基于利率、汇率、股价联动性商业银行市场风险综合度量的阶段性研究
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摘要
随着我国金融自由化的程度的加深及金融产品价格的市场化,市场风险在我国商业银行风险管理中占有越来越重要的地位。我国商业银行目前对市场风险的重视程度远远低于对信用风险和操作风险的重视,国内几乎没有任何一家商业银行正式建立完整的市场风险度量体系。深入研究国外先进商业银行市场风险度量体系,建立适合我国商业银行市场风险度量体系的模式,具有十分重要的现实意义。
本文在研究过程中采用规范分析法和实证分析法相结合的方法,对商业银行各市场风险因素相关性进行理论研究和实证检验,采用的方法包括主成分分析、实证分析和计量建模分析等。通过对商业银行市场风险管理模型与理论的描述,结合我国商业银行市场风险的特点,得出以下结论：
1、商业银行市场风险主要包括利率风险、汇率风险、金融衍生品风险、资产价格风险等,其中,利率风险尤为重要。度量商业银行风险的方法主要有标准法和内部模型法两大类,可参考的度量测度模型有VaR、OAS等。运用VaR模型可以对精确度量每一类市场风险及不同市场因子间的相关性,测度其全部市场风险的综合值。但VaR的使用对数据有严格的要求,我国商业银行使用这一模型进行市场风险的综合度量还存在种种困难,但无论从监管机构提高对银行风险测量的准确度方面,还是从银行自身加强抗风险的能力来看,商业银行市场风险量化方法的采用都是大有裨益的。
2、理论研究和实证检验的结果都显示,商业银行各市场因素间存在长期均衡关系。从长期看,汇率与股价之间存在着正向的关系,本币的升值往往伴随着本国股价的上涨；股价与利差间存在负向关系；人民币汇率与利差之间存在着正向关系,中美正利差的扩大伴随着人民币汇率的升值。向量误差修正模型的结果表明：从短期看,汇率变动与利差变动均是股价变动的单向Granger原因,即短期中汇率变动和利差变动单向地对股价变动产生了影响。另外,利差变动短期内也是汇率变化的单向Granger原因,中外货币利差的扩大通过资本流动对本币形成升值压力。从长期看,汇率变化和利差变化一起构成股价变动的Granger原因。长期中,本币的持续升值、以及国内外利差的增大,都会吸引外资的流入,对股价起推动作用。
3、从综合度量商业银行市场风险风险的角度,本文选取德意志银行的案例显示综合度量可以达到很好的风险分散效果,由于利率、汇率、股价等市场风险因素的相关性,综合度量市场风险的综合VaR值(Total VaR)明显小于单种类型市场风险(利率、汇率与股价等风险)VaR的直接加总值。商业银行通过有效的构建符合其自身特点的VaR方法,运用不同VaR度量模型,可以测度全部市场风险的综合值。VaR度量结果的有效性及其对未来市场风险的预见性,从而更好地配置资源,实现商业银行长期、稳定、健康地发展。
4、为实现商业银行的审慎经营,必须对不同风险因素配置相应的经济资本,而考虑到市场因素间的联动作用,商业银行配置资本可实现最大程度的集约化管理。市场风险是商业银行经营过程中不可避免地要承担的一类非常重要的风险,建立健全有效的市场管理体系是确保商业银行稳定发展的基础。市场风险的各种因素交叉融汇在一起,使得市场风险的管理与防范具有较大的复杂性和艰巨性。为增强我国商业银行抵御风险能力、提高其市场竞争力,必须根据自身的特点,选择有效实用的市场风险管理模式,建立严密的市场风险管理组织和健全、完善定量市场风险管理模型,利用现代化的信息管理技术,形成严密、适时监控的市场风险管理和控制体系。
Market risk is the risk that because the change of market price financial assets including interest rate, exchange rate, stock price and goods may lead an undesirable fluctuation, commercial banks have always faced the risk of losses in on and off-balance-sheet positions arising from this type of market movements. This kind of risk must not be easily considered as a summation of all market risk factors that commercial bank faces. Because it is not a simple independence relation, but is a complicated joint-action linkage that exist between all these factors, including interest rate, exchange rate, asset prices and many other macro-economy variables. Under this consideration, such linkage must be taken into account in order to calculate the real VaR level of commercial bank. In this paper, the author makes a deep research on the measurement systems of commercial bank's market risks in different countries, from the aspects of both the real diagnosis analysis and the standard analysis. The "Amendment to the Capital Accord to Incorporate Market Risks (1996)" is the Basle Committee's pronouncement on capital charges for market risk. It sets forth two approaches for calculating the capital charge to cover market risks:the standardized approach and the internal models approach. The former adopts a so-called building block approach for interest rate related and equity instruments which differentiates capital requirements (charges) for specific risk from those for general market risk. The latter prefer to use proprietary in-house models as an