我国商业银行安全的评估研究
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摘要
20世纪90年代频繁发生的金融风潮和2008年爆发的全球性金融危机,使商业银行安全问题获得空前关注。然而,银行危机的频繁发生及其给危机发生国或地区带来的巨额成本意味着维护商业银行安全的现有措施尚存在不少问题。出现该状况的具体原因是多方面的,但首要原因在于当前还缺乏完善的商业银行安全评估模型与方法。毫无疑问,对商业银行安全相关问题的正确认识和有效解决有赖于对商业银行安全水平的准确评估。
已有研究提出的三种主要的商业银行安全评估模型和方法,即事件研究法、具体风险类型分析法和传统Z值模型,尚存在许多局限性1。本文通过修正传统Z值模型构建了更完善的商业银行安全评估模型即基于VaR的Z值模型,并将其用于对国内外主要商业银行安全水平的评估；然后,通过构建商业银行安全影响因素的分析框架,考察了国内外商业银行安全水平实证结果差异的成因及其作用机理。
与传统Z值模型相比,基于VaR的Z值模型不但继承了前者可对商业银行破产可能性进行度量的良好优势,而且修正和改进了前者存在的无法刻画外部冲击方向及程度的不足。同时,基于VaR的Z值模型贯彻了商业银行经营管理的“三性”原则,并通过给出综合反映流动性、盈利性与安全性的安全评估值,合理解决了“三性”之间存在的协调与评价问题。
本文的主要研究成果如下：
(1)关于正常情形下商业银行安全水平评估与比较的研究。通过国内大型商业银行与中小股份制商业银行安全水平的纵向比较发现,2004年之前,中小股份制商业银行安全的平均水平明显高于大型商业银行,而在2004年以来,两类银行安全的平均水平之间的差距已明显缩小并趋向一致。通过对国内16家已上市商业银行以及资产规模排名全球前100位的国外商业银行样本的横向比较发现,样本期间国内外银行安全的平均水平存在差距,但该差距已逐渐缩小。2006年之前,国内银行安全的平均水平显著低于国外银行样本,但在2006、2007年,国内外银行平均安全水平的差异则相对较小。
(2)关于正常情形下国内外商业银行安全水平差异的成因及其作用机理的研究。大型商业银行与中小股份制商业银行之间效率差异的缩小以及两类银行非利息收入占比差异的变化可对样本期间上述两类银行安全水平的差异作出解释。关于国内外商业银行安全水平差异的成因与作用机理,本文研究发现,从宏观经济角度分析,我国良好的宏观经济形势是我国商业银行得以逐渐缩小其与资产规模排名全球前100位的国外商业银行安全水平差距的主要原因之一,从业务结构角度分析,与国外银行样本的平均水平相比,由于高度依赖于传统信贷业务,国内银行的非利息收入占比水平普遍较低,并给国内银行提升盈利能力造成一定的制约,这成为正常情形下国内银行安全的平均水平低于国外银行的重要原因之一,从效率角度分析,国内外银行效率水平的差距是导致国内外银行安全水平出现差异的另一项重要原因。
(3)关于非正常情形下商业银行安全水平评估与比较的研究。2008年爆发的全球性金融危机给我国商业银行安全造成一定程度的不利冲击,但冲击程度并不大,且该冲击效应是短暂的。与金融危机期间国内主要商业银行的良好表现不同,国外商业银行在金融危机中遭致重创。本文选择的资产规模排名全球前100位的国外商业银行样本的盈利水平出现大幅度下滑,发生了巨额的资产减记与信贷损失,这些银行所处的国家和地区的银行业甚至出现了严重的破产浪潮。
(4)关于非正常情形下国内外商业银行安全水平差异成因与作用机理的研究。从宏观经济的角度分析,我国宏观经济相对于全球其他经济体的良好表现,为国内商业银行应对外部不利冲击提供了保障,这成为金融危机期间我国商业银行所受冲击较小的重要原因之一。从业务结构的角度分析,由于业务特征、监管规则、会计准则等因素的差异,非利息收入通常具有更高的波动性及顺周期性,在非正常情形下,非利息收入极易出现较大幅度的下滑,因而加剧了银行盈利与资本水平下降的风险,进而给商业银行安全造成不利影响。与国外银行相比,我国商业银行的非利息收入占比水平普遍较低。这一业务结构尽管在正常情形下可能给国内商业银行的盈利水平造成一定的限制,但在危机期间也明显减少了盈利及资本水平下滑的风险。从效率角度的分析,随着我国银行业持续多年的改革,国内商业银行的效率水平已有明显改善,并大大缩小了其与国外银行的效率差距,这为我国商业银行增强外部冲击抵御能力提供了重要的保障,并成为金融危机期间国内商业银行所受冲击较小的又一重要原因。
Security of commercial banks has attract unprecedented attention during international financial turmoil which broke out frequently in 1990s, and financial crisis spreading across the world in 2008. However, the frequent occurrence of banking crisis and huge cost resulted from crisis means that there are many problems existing in measures which are aimed to maintain security of commercial banks. Causes that lead to these situations are multidimensional, but the leading cause is that there are some problems existing in assessment of security of commercial banks, which are still not solved. There is no doubt that proper understanding and effective solution to problems related to security of commercial banks, depends on accurate assessment of security of commercial banks.
