基于治理结构的商业银行信用风险管理绩效研究
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摘要
美国次贷危机引发全球金融危机,国内重大自然灾害的发生使得商业银行的风险得到了较多的关注。本文以68个我国商业银行样本采用了逐步回归的方法,研究公司治理结构对商业银行信用风险管理绩效的影响,实证检验了我国商业银行公司内部治理的有效性。实证结果显示,在董事会结构方面,商业银行信用风险管理绩效与董事会规模正相关,与代表董事会独立性的独立董事比例正相关。管理层因素方面,商业银行信用风险管理绩效与管理层持股和董事管理者人数负相关,与高层管理者薪酬无关。股权结构方面,大股东持股比例和境外战略投资者持股对信用风险管理绩效没有解释作用。风险管理部门因素方面,信用风险管理绩效与风险管理委员会人数负相关,可能是因为商业银行根据不良贷款率调整部门人数。本文是从管理的视角研究商业银行信用风险,而且本文采用了真实不良贷款率和新增不良贷款率两个角度研究信用风险管理绩效并得到了一致的结论,具备一定的研究价值和创新意义。
The global financial crisis triggered by the U.S. sub-prime and the occurrence of major natural disasters make the risk of commercial banks get more and more attention. In this paper 68 samples of Chinese commercial bank is used on stepwise regression method to discuss the effect of corporate governance structure on commercial banks credit risk management performance and empirically test the effectiveness of internal governance. The Empirical results show that the credit risk management performance is positively correlated with board size and the proportion of independent directors which is on behalf of the independence of the board of directors. The research also finds that Commercial bank's credit risk management performance is negatively related to management's shareholding ratio and the number of directors who are managers. On shareholding structure, shareholding ratios of the major shareholders and foreign strategic investors are not able to explain the credit risk management performance. The credit risk management performance is negative related to the number of risk management committee members, which may be because the bank adjusts the the number of department members according to the non-performing loan ratio. This paper does research on commercial bank credit risk from a management perspective. In this paper, the credit risk management performance is measured by the real non-performing loan ratio and the new non-performing loan ratio and the conclusions of the two methods are consistent. All of these have a certain value and innovation significance.
The global financial crisis triggered by the U.S. sub-prime and the occurrence of major natural disasters make the risk of commercial banks get more and more attention. In this paper 68 samples of Chinese commercial bank is used on stepwise regression method to discuss the effect of corporate governance structure on commercial banks credit risk management performance and empirically test the effectiveness of internal governance. The Empirical results show that the credit risk management performance is positively correlated with board size and the proportion of independent directors which is on behalf of the independence of the board of directors. The research also finds that Commercial bank's credit risk management performance is negatively related to management's shareholding ratio and the number of directors who are managers. On shareholding structure, shareholding ratios of the major shareholders and foreign strategic investors are not able to explain the credit risk management performance. The credit risk management performance is negative related to the number of risk management committee members, which may be because the bank adjusts the the number of department members according to the non-performing loan ratio. This paper does research on commercial bank credit risk from a management perspective. In this paper, the credit risk management performance is measured by the real non-performing loan ratio and the new non-performing loan ratio and the conclusions of the two methods are consistent. All of these have a certain value and innovation significance.
引文
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[2] Basel Committee on Banking Supervision. A New Capital Adequacy Framework. Consultative Paper, 1999.
[3] Berle, A. A. & Means, G. C. The Modern Corporation and private Property.Harcourt, Brace & World Inc, 1932.
[4] Bonin, J., Hasan, I. & Paul, W.. Bank performance, efficiency and ownership in transition countries. Journal of Banking and Finance, 2005, 29, 31-53.
[5] Bris, A. & Cantale, S.. Bank capital requirement and managerial self-interest.The Quarterly Review of Economics and Finance, 2004, 44, 77-101.
[6] Bulow, J. & Rogoff, K.. A Constant Recontracting Model of Sovereign Debt.Journal of Political Economy, 1989, 97, 155-178.
[7] Byed, J., Fraser, D. &Williams, T.. Financial crises, natural selection and governance structure: Evidence from the Thrift Crisis. Working paper. Texas A&M University, 2001.
[8] Changanti, R. S., Mahajan, V. & Sharma, S.. Corporate board size, composition and corporate failures in the retailing industry. Journal of Management Studies,1985,22,400-417.
[9] Cochran, P. L. & Wartick, S. L. Corporate Governance: A Review of The Literature. Financial Executives Research Foundation, 1988.
[10] Diamond, D.. Financial Intermediation and Delegated Monitoring. Review of Economic Studies, 1984, 51, 393-414.
[11] Fama, E. F. & Jenson, M. C. Separation of own ship and control. Journal of Law and Economics, 1983, 26(1), 301-325.
[12] Gale, D. & Hellwig, M.. Incentive-Compatale Debt Contracts: Review of Economic Study, 1985, 2, 647-663.
[13] Gorton, G. & Rosen, R.. Corporate control, portfolio choice, and the decline of banking. Journal of Finance, 1995, 50, 1377-1420.