alternative approach to the standardized method for calculating market risk, the capital charge is the higher of previous day's VaR and the verage of the daily VAR of the preceding 60 business days. More strict regulation requirements clearly reveal the urgency for China's commercial bank to learn form their foreign peers on how to construct a measurement system of commercial bank's market risks, so as to meet the new requirement of globalization features. Based on the research of the measurement systems of commercial bank's market risks in different countries, the author gives a series of constructive suggestions on how to measure commercial bank's market risks in China accurately through the systemic calculation of VaR method.
Through the description of theories and models on the measurement of commercial bank's market risks, and considering the features of market risks to China's commercial banks, the author reaches the belowing conclusions:
1. Interest rate risk, exchange rate risk, asset price risk are three important risk factors to commercial banks. According to the standardized approach, the commercial bank's real VaR level must be computed on the sum of risk exposure interest rate risk exposure and exchange rate risk exposure. Under the circumstance of Globalization, the VaR model is a major method of the risk measurement of commercial bank at present, which can measure the over-all risk of financial investment portfolio.
2. Howerver, the market price of risk is conceptually one of the most critical artifacts of modern finance, since it provides the between equilibrium and arbitrage models of derivatives pricing. In this sense, the joint-action linkage imposes higher requirements on commercial banks'market risk management. How to allocate caipital applying to the joint-action linkage of each risk factor, so as to maximize the investment return under the circumstance of principal safety, is an essential problem to commercial banks.
3. As example, we research on the market management in Deusech bank. For the sake of imprudental operation, commercial banks have to place some assets to compensate the market risk. If we have mastered the correlation rules of the market risk, we could use our risky assets best.
4. From the aspect of interest rate risk, the declaration of macro economic policy of our government, we can call it the policy risk, is the main factor that lead to the interest rate risk of commercial bank in China. However, there are also some problems that are risks from modeling and over-depending the historical data in the process of using VaR model. To avoid these limits, many other methods such as historic-simulation method, Monte Carlo simulation and stress testing method are also used as an implement to the VaR model.From the aspect of exchange rate risk, since China's exchange rate system of 1994, China's commercial banks attached increasingly more importance on exchange rate risk mangement. In order to hedge exposures to currencies, commercial banks have used many traditional hedging models and techniques.