Current study presents three major kinds of assessment model and method for security of commercial banks, which are as follows:methods of event study, methods of specific types of risk analysis and traditional model of Z-scores. There are some limitations existing in current models and methods. This paper aims to propose a model of Z-scores based on VaR by improvement of traditional model of Z-scores, and further assess and analyze the security of commercial banks of China. Then this paper examine causes and mechanism which result in differences in empirical results of assessment of security of domestic and foreign commercial banks.
Compared to traditional model of Z-scores, the model of Z-scores based on VaR has not only inherited the traditional model's advantages that it could measure the possibilities of commercial banks' bankruptcy, but also corrected and improved the traditional model's disadvantages that it couldn't depict external shocks' direction and degree. Meanwhile, the model of Z-scores based on VaR has implemented the "three-properties" principle for commercial banks management, and solved properly the problems of coordination and evaluation among "three-properties" by proposing comprehensive value reflecting liquidity, profitability and security of commercial banks.
The paper has drew main findings as follows:
(1) Findings about assessment and comparison of security of commercial banks during normal situations. By vertical comparison, average level for security of small and medium sized commercial banks was significantly higher than large commercial banks until 2004, and the difference between average level for security of involved two kinds of commercial banks in China has reduced obviously since 2004. By international comparison between domestic 16 listed banks and top 100 foreign banks by assets, the difference between average level for security of domestic and foreign banks in 2006 and 2007 was not significant, and average level for security of domestic commercial banks was significantly lower than foreign commercial banks until 2006.
(2) Findings about causes and mechanism which result in differences in empirical results of security of commercial banks during normal situations. Decreasing of differences of efficiency and changing trend of differences of non-interest income ratio between small and medium sized and large commercial banks account for empirical results of two kinds of commercial banks. With regard to causes and mechanism which result in differences in empirical results of security between domestic and foreign commercial banks, the paper has found that from the macroeconomic factors' perspective, Chinese prosperous economy could account for the situations that differences of security of domestic and foreign banks show a decreasing trend during normal situation. From the business structure's perspective, single business structure of domestic banks has become another cause that average level for security of domestic banks is lower than that of foreign banks. With domestic and foreign commercial banks' gaps of non-interest income ratio showing a decreasing trend, security of domestic commercial banks has benefit from the change. From efficiency's perspective, what average efficiency of domestic commercial banks is lower than that of foreign banks has lead to the findings that average level of security of domestic commercial banks is lower than that of foreign banks. And change in difference of efficiency of domestic and foreign banks can also be used to explain change in difference of security of domestic and foreign banks.
(3) Findings about assessment and comparison of security of commercial banks during abnormal situations. Global financial crisis which broke out in 2008 has caused a shock to security of domestic commercial banks, but financial crisis'impact on the security of domestic commercial banks is not severe and short-lived while those commercial banks in European and American countries have been seriously shocked. According to top 100 foreign banks by assets which are chosen as samples in this paper, their profit has slided seriously during crisis, and also undertook large property depreciation and credit loss. Banking industry of countries which foreign samples are located in even presented the serious bankrupt tide.
(4) Findings about causes and mechanism which result in differences in empirical results of security of commercial banks during abnormal situations. From the macroeconomic factors'perspective, compared to other economies, Chinese prosperous economy has provide support and protection for domestic banks to withstand the adverse shock from global economic and financial environment, which has become the important cause that security of domestic commercial banks doesn't suffer seriously. From the business structure's perspective, as a result of differences existing in business characteristics, supervision rules, accounting standards, the non-interest income usually has a higher undulatory property and obvious procyclicality during abnormal situations. As a result, non-interest income easily declines, and thus aggravates the downside risk for bank earnings and capital levels, and then has the disadvantageous impact on commercial banks'security. Although lower ratio of non-interest income of domestic banks may make some certain restrictions on profitability of commercial banks during normal situations, business structure has reduced the downside risk of profitability and capital for domestic commercial banks during crisis. From efficiency's perspective, reform has provided important institutional guarantee for improvement of the efficiency of domestic commercial banks and reduced disparity between domestic and foreign banks. Improvement of efficiency has laid important foundation for domestic commercial banks to withstand external shocks during abnormal situations.
