业经营机构的风险进行度量,建立了计算金融混业经营集团的风险度量模型Copula-VaR。然后对几种风险度量VaR方法进行了比较,并定义了多样化经营的好处(DB)
5.金融混业经济的经济资本分配问题。在一个金融集团内,建立了一个将给定数量的经济资本最佳的分配给不同子公司的数学模型。在此基础,论证了由于多样化经营的好处(DB)的存在,在金融集团内部存在虚拟经济资本。
6.分析了目前我国存在的金融混业经营模式和监管模式,结合我国金融发展的实际,得到了在中国发展金融控股公司的金融混业经营模式,重点发展金融经营控股模式,适当发展产业纯粹控股模式和金融监管从分业多头监管模式逐步过渡到统一监管、中央银行和银行监管职责分离模式的结论。并对我国金融混业经营的风险进行了分析。
Financial conglomerate becomes the dominant trend of financial industrydevelopment of the world. The Financial conglomerats companies have to face a seriesof questions, such as option of the mode of Financial conglomerate opreation andsupervision, risk analysis, financial risks measurement, allocation of Economic capitalwithin the firm, etc. inside financial mixed operation organization. The paper used thequantitative method and qualitative one wich combined the experience of the westerncountries and our country's real conditions to carry on research to the above-mentionedproblems of financial conglomerate operation.
1. The mode of financial conglomerate was studied. Fistly, carried on thediscussion to the mode of financial conglomerate of the main countries of the west.Then used the triangular fuzzy number evaluation and AHP model to evaluate themode of financial conglomerates and proposed the 5 index potential income indexesincluding information advantage, scale economy, range economy, pluralismof incomeflow and cross-selling, and 6 index potential cost indexes including reducingcompetition, interests conflict, related trade, expansion of government's safety net,control of cost and supervision cost as their appraisal factor index collections.
2. Supervision validity analysis of the financial conglomerate. Fistly, carried on acontrastive analysis on the supervision mode of financial conglomerate of the maincountry of the west, and drawn the development trends and main characteristics of thesupervison mode of the whole world at present. Then used economic cost-benefitanalytical (CBA) to analyse the supervison mode of financial conglomerate, combiningwith economics theory.
3. Risk analysis of financial conglomerate. Analysed the reasons of carrying onfinancial risk management of persons who are correlated with of interests at first,secondly emphatically studied risk type and assessment method faced in financialconglomerate. Furthmore proposed the risk management frame of financialconglomerate on the basis of the aforesaid.
4. Risk measurement of financial conglomerate was studied. Used methods suchas VaR and Copulas function to measure the risk of the financial conglomerate first ofall, and set up Copula-VaR model for risk measurement. Then compared with severalrisk measurement VaR methods, and defined diversification benefit (DB) of invest.
5. Allocation of economic capital of financial conglomerate. Given a
mathematical model for determination of the amount of economic capital to eachsubsidiary company in one finacial group. On basis of it, demonstrated that there wasvirtual economic capital within financial conglomerate, as a result of existence ofdiversification benefit (DB).6. Analysed the operation and supervision mode of financiaol conglomerate of ourcountry, and combined real condition. Then jumped a conclusion that financial holdingcompany may be a main mode for China developing financial conglomerate. Contrastpurely industry holding mode, the finance company holding is given priority todevelop. Also got that the detached financial supervision mode will gradually transit tothe uniform one, and the supervise function should separate from central bank. Finally,given a analysis to the risk of financial conglomerat of our country.