本文在研究过程中采用规范分析法和实证分析法相结合的方法,对商业银行各市场风险因素相关性进行理论研究和实证检验,采用的方法包括主成分分析、实证分析和计量建模分析等。通过对商业银行市场风险管理模型与理论的描述,结合我国商业银行市场风险的特点,得出以下结论：
1、商业银行市场风险主要包括利率风险、汇率风险、金融衍生品风险、资产价格风险等,其中,利率风险尤为重要。度量商业银行风险的方法主要有标准法和内部模型法两大类,可参考的度量测度模型有VaR、OAS等。运用VaR模型可以对精确度量每一类市场风险及不同市场因子间的相关性,测度其全部市场风险的综合值。但VaR的使用对数据有严格的要求,我国商业银行使用这一模型进行市场风险的综合度量还存在种种困难,但无论从监管机构提高对银行风险测量的准确度方面,还是从银行自身加强抗风险的能力来看,商业银行市场风险量化方法的采用都是大有裨益的。
2、理论研究和实证检验的结果都显示,商业银行各市场因素间存在长期均衡关系。从长期看,汇率与股价之间存在着正向的关系,本币的升值往往伴随着本国股价的上涨；股价与利差间存在负向关系；人民币汇率与利差之间存在着正向关系,中美正利差的扩大伴随着人民币汇率的升值。向量误差修正模型的结果表明：从短期看,汇率变动与利差变动均是股价变动的单向Granger原因,即短期中汇率变动和利差变动单向地对股价变动产生了影响。另外,利差变动短期内也是汇率变化的单向Granger原因,中外货币利差的扩大通过资本流动对本币形成升值压力。从长期看,汇率变化和利差变化一起构成股价变动的Granger原因。长期中,本币的持续升值、以及国内外利差的增大,都会吸引外资的流入,对股价起推动作用。
3、从综合度量商业银行市场风险风险的角度,本文选取德意志银行的案例显示综合度量可以达到很好的风险分散效果,由于利率、汇率、股价等市场风险因素的相关性,综合度量市场风险的综合VaR值(Total VaR)明显小于单种类型市场风险(利率、汇率与股价等风险)VaR的直接加总值。商业银行通过有效的构建符合其自身特点的VaR方法,运用不同VaR度量模型,可以测度全部市场风险的综合值。VaR度量结果的有效性及其对未来市场风险的预见性,从而更好地配置资源,实现商业银行长期、稳定、健康地发展。
4、为实现商业银行的审慎经营,必须对不同风险因素配置相应的经济资本,而考虑到市场因素间的联动作用,商业银行配置资本可实现最大程度的集约化管理。市场风险是商业银行经营过程中不可避免地要承担的一类非常重要的风险,建立健全有效的市场管理体系是确保商业银行稳定发展的基础。市场风险的各种因素交叉融汇在一起,使得市场风险的管理与防范具有较大的复杂性和艰巨性。为增强我国商业银行抵御风险能力、提高其市场竞争力,必须根据自身的特点,选择有效实用的市场风险管理模式,建立严密的市场风险管理组织和健全、完善定量市场风险管理模型,利用现代化的信息管理技术,形成严密、适时监控的市场风险管理和控制体系。
Market risk is the risk that because the change of market price financial assets including interest rate, exchange rate, stock price and goods may lead an undesirable fluctuation, commercial banks have always faced the risk of losses in on and off-balance-sheet positions arising from this type of market movements. This kind of risk must not be easily considered as a summation of all market risk factors that commercial bank faces. Because it is not a simple independence relation, but is a complicated joint-action linkage that exist between all these factors, including interest rate, exchange rate, asset prices and many other macro-economy variables. Under this consideration, such linkage must be taken into account in order to calculate the real VaR level of commercial bank. In this paper, the author makes a deep research on the measurement systems of commercial bank's market risks in different countries, from the aspects of both the real diagnosis analysis and the standard analysis. The "Amendment to the Capital Accord to Incorporate Market Risks (1996)" is the Basle Committee's pronouncement on capital charges for market risk. It sets forth two approaches for calculating the capital charge to cover market risks:the standardized approach and the internal models approach. The former adopts a so-called building block approach for interest rate related and equity instruments which differentiates capital requirements (charges) for specific risk from those for general market risk. The latter prefer to use proprietary in-house models as an alternative approach to the standardized method for calculating market risk, the capital charge is the higher of previous day's VaR and the verage of the daily VAR of the preceding 60 business days. More strict regulation requirements clearly reveal the urgency for China's commercial bank to learn form their foreign peers on how to construct a measurement system of commercial bank's market risks, so as to meet the new requirement of globalization features. Based on the research of the measurement systems of commercial bank's market risks in different countries, the author gives a series of constructive suggestions on how to measure commercial bank's market risks in China accurately through the systemic calculation of VaR method.