已有研究提出的三种主要的商业银行安全评估模型和方法,即事件研究法、具体风险类型分析法和传统Z值模型,尚存在许多局限性1。本文通过修正传统Z值模型构建了更完善的商业银行安全评估模型即基于VaR的Z值模型,并将其用于对国内外主要商业银行安全水平的评估；然后,通过构建商业银行安全影响因素的分析框架,考察了国内外商业银行安全水平实证结果差异的成因及其作用机理。
与传统Z值模型相比,基于VaR的Z值模型不但继承了前者可对商业银行破产可能性进行度量的良好优势,而且修正和改进了前者存在的无法刻画外部冲击方向及程度的不足。同时,基于VaR的Z值模型贯彻了商业银行经营管理的“三性”原则,并通过给出综合反映流动性、盈利性与安全性的安全评估值,合理解决了“三性”之间存在的协调与评价问题。
本文的主要研究成果如下：
(1)关于正常情形下商业银行安全水平评估与比较的研究。通过国内大型商业银行与中小股份制商业银行安全水平的纵向比较发现,2004年之前,中小股份制商业银行安全的平均水平明显高于大型商业银行,而在2004年以来,两类银行安全的平均水平之间的差距已明显缩小并趋向一致。通过对国内16家已上市商业银行以及资产规模排名全球前100位的国外商业银行样本的横向比较发现,样本期间国内外银行安全的平均水平存在差距,但该差距已逐渐缩小。2006年之前,国内银行安全的平均水平显著低于国外银行样本,但在2006、2007年,国内外银行平均安全水平的差异则相对较小。
(2)关于正常情形下国内外商业银行安全水平差异的成因及其作用机理的研究。大型商业银行与中小股份制商业银行之间效率差异的缩小以及两类银行非利息收入占比差异的变化可对样本期间上述两类银行安全水平的差异作出解释。关于国内外商业银行安全水平差异的成因与作用机理,本文研究发现,从宏观经济角度分析,我国良好的宏观经济形势是我国商业银行得以逐渐缩小其与资产规模排名全球前100位的国外商业银行安全水平差距的主要原因之一,从业务结构角度分析,与国外银行样本的平均水平相比,由于高度依赖于传统信贷业务,国内银行的非利息收入占比水平普遍较低,并给国内银行提升盈利能力造成一定的制约,这成为正常情形下国内银行安全的平均水平低于国外银行的重要原因之一,从效率角度分析,国内外银行效率水平的差距是导致国内外银行安全水平出现差异的另一项重要原因。
(3)关于非正常情形下商业银行安全水平评估与比较的研究。2008年爆发的全球性金融危机给我国商业银行安全造成一定程度的不利冲击,但冲击程度并不大,且该冲击效应是短暂的。与金融危机期间国内主要商业银行的良好表现不同,国外商业银行在金融危机中遭致重创。本文选择的资产规模排名全球前100位的国外商业银行样本的盈利水平出现大幅度下滑,发生了巨额的资产减记与信贷损失,这些银行所处的国家和地区的银行业甚至出现了严重的破产浪潮。
(4)关于非正常情形下国内外商业银行安全水平差异成因与作用机理的研究。从宏观经济的角度分析,我国宏观经济相对于全球其他经济体的良好表现,为国内商业银行应对外部不利冲击提供了保障,这成为金融危机期间我国商业银行所受冲击较小的重要原因之一。从业务结构的角度分析,由于业务特征、监管规则、会计准则等因素的差异,非利息收入通常具有更高的波动性及顺周期性,在非正常情形下,非利息收入极易出现较大幅度的下滑,因而加剧了银行盈利与资本水平下降的风险,进而给商业银行安全造成不利影响。与国外银行相比,我国商业银行的非利息收入占比水平普遍较低。这一业务结构尽管在正常情形下可能给国内商业银行的盈利水平造成一定的限制,但在危机期间也明显减少了盈利及资本水平下滑的风险。从效率角度的分析,随着我国银行业持续多年的改革,国内商业银行的效率水平已有明显改善,并大大缩小了其与国外银行的效率差距,这为我国商业银行增强外部冲击抵御能力提供了重要的保障,并成为金融危机期间国内商业银行所受冲击较小的又一重要原因。
Security of commercial banks has attract unprecedented attention during international financial turmoil which broke out frequently in 1990s, and financial crisis spreading across the world in 2008. However, the frequent occurrence of banking crisis and huge cost resulted from crisis means that there are many problems existing in measures which are aimed to maintain security of commercial banks. Causes that lead to these situations are multidimensional, but the leading cause is that there are some problems existing in assessment of security of commercial banks, which are still not solved. There is no doubt that proper understanding and effective solution to problems related to security of commercial banks, depends on accurate assessment of security of commercial banks.