[14] Hadlock, C., Houston, J. & Ryngaert, M.. The role of managerial incentives in bank acquisitions. Journal of Banking and Finance, 1999, 23, 221-249.
[15] Hart, O..& Moore, G.. Debt and Seniority: An Analysis of the Role of Hard Claims in Constraining Management.American Economic Review,1995,85,567-583.
[16]Hart,O..Corporate Governance:Some Theory and Implications.The Economic Journal,1995,105(5),678-689.
[17]Holomstrom,B.J.& Tirole,J..Financial Intermediation loanable funds and the real sector,Toulouse University Mimeograph,1993.
[18]Jensen,M.C.& Merckling,W.H..Theory of firm:managerial behavior,agency costs and ownership structure.Journal of Financial Economics,1976,3(1),280-305
[19]John,K.,Saunders,A.& Senbet,L.W..A theory of bank regulation and management compensation.Review of Financial Studies,2003,13,95-125.
[20]Konishi,M.& Yasuda,Y..Factors affecting bank risk taking:Evidence from Japan.Journal of Banking and Finance,2004,28,215-232.
[21]Lelend,G.& Pyle,D..Information Asymmetries' Financial Structure and Financial Intermediation.Journal of Finance,1977,32,371-387.
[22]Marcus,A..Deregulation and bank financial policy.Journal of Banking and Finance,1984,8,557-565.
[23]Mayers,D.,Shivdasani,D.& Smith,C..Board composition and corporate control:Evidence from the Insurance industry.Journal of Business,1997,70,33-62.
[24]Rosenstein,S.& Wyatt,J.G..Outside directors,board independence and shareholder wealth.Journal of Financial Economics,1990.
[25]Shleifer,A.& Vishny,R..A survey of corporate governance.Journal of Finance,1997,52,37-83.
[26]Simpson,W.G.& Gleason,A.E..Board Structure,Ownership and Financial Distress in Banking Firms.International Review of Economics and Finance,1999,8,281-292.
[27]Stiglitz,J.& Weiss,A..Credit Rationing in Markets with imperfect information.American Economic Review,1981,71(3),393-410.
[28]Yermack,D..Higher market valuation of companies with a small board of directors.Journal of Financial Economics,1996,40,185-212.
[29]Michel,c.,Dan,G.& Robert.M..风险管理.北京:中国财政经济出版社,2005年1月
[30]巴塞尔银行监理委员会.加强银行公司治理.1999.
[31]巴塞尔银行监理委员会.有效银行监管核心原则.2006.
[32]巴曙松,刘清涛和牛播坤.中国资本充足监管框架的姓曾及其市场影响.财经科学,2005,(1),10-16.
[33]蔡鄂生,王立彦和窦洪权.银行公司治理与控制.北京:经济科学出版社,2003,70-72.
[34]蔡清而.银行公司治理研究.博士学位论文,厦门大学,2006.
[35]曹延求,郑录军和于建霞.政府股东、银行治理与中小商业银行风险控制—以山东、河南两省为例的实证分析.金融研究,2006,(6),99-108.
[36]曹艳华,牛莜颖.上市银行治理机制对风险承担的影响(2000—2007).金融论坛,2009,(1),43-48.
[37]陈晓蓉.关系银行、公司治理与银行风险承担之研究.风险管理学报,2003,(11),363-391.
[38]董金.治理机制对银行风险承担影响的文献综述.中国集体经济,2007,12,79-80.
[39]高明华,马守莉.独立董事制度与公司绩效关系的实证研究—兼论中国独立董事有效行权的制度环境.南开经济研究,2002,(2),64-68.
[40]龚峰.商业银行公司治理的特殊性与我国商业银行公司治理的改善.东莞理工学院学报,2008,15(2),56-59.
[41]郭建鸾.我国商业银行公司信贷风险管理的行业思维.中央财经大学学报,2008,(2),53-55.
[42]郭凯.境外战略投资背景下商业银行公司治理研究.硕士学位论文,天津大学,2006.
[43]胡嘉莉.招行无意引入境外战略投资者.中华工商时报,2006.8.16.
[44]经济合作与发展组织.OECD公司治理原则.中国财政经济出版社,1999.
[45]李维安,曹延求.商业银行公司治理:理论模式与我国的选择.南开学报(哲学社会科学班),2003,1,42-50.
[46]李维安,曹延求.股权结构、治理机制禹城市银行绩效—来自山东、河南两省的调查证据.经济研究,2004,(12),4-15.
[47]李伟.商业银行风险管理与公司治理研究.硕士学位论文,复旦大学,2006.
[48]李燕平,韩立岩.特许权价值、隐形保险与风险承担.金融研究,2008,(1),76-87.
[49]林毅夫,蔡肪,李周.中国的奇迹:发展战略与经济改革.上海:上海人民出版社,1994.
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[52]刘锡良,罗得志.论我国不良资产的根源.金融研究,2001,(10),50-59.
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