Through the description of theories and models on the measurement of commercial bank's market risks, and considering the features of market risks to China's commercial banks, the author reaches the belowing conclusions:
1. Interest rate risk, exchange rate risk, asset price risk are three important risk factors to commercial banks. According to the standardized approach, the commercial bank's real VaR level must be computed on the sum of risk exposure interest rate risk exposure and exchange rate risk exposure. Under the circumstance of Globalization, the VaR model is a major method of the risk measurement of commercial bank at present, which can measure the over-all risk of financial investment portfolio.
2. Howerver, the market price of risk is conceptually one of the most critical artifacts of modern finance, since it provides the between equilibrium and arbitrage models of derivatives pricing. In this sense, the joint-action linkage imposes higher requirements on commercial banks'market risk management. How to allocate caipital applying to the joint-action linkage of each risk factor, so as to maximize the investment return under the circumstance of principal safety, is an essential problem to commercial banks.
3. As example, we research on the market management in Deusech bank. For the sake of imprudental operation, commercial banks have to place some assets to compensate the market risk. If we have mastered the correlation rules of the market risk, we could use our risky assets best.
4. From the aspect of interest rate risk, the declaration of macro economic policy of our government, we can call it the policy risk, is the main factor that lead to the interest rate risk of commercial bank in China. However, there are also some problems that are risks from modeling and over-depending the historical data in the process of using VaR model. To avoid these limits, many other methods such as historic-simulation method, Monte Carlo simulation and stress testing method are also used as an implement to the VaR model.From the aspect of exchange rate risk, since China's exchange rate system of 1994, China's commercial banks attached increasingly more importance on exchange rate risk mangement. In order to hedge exposures to currencies, commercial banks have used many traditional hedging models and techniques.