Current study presents three major kinds of assessment model and method for security of commercial banks, which are as follows:methods of event study, methods of specific types of risk analysis and traditional model of Z-scores. There are some limitations existing in current models and methods. This paper aims to propose a model of Z-scores based on VaR by improvement of traditional model of Z-scores, and further assess and analyze the security of commercial banks of China. Then this paper examine causes and mechanism which result in differences in empirical results of assessment of security of domestic and foreign commercial banks.
Compared to traditional model of Z-scores, the model of Z-scores based on VaR has not only inherited the traditional model's advantages that it could measure the possibilities of commercial banks' bankruptcy, but also corrected and improved the traditional model's disadvantages that it couldn't depict external shocks' direction and degree. Meanwhile, the model of Z-scores based on VaR has implemented the "three-properties" principle for commercial banks management, and solved properly the problems of coordination and evaluation among "three-properties" by proposing comprehensive value reflecting liquidity, profitability and security of commercial banks.
The paper has drew main findings as follows:
(1) Findings about assessment and comparison of security of commercial banks during normal situations. By vertical comparison, average level for security of small and medium sized commercial banks was significantly higher than large commercial banks until 2004, and the difference between average level for security of involved two kinds of commercial banks in China has reduced obviously since 2004. By international comparison between domestic 16 listed banks and top 100 foreign banks by assets, the difference between average level for security of domestic and foreign banks in 2006 and 2007 was not significant, and average level for security of domestic commercial banks was significantly lower than foreign commercial banks until 2006.
(2) Findings about causes and mechanism which result in differences in empirical results of security of commercial banks during normal situations. Decreasing of differences of efficiency and changing trend of differences of non-interest income ratio between small and medium sized and large commercial banks account for empirical results of two kinds of commercial banks. With regard to causes and mechanism which result in differences in empirical results of security between domestic and foreign commercial banks, the paper has found that from the macroeconomic factors' perspective, Chinese prosperous economy could account for the situations that differences of security of domestic and foreign banks show a decreasing trend during normal situation. From the business structure's perspective, single business structure of domestic banks has become another cause that average level for security of domestic banks is lower than that of foreign banks. With domestic and foreign commercial banks' gaps of non-interest income ratio showing a decreasing trend, security of domestic commercial banks has benefit from the change. From efficiency's perspective, what average efficiency of domestic commercial banks is lower than that of foreign banks has lead to the findings that average level of security of domestic commercial banks is lower than that of foreign banks. And change in difference of efficiency of domestic and foreign banks can also be used to explain change in difference of security of domestic and foreign banks.
(3) Findings about assessment and comparison of security of commercial banks during abnormal situations. Global financial crisis which broke out in 2008 has caused a shock to security of domestic commercial banks, but financial crisis'impact on the security of domestic commercial banks is not severe and short-lived while those commercial banks in European and American countries have been seriously shocked. According to top 100 foreign banks by assets which are chosen as samples in this paper, their profit has slided seriously during crisis, and also undertook large property depreciation and credit loss. Banking industry of countries which foreign samples are located in even presented the serious bankrupt tide.
(4) Findings about causes and mechanism which result in differences in empirical results of security of commercial banks during abnormal situations. From the macroeconomic factors'perspective, compared to other economies, Chinese prosperous economy has provide support and protection for domestic banks to withstand the adverse shock from global economic and financial environment, which has become the important cause that security of domestic commercial banks doesn't suffer seriously. From the business structure's perspective, as a result of differences existing in business characteristics, supervision rules, accounting standards, the non-interest income usually has a higher undulatory property and obvious procyclicality during abnormal situations. As a result, non-interest income easily declines, and thus aggravates the downside risk for bank earnings and capital levels, and then has the disadvantageous impact on commercial banks'security. Although lower ratio of non-interest income of domestic banks may make some certain restrictions on profitability of commercial banks during normal situations, business structure has reduced the downside risk of profitability and capital for domestic commercial banks during crisis. From efficiency's perspective, reform has provided important institutional guarantee for improvement of the efficiency of domestic commercial banks and reduced disparity between domestic and foreign banks. Improvement of efficiency has laid important foundation for domestic commercial banks to withstand external shocks during abnormal situations.