1.金融混业经营模式研究。首先对西方主要国家的金融混业经营模式进行了探讨。然后运用三角模糊数和AHP综合评价模型对几种金融混业模式进行综合评价,提出了:信息优势、规模经济、范围经济、收入流的多元化和交叉销售的可能5个指标潜在收益指标和降低竞争、利益冲突、关联交易、政府安全网的扩展、内部控制成本和监管成本6个指标潜在成本指标作为其评价因素指标集。
2.金融混业经营模式的监管有效性分析。首先对西方主要国家的金融混业经营的监管模式进行了比较分析,得出了当前全球监管模式的演变趋势和主要特征。然后运用经济成本—效益(CBA)分析方法对金融混业监管模式进行分析,并结合经济学分析理论对其进行了进一步解释。
3.金融混业经营的风险分析。首先分析了各个利益相关者进行金融风险管理的动因,其次着重研究了金融混业经营面对的风险类型及其评估方法,在上述基础上提出了金融混业经营风险管理框架。
4.金融混业经营的风险度量研究。首先运用VaR和Copulas函数等方法对金融混业经营机构的风险进行度量,建立了计算金融混业经营集团的风险度量模型Copula-VaR。然后对几种风险度量VaR方法进行了比较,并定义了多样化经营的好处(DB)
5.金融混业经济的经济资本分配问题。在一个金融集团内,建立了一个将给定数量的经济资本最佳的分配给不同子公司的数学模型。在此基础,论证了由于多样化经营的好处(DB)的存在,在金融集团内部存在虚拟经济资本。
6.分析了目前我国存在的金融混业经营模式和监管模式,结合我国金融发展的实际,得到了在中国发展金融控股公司的金融混业经营模式,重点发展金融经营控股模式,适当发展产业纯粹控股模式和金融监管从分业多头监管模式逐步过渡到统一监管、中央银行和银行监管职责分离模式的结论。并对我国金融混业经营的风险进行了分析。
Financial conglomerate becomes the dominant trend of financial industrydevelopment of the world. The Financial conglomerats companies have to face a seriesof questions, such as option of the mode of Financial conglomerate opreation andsupervision, risk analysis, financial risks measurement, allocation of Economic capitalwithin the firm, etc. inside financial mixed operation organization. The paper used thequantitative method and qualitative one wich combined the experience of the westerncountries and our country's real conditions to carry on research to the above-mentionedproblems of financial conglomerate operation.
1. The mode of financial conglomerate was studied. Fistly, carried on thediscussion to the mode of financial conglomerate of the main countries of the west.Then used the triangular fuzzy number evaluation and AHP model to evaluate themode of financial conglomerates and proposed the 5 index potential income indexesincluding information advantage, scale economy, range economy, pluralismof incomeflow and cross-selling, and 6 index potential cost indexes including reducingcompetition, interests conflict, related trade, expansion of government's safety net,control of cost and supervision cost as their appraisal factor index collections.
2. Supervision validity analysis of the financial conglomerate. Fistly, carried on acontrastive analysis on the supervision mode of financial conglomerate of the maincountry of the west, and drawn the development trends and main characteristics of thesupervison mode of the whole world at present. Then used economic cost-benefitanalytical (CBA) to analyse the supervison mode of financial conglomerate, combiningwith economics theory.
3. Risk analysis of financial conglomerate. Analysed the reasons of carrying onfinancial risk management of persons who are correlated with of interests at first,secondly emphatically studied risk type and assessment method faced in financialconglomerate. Furthmore proposed the risk management frame of financialconglomerate on the basis of the aforesaid.
4. Risk measurement of financial conglomerate was studied. Used methods suchas VaR and Copulas function to measure the risk of the financial conglomerate first ofall, and set up Copula-VaR model for risk measurement. Then compared with severalrisk measurement VaR methods, and defined diversification benefit (DB) of invest.
5. Allocation of economic capital of financial conglomerate. Given a
mathematical model for determination of the amount of economic capital to eachsubsidiary company in one finacial group. On basis of it, demonstrated that there wasvirtual economic capital within financial conglomerate, as a result of existence ofdiversification benefit (DB).6. Analysed the operation and supervision mode of financiaol conglomerate of ourcountry, and combined real condition. Then jumped a conclusion that financial holdingcompany may be a main mode for China developing financial conglomerate. Contrastpurely industry holding mode, the finance company holding is given priority todevelop. Also got that the detached financial supervision mode will gradually transit tothe uniform one, and the supervise function should separate from central bank. Finally,given a analysis to the risk of financial conglomerat of our country.
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