引文
1 市场风险是指因市场价格(利率、汇率、股票价格和商品价格)的不利变动而使银行表内和表外业务发生损失的风险。
1 Markowitz, H. Portfolio Selection[J]. Journal of Finance, March 1952.
2 S. Ross.1976. Arbitrage theory of capital asset pricing [J]. Journal of Economic Theory.
1 其经济含义是,持续期缺口越大、资产价值越高、利率变动幅度越大,则商业银行利率风险越高,在资产价值和利率变动额给定时,持续期缺口能够有效度量利率风险。
1 在参照竞争对手的定价基础上,确定比较有吸引力的利率来赢得更多的客户,从而占领更大的市场,并期望向客户提供新的服务获得更多收入。
2 银行根据其制定的预期收入率进行定价,为实现目标利润而调整价格,以实现利润最大化。
3 一种以边际成本为基础的定价方法,根据边际成本等于边际收入的原则选择利率。
4 基于风险和收入相匹配的原则,在无风险利率的基础上加风险溢价。
1 NDF即人民币无本金交割远期,常用于衡量海外市场对人民币升值的预期,全称为Non-Deliverable Forward。NDF在离岸柜台市场(Offshore OTC Market)交易,所以又常被称为海外无本金交割远期。NDF市场起源于上世纪90年代,它为中国、印度、越南等新兴市场国家的货币提供了套期保值功能,几乎所有的NDF合约都以美元结算。人民币、越南盾、韩元、印度卢比、菲律宾比索等亚洲新兴市场国家货币都存在NDF市场,与这些国家存在贸易往来或设有分支机构的公司可以通过NDF交易进行套期保值,以规避汇率风险,NDF市场的另一功能是分析这些国家汇率的未来走势的预期。
1 当L>S时,取各外币长头寸；当S>L时,取各外币短头寸。
1 表内套期保值是指通过对其资产和负债的币种加以匹配来避免因汇率变动引起的利差亏损。
2 表外套期保值则是指银行通过对远期外汇合约、外汇期货合约、外汇期权合约和外汇掉期合约等表外工具的运用对其表内的汇率风险进行套期保值。
1 如选择一篮子货币、软硬货币搭配或双方都能接受的交易最频繁的货币。
1 房地产金融的基本任务是运用多种金融方式和金融工具筹集和融通资金,支持房地产开发、经营和消费,促进房地产再生产过程中的资金良性循环,保障房地产再生产过程的顺利进行。其主要内容包括吸收房地产业存款,开办住房储蓄,进行房地产贷款、尤其是房地产抵押贷款,从事房地产投资、信托保险、典当和货币结算以及代理房地产有价证券的发行与交易等。
2 房产金融是指房屋或建筑物在生产、流通、消费过程中的各种资金融通活动。
3 地产金融又称土地金融,是指围绕土地的有偿使用而产生的各种资金融通活动。
1 所谓零值VAR,是以初始价值为基准测度风险,度量的是资产价值的绝对损失。
2 所谓均值VAR,是以均值作为基准来测度风险,度量的是资产价值的相对损失。
1 所谓转手型提前偿付是指资产的控制权转移而导致的提前偿付。
2 所谓再融资型提前偿付是指利率下跌时,借款人还旧借新,从而使原有贷款提前偿付。
3 所谓违约型提前偿付是指借款人不履行合约,导致贷款证券化而出现的提前偿付,住宅抵押贷款出现违约型提前偿付的情形较多。
4 所谓加速获得权益型的提前偿付,是指借款人为了加快获得抵押资产的权益而出现的提前偿付。
1 SMM计算的是当月实际偿付额减去计划偿付本息额后的差额占前一个月的未偿余额减去当月计划偿还本金额后的差额的百分比。
1 即证券刚发行或贷款刚发放时提前偿付行为较少,以后逐步增多,到一定程度后又逐步趋于平稳的现象。
1 所谓粘性价格是指短期内商品价格粘住不动,但随着时间的推移,价格水平会逐渐发生变化直至达到其新的长期均衡值。
1 王爱俭,张全旺.论不同经济体制下利率与汇率的联动性[J].现代财经2003(2).
1 人民银行研究局课题组.中国股票市场发展与货币政策完善[J].金融研究.2002[4].
1 基本差额包括经常账户差额和长期投资差额,经常账户顺差导致实际汇率升值已被大多数经济学家所肯定。
1 谭艳平.论商业银行利率风险的综合度量和管理[D].浙江大学学位论文集.2008.
1 一般假定其服从正态分布或对数正态分布。
2 后验测试主要是将运用VaR模型估计的日常损益值与德国监管当局规定的“购买并持有”假定下的日常损益值进行比较,以此判断VaR的有效性,市场风险管理部门及各业务部门组成的委员会季度性的对后验测试的结果进行讨论,分析评估VaR模型对未来的预见能力,从而有效地改进其风险度量估算方法。
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2 S. Ross.1976. Arbitrage theory of capital asset pricing [J]. Journal of Economic Theory.