引文
1 本文第3章将对该模型的构建过程以及模型的理论依据与可靠性进行详细论述。
2 Krause and Nye(1975)关于经济安全的观点转引自臧景范(2001)。
3 Namara(1978)的观点转引自臧景范(2001)。
4 据IMF统计,在1980年至1995年期间,该组织的181个成员国中就有131个国家发生过严重的金融危机。上述数据引自林捷瑞恩等(1997)。
5 不过,国外学者对金融安全的极端情形即金融危机展开了大量的研究,相关理论体系也渐成体系,其中最具影响力的是三代危机模型。
6 Bodie and Merton(2001)给出了关于金融学的经典定义,即金融学是研究如何在不确定环境下通过金融市场对资源进行跨期最优配置的学科。他们认为金融学的三个基本支柱是货币的时间价值、价值评估及风险管理。
7 英文中与中文“安全”一词其对应的主要有safety和security两个单词。但是,这两个单词的含义及用法有所不同,而与经济安全、金融安全相联系的“安全”一词,通常指security。
8 本文第2章对商业银行安全与商业银行稳定的内涵做了比较。
9 特别地,还可以对当前正在广泛讨论的宏观审慎监管框架构建提供一些有益的借鉴。
10 系统性风险的清晰界定和准确评估至少要求拥有三方面的充分信息：(1)一个可以提供持续市场信息的有效系统,可以直接接触当前市场发展和预期的一手资料；(2)宏观经济、金融的统计数据,如有关宏观经济环境、金融市场及与主要经济和金融部门的关系；(3)金融机构的微观资料和数据,特别是对大型和复杂的金融机构之间相互联系的信息。一些研究表明,大型金融机构的相互关联和共同行为引发的风险是系统性风险的主要来源之一(Bank of England,2009)。当然,由于各国的金融发展模式和发展水平存有差异,系统性风险的来源亦有所不同。就我国而言,在中国的经济体制下,大银行倒闭等欧美国家系统性风险来源在我国短期内出现的可能性不大,而政府融资(包括地方融资平台)、以房地产为代表的资产泡沫等与中国体制相关的问题更是值得关注的系统性风险的来源。而这些常常是涉及我国体制的错综复杂的显性或隐性问题,相关数据的收集则困难重重。
11 可以理解为安全的第一个基本属性,即没有内在的疾患。
12 可以理解为安全的第二个基本属性,即没有外部冲击或威胁。
13 陈松林(2002)、叶莉(2008)等研究从多种角度对金融安全作了分类,按金融业务性质划分,金融安全可划分为银行安全、货币安全、债务安全、股市安全、信息安全等,按金融安全的空间范围划分,又可以分为国际金融安全、国家金融安全、区域金融安全、金融机构安全等。从上述两种分类中可以看出,商业银行安全是金融安全的重要组成部分。
14 从这个角度看,在监管实践中,宏观审慎与微观审慎监管须有效配合而不是简单替代或顾此失彼。尽管微观审慎监管主要关注单个金融机构的安全与稳定,而宏观审慎监管侧重于关注金融系统的稳定,但无论是宏观还是微观审慎监管,风险防控、维护金融机构的健康运行均为其根本的监管目标,而且宏观审慎监管的基础是微观审慎监管。因此,实施宏观审慎监管时,有必要考虑微观审慎和宏观审慎的动态平衡。项莉(2010)、李文泓(2010)、巴曙松等(2010)等亦持有与此相似的观点。
15 本文第2章将对本文所界定的商业银行的合理性做进一步的探讨。
16 除了正文提出的评估模型与方法外,现有文献还从国际关系学和政治学的角度对商业银行安全的评估方法进行讨论。如董艳玲(2007)提出从银行业运行中的国家主权地位、市场稳定性和国民福利水平三个方面来测度银行安全状况。然而由于经济主权等核心概念较难量化,基于该角度的相关文献大多仅在理论层面探讨了商业银行安全的评估方法,而较少展开与定义相匹配的实证研究。因此,正文的讨论着重就经济学领域的相关文献进行回顾。
17 也有一些文献采用线性几率模型来考察相似问题。该方法对解释变量的概率分布没有特殊要求,应用方便,但该模型存在一个严重的局限性,即模型预测的概率估计值有可能落在区间[0,1]之外,这与概率理论不符合。Probit模型和Logit模型则可以改进线性几率模型,因而在银行困境或银行危机发生概率的估计中得到了广泛的应用。如马勇等(2009)应用Probit模型考察了信贷扩张对系统性银行危机、双重金融危机和银行挤兑危机发生概率的影响,结果发现信贷扩张对三类危机发生概率均具有统计意义上非常显著的正影响。