1 其经济含义是,持续期缺口越大、资产价值越高、利率变动幅度越大,则商业银行利率风险越高,在资产价值和利率变动额给定时,持续期缺口能够有效度量利率风险。
1 在参照竞争对手的定价基础上,确定比较有吸引力的利率来赢得更多的客户,从而占领更大的市场,并期望向客户提供新的服务获得更多收入。
2 银行根据其制定的预期收入率进行定价,为实现目标利润而调整价格,以实现利润最大化。
3 一种以边际成本为基础的定价方法,根据边际成本等于边际收入的原则选择利率。
4 基于风险和收入相匹配的原则,在无风险利率的基础上加风险溢价。
1 NDF即人民币无本金交割远期,常用于衡量海外市场对人民币升值的预期,全称为Non-Deliverable Forward。NDF在离岸柜台市场(Offshore OTC Market)交易,所以又常被称为海外无本金交割远期。NDF市场起源于上世纪90年代,它为中国、印度、越南等新兴市场国家的货币提供了套期保值功能,几乎所有的NDF合约都以美元结算。人民币、越南盾、韩元、印度卢比、菲律宾比索等亚洲新兴市场国家货币都存在NDF市场,与这些国家存在贸易往来或设有分支机构的公司可以通过NDF交易进行套期保值,以规避汇率风险,NDF市场的另一功能是分析这些国家汇率的未来走势的预期。
1 当L>S时,取各外币长头寸；当S>L时,取各外币短头寸。
1 表内套期保值是指通过对其资产和负债的币种加以匹配来避免因汇率变动引起的利差亏损。
2 表外套期保值则是指银行通过对远期外汇合约、外汇期货合约、外汇期权合约和外汇掉期合约等表外工具的运用对其表内的汇率风险进行套期保值。
1 如选择一篮子货币、软硬货币搭配或双方都能接受的交易最频繁的货币。
1 房地产金融的基本任务是运用多种金融方式和金融工具筹集和融通资金,支持房地产开发、经营和消费,促进房地产再生产过程中的资金良性循环,保障房地产再生产过程的顺利进行。其主要内容包括吸收房地产业存款,开办住房储蓄,进行房地产贷款、尤其是房地产抵押贷款,从事房地产投资、信托保险、典当和货币结算以及代理房地产有价证券的发行与交易等。
2 房产金融是指房屋或建筑物在生产、流通、消费过程中的各种资金融通活动。
3 地产金融又称土地金融,是指围绕土地的有偿使用而产生的各种资金融通活动。
1 所谓零值VAR,是以初始价值为基准测度风险,度量的是资产价值的绝对损失。
2 所谓均值VAR,是以均值作为基准来测度风险,度量的是资产价值的相对损失。
1 所谓转手型提前偿付是指资产的控制权转移而导致的提前偿付。
2 所谓再融资型提前偿付是指利率下跌时,借款人还旧借新,从而使原有贷款提前偿付。
3 所谓违约型提前偿付是指借款人不履行合约,导致贷款证券化而出现的提前偿付,住宅抵押贷款出现违约型提前偿付的情形较多。
4 所谓加速获得权益型的提前偿付,是指借款人为了加快获得抵押资产的权益而出现的提前偿付。
1 SMM计算的是当月实际偿付额减去计划偿付本息额后的差额占前一个月的未偿余额减去当月计划偿还本金额后的差额的百分比。
1 即证券刚发行或贷款刚发放时提前偿付行为较少,以后逐步增多,到一定程度后又逐步趋于平稳的现象。
1 所谓粘性价格是指短期内商品价格粘住不动,但随着时间的推移,价格水平会逐渐发生变化直至达到其新的长期均衡值。
1 王爱俭,张全旺.论不同经济体制下利率与汇率的联动性[J].现代财经2003(2).
1 人民银行研究局课题组.中国股票市场发展与货币政策完善[J].金融研究.2002[4].
1 基本差额包括经常账户差额和长期投资差额,经常账户顺差导致实际汇率升值已被大多数经济学家所肯定。
1 谭艳平.论商业银行利率风险的综合度量和管理[D].浙江大学学位论文集.2008.
1 一般假定其服从正态分布或对数正态分布。
2 后验测试主要是将运用VaR模型估计的日常损益值与德国监管当局规定的“购买并持有”假定下的日常损益值进行比较,以此判断VaR的有效性,市场风险管理部门及各业务部门组成的委员会季度性的对后验测试的结果进行讨论,分析评估VaR模型对未来的预见能力,从而有效地改进其风险度量估算方法。
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