18 如在我国,2001年以后官方才开始披露国有银行的不良贷款比率。
19 目前,相对比较成熟的集成风险度量方法是引入Copula函数,即用随机向量的边缘分布函数取计算该向量联合分布函数,然后基于联合分布函数,运用VaR等方法来度量集成风险。
20 详细的推导过程,请参见Roy(1952)、De Nicolo(2000)、De Nicolo et al.(2004)等文献。
21 除此之外,传统Z值模型还存在其他两点不足：一方面,传统Z值模型根据切比雪夫(Chebishev)不等式给出的概率上界来确定,但该不等式确定的概率上界通常比较保守,因此传统Z值模型有可能低估银行正常运行的水平；另一方面,传统Z值模型依赖于商业银行披露的会计数据,会计信息质量可能干扰传统Z值模型的测度结果。对于第一点不足,适当低估商业银行的正常运行水平符合商业银行奉行的审慎经营原则,由此带来的后果远小于高估商业银行正常运行水平造成的危害,因此第一点不足不会对传统Z值模型的应用效果造成明显的影响。第二点不足是前述三种测度方法面临的共同挑战,对该不足的克服有赖于商业银行信息披露、会计准则等有关环节的规范与完善以及监管部门的有效监管。
22 详细内容,可参见张金清(2009)。
1 由于传统Z值模型所依赖的波动性方法的局限性(见本章第1节的阐释),传统z值模型对商业银行安全内涵的体现还不够充分与完整,尚须改进。
2 本文所讨论的商业银行安全比“三性”原则中的“安全性”拥有更丰富的内涵。
3 在公司财务学中,反映企业清偿能力的指标还包括资产负债率、产权比率等。
4 也有一些研究发现,资本充足率水平可能对银行风险行为存在逆向激励效应,如Kim and Santomero(1988), Blum(1999), Hellman et al. (2000), Repullo(2004)等等。
5 本章第3节在考察Z值模型的经济学内涵时将对银行特许权价值的风险自律效应作进一步的分析。
6 本章第3节在考察Z值模型的经济学内涵时将对VaR对商业银行表外风险的涵盖作进一步的分析。
7 一般认为,资本监管的风险敏感性增加主要来自内部评级法中风险参数的计量过程,不过这并不意味着外部评级不会呈现周期性变化,尤其是在经济衰退时也可能导致评级下调。当然,总体上看,外部评级法比内部评级法的顺周期性要小(Kashyap and Stein,2004)。
8 本章第3小节将对杠杆率的作用作详细论述。
9 G20在2009年伦敦金融峰会后发布的《加强监管和提高透明度》报告以及巴塞尔协议Ⅲ,均提出将杠杆率作为实施宏观审慎监管、降低新资本协议顺周期性的一项重要政策工具。
10 从会计处理看,表外业务所形成的收益属于非利息收入。
11 银信理财合作业务是指商业银行将客户理财资金委托给信托公司,由信托公司担任受托人并按照信托文件的约定进行管理、运用和处分的行为。引自《中国银监会关于规范银信理财合作业务有关事项的通知(银监发[2010]72号)》。
12 该数据引自中国工商银行公布的2008年年报。
13 该数据引自工业和信息化部部长李毅中在2009年3月10日十一届人大二次会议记者会上的发言。详情可参见中国网,2009年3月10日。
14 当然,标准历史模拟法也存在不足,如标准历史模拟法银行的风险因子的未来分布完全等同于历史分布基本假设与复杂的现实不尽相符。针对标准历史模拟法的缺陷,一些学者对其进行修正,提出了时间加权历史模波动率加权历史模拟法等修正方法。有关标准历史模拟法扩展的具体,请参见张金清(2009)。
15 我们的研究还发现,年度损益变化的历史分布对正态分布的拟合效果不佳。这意味着采用年度数据来计计算基于正态方法的VaR值的可靠性较差。因此,本文第4章基于年度损益数据计算VaR时采用历史模拟法而非正态方法。
16 关于数据变换过程及其原理的详细阐释,请参见郭显光(1998)、张卫民等(2003)等。
17 前沿分析方法的一个重要应用是分析企业的效率,即前沿效率分析法。其基本思想是根据已知的投入产出观察值,定义并构造出所有可能投入产出组合的外部边界即效率前沿,然后通过比较样本银行与效率前沿的距离而测算出各家银行的效率(Berg et al.,1993; Berger, A.N., and Mester,1997; Pasiouras et al.,2009)。
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2 Krause and Nye(1975)关于经济安全的观点转引自臧景范(2001)。
3 Namara(1978)的观点转引自臧景范(2001)。
4 据IMF统计,在1980年至1995年期间,该组织的181个成员国中就有131个国家发生过严重的金融危机。上述数据引自林捷瑞恩等(1997)。
5 不过,国外学者对金融安全的极端情形即金融危机展开了大量的研究,相关理论体系也渐成体系,其中最具影响力的是三代危机模型。
6 Bodie and Merton(2001)给出了关于金融学的经典定义,即金融学是研究如何在不确定环境下通过金融市场对资源进行跨期最优配置的学科。他们认为金融学的三个基本支柱是货币的时间价值、价值评估及风险管理。
7 英文中与中文“安全”一词其对应的主要有safety和security两个单词。但是,这两个单词的含义及用法有所不同,而与经济安全、金融安全相联系的“安全”一词,通常指security。
8 本文第2章对商业银行安全与商业银行稳定的内涵做了比较。
9 特别地,还可以对当前正在广泛讨论的宏观审慎监管框架构建提供一些有益的借鉴。
10 系统性风险的清晰界定和准确评估至少要求拥有三方面的充分信息：(1)一个可以提供持续市场信息的有效系统,可以直接接触当前市场发展和预期的一手资料；(2)宏观经济、金融的统计数据,如有关宏观经济环境、金融市场及与主要经济和金融部门的关系；(3)金融机构的微观资料和数据,特别是对大型和复杂的金融机构之间相互联系的信息。一些研究表明,大型金融机构的相互关联和共同行为引发的风险是系统性风险的主要来源之一(Bank of England,2009)。当然,由于各国的金融发展模式和发展水平存有差异,系统性风险的来源亦有所不同。就我国而言,在中国的经济体制下,大银行倒闭等欧美国家系统性风险来源在我国短期内出现的可能性不大,而政府融资(包括地方融资平台)、以房地产为代表的资产泡沫等与中国体制相关的问题更是值得关注的系统性风险的来源。而这些常常是涉及我国体制的错综复杂的显性或隐性问题,相关数据的收集则困难重重。
11 可以理解为安全的第一个基本属性,即没有内在的疾患。
12 可以理解为安全的第二个基本属性,即没有外部冲击或威胁。
13 陈松林(2002)、叶莉(2008)等研究从多种角度对金融安全作了分类,按金融业务性质划分,金融安全可划分为银行安全、货币安全、债务安全、股市安全、信息安全等,按金融安全的空间范围划分,又可以分为国际金融安全、国家金融安全、区域金融安全、金融机构安全等。从上述两种分类中可以看出,商业银行安全是金融安全的重要组成部分。
14 从这个角度看,在监管实践中,宏观审慎与微观审慎监管须有效配合而不是简单替代或顾此失彼。尽管微观审慎监管主要关注单个金融机构的安全与稳定,而宏观审慎监管侧重于关注金融系统的稳定,但无论是宏观还是微观审慎监管,风险防控、维护金融机构的健康运行均为其根本的监管目标,而且宏观审慎监管的基础是微观审慎监管。因此,实施宏观审慎监管时,有必要考虑微观审慎和宏观审慎的动态平衡。项莉(2010)、李文泓(2010)、巴曙松等(2010)等亦持有与此相似的观点。
15 本文第2章将对本文所界定的商业银行的合理性做进一步的探讨。
16 除了正文提出的评估模型与方法外,现有文献还从国际关系学和政治学的角度对商业银行安全的评估方法进行讨论。如董艳玲(2007)提出从银行业运行中的国家主权地位、市场稳定性和国民福利水平三个方面来测度银行安全状况。然而由于经济主权等核心概念较难量化,基于该角度的相关文献大多仅在理论层面探讨了商业银行安全的评估方法,而较少展开与定义相匹配的实证研究。因此,正文的讨论着重就经济学领域的相关文献进行回顾。
17 也有一些文献采用线性几率模型来考察相似问题。该方法对解释变量的概率分布没有特殊要求,应用方便,但该模型存在一个严重的局限性,即模型预测的概率估计值有可能落在区间[0,1]之外,这与概率理论不符合。Probit模型和Logit模型则可以改进线性几率模型,因而在银行困境或银行危机发生概率的估计中得到了广泛的应用。如马勇等(2009)应用Probit模型考察了信贷扩张对系统性银行危机、双重金融危机和银行挤兑危机发生概率的影响,结果发现信贷扩张对三类危机发生概率均具有统计意义上非常显著的正影响。
18 如在我国,2001年以后官方才开始披露国有银行的不良贷款比率。
19 目前,相对比较成熟的集成风险度量方法是引入Copula函数,即用随机向量的边缘分布函数取计算该向量联合分布函数,然后基于联合分布函数,运用VaR等方法来度量集成风险。
20 详细的推导过程,请参见Roy(1952)、De Nicolo(2000)、De Nicolo et al.(2004)等文献。
21 除此之外,传统Z值模型还存在其他两点不足：一方面,传统Z值模型根据切比雪夫(Chebishev)不等式给出的概率上界来确定,但该不等式确定的概率上界通常比较保守,因此传统Z值模型有可能低估银行正常运行的水平；另一方面,传统Z值模型依赖于商业银行披露的会计数据,会计信息质量可能干扰传统Z值模型的测度结果。对于第一点不足,适当低估商业银行的正常运行水平符合商业银行奉行的审慎经营原则,由此带来的后果远小于高估商业银行正常运行水平造成的危害,因此第一点不足不会对传统Z值模型的应用效果造成明显的影响。第二点不足是前述三种测度方法面临的共同挑战,对该不足的克服有赖于商业银行信息披露、会计准则等有关环节的规范与完善以及监管部门的有效监管。
22 详细内容,可参见张金清(2009)。
1 由于传统Z值模型所依赖的波动性方法的局限性(见本章第1节的阐释),传统z值模型对商业银行安全内涵的体现还不够充分与完整,尚须改进。
2 本文所讨论的商业银行安全比“三性”原则中的“安全性”拥有更丰富的内涵。
3 在公司财务学中,反映企业清偿能力的指标还包括资产负债率、产权比率等。
4 也有一些研究发现,资本充足率水平可能对银行风险行为存在逆向激励效应,如Kim and Santomero(1988), Blum(1999), Hellman et al. (2000), Repullo(2004)等等。
5 本章第3节在考察Z值模型的经济学内涵时将对银行特许权价值的风险自律效应作进一步的分析。
6 本章第3节在考察Z值模型的经济学内涵时将对VaR对商业银行表外风险的涵盖作进一步的分析。
7 一般认为,资本监管的风险敏感性增加主要来自内部评级法中风险参数的计量过程,不过这并不意味着外部评级不会呈现周期性变化,尤其是在经济衰退时也可能导致评级下调。当然,总体上看,外部评级法比内部评级法的顺周期性要小(Kashyap and Stein,2004)。
8 本章第3小节将对杠杆率的作用作详细论述。
9 G20在2009年伦敦金融峰会后发布的《加强监管和提高透明度》报告以及巴塞尔协议Ⅲ,均提出将杠杆率作为实施宏观审慎监管、降低新资本协议顺周期性的一项重要政策工具。
10 从会计处理看,表外业务所形成的收益属于非利息收入。
11 银信理财合作业务是指商业银行将客户理财资金委托给信托公司,由信托公司担任受托人并按照信托文件的约定进行管理、运用和处分的行为。引自《中国银监会关于规范银信理财合作业务有关事项的通知(银监发[2010]72号)》。
12 该数据引自中国工商银行公布的2008年年报。
13 该数据引自工业和信息化部部长李毅中在2009年3月10日十一届人大二次会议记者会上的发言。详情可参见中国网,2009年3月10日。
14 当然,标准历史模拟法也存在不足,如标准历史模拟法银行的风险因子的未来分布完全等同于历史分布基本假设与复杂的现实不尽相符。针对标准历史模拟法的缺陷,一些学者对其进行修正,提出了时间加权历史模波动率加权历史模拟法等修正方法。有关标准历史模拟法扩展的具体,请参见张金清(2009)。
15 我们的研究还发现,年度损益变化的历史分布对正态分布的拟合效果不佳。这意味着采用年度数据来计计算基于正态方法的VaR值的可靠性较差。因此,本文第4章基于年度损益数据计算VaR时采用历史模拟法而非正态方法。
16 关于数据变换过程及其原理的详细阐释,请参见郭显光(1998)、张卫民等(2003)等。
17 前沿分析方法的一个重要应用是分析企业的效率,即前沿效率分析法。其基本思想是根据已知的投入产出观察值,定义并构造出所有可能投入产出组合的外部边界即效率前沿,然后通过比较样本银行与效率前沿的距离而测算出各家银行的效率(Berg et al.,1993; Berger, A.N., and Mester,1997; Pasiouras et al.,2009)。
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