巴塞尔协议持续改进引领全面风险管理变革
摘要
巴塞尔协议的持续改进,是BCBS运用市场和技术的最新成果,以及总结和吸收银行业经验教训的结果,也是各成员监管机构转化为辖内监管文件并推进辖内银行执行的结果,更是国际监管、政府监管与银行机构之间良性互动的结果。2012年后,在G20和金融稳定理事会(FSB)的支持下,通过监管一致性评估项目(RCAP),强化了成员间实施巴塞尔协议的一致性和完整性。历经数十年的传承和发展,巴塞尔协议形成以资本和流动性监管为核心、宏微观审慎监管结合的国际标准,吸引了100多个国家和地区接受和实施,并持续引领银行业全面风险管理的变革。
引文
[1]彭建刚.银行业微观审慎管理研究(彭建刚文集第三卷)[M].北京:中国金融出版社,2018
[2]王胜邦.后巴塞尔Ⅲ时期资本监管改革:重构风险加权资产计量框架[J].金融监管研究,2015(2)
[3]周小川.金融政策对金融危机的响应:宏观审慎政策框架形成背景、内在逻辑和主要内容[J].金融研究,2011(1):1-14
[4]Alexander,S.K.2004,Why Banks hold Capital in Excess of Regulatory Requirements,the Role of Market Discipline[J],Journal of International Banking Regulation,Vol.6,pp.6-9
[5]Acharya,Vira V.A Theory of Systemic Risk and Design of Prudential Bank Regulation[J].Journal of Financial Stability,2009(5):224-225
[6]Borio,Claudio,and Mathias Drehmann.Towards an Operational Framework for Financial Stability[R].Central Bank of Chie Working Papers,No.544,2009
[7]Brunnermerier&Pederson,2007,Market Liquidity and Funding Liquidity[R],Working Paper12939,www.nber.org
[8]Crocket,Andrew.Marrying the Mico-and MaroPrudential Dimensions of Financial Stability[R].BIS Review No.76,2000
[9]Jones,David.Emerging Problems with the Basel Capital Accord Regulatory Capital Arbitrage and Related Issues[J].Journal of Banking&Finance 2000(24):35-58
[10]Lehar,Alfred.Measuring Systemic Risk:ARisk Management Approach[J].Journal of Banking&France.2005(29):2577-2603
[11]Pichaphop C,Seksak J,Pornsit J.BaselⅢ,Capital Stability,Risk-Taking,Ownership:Evidence from Asia[J].Journal of Multinational Financial Management,2014,(28):28-46
(1)1974年年底,英、法、德、意、荷、比、瑞典与美、日、加10国成立了巴塞尔银行业监管委员会,由10国央行行长组成,作为国际清算银行的一个正式机构。1975年2月,召开第一次会议,此后每年定期召开3~4次会议。截至2010年年底,该委员会成员已拥有27个国家和地区,包括:阿根廷、澳大利亚、比利时、巴西、加拿大、中国、中国香港、法国、德国、印度、印度尼西亚、意大利、日本、韩国、卢森堡、墨西哥、荷兰、俄罗斯、沙特阿拉伯、新加坡、南非、西班牙、瑞典、瑞士、英国、美国和土耳其。世界主要国家和地区均已成为该委员会的正式成员。
(2)BCBS,International Convergence of Capital Measurement and Capital Standards,July 1988;Amendment of the Basel Capital Accord in Respect of the Inclusion of General Provisions/General Loan-Loss Reserves in Capital,November 1991;Amendment to the Capital Accord of July 1988,July 1994;Amendment to the Capital Accord to Incorporate Market Risks,January 1996.
(3)BCBS,International Convergence of Capital Measurement and Capital Standards,A Revised Framework,June 2004;International Convergence of Capital Measurement and Capital Standards:A Revised Framework,November 2005;International Convergence of Capital Measurement and Capital Standards:A Revised Framework Comprehensive Version,June 2006.
(4)BCBS,Basel III:A Global Regulatory Framework for More Resilient Banks and Banking Systems,December 2010(Revised Version,June 2011);Basel III:International Framework for Liquidity Risk Measurement,Standards and Monitoring,December 2010;Basel III:Finalizing Post-Crisis Reforms December 2017.www.bis.org/bcbs/publ/d424.htm.
(1)Statement by Chairman Bernanke.2012.Htttp://www.federalreserve.gov/newsevents/press/bcreg/bernanke20120607a.htm.
(1)BCBS,Amendment to the Capital Accord to Incorporate Market Risks,January 1996.
(2)BCBS,International Convergence of Capital Measurementand Capital Standards:A Revised Framework,June 2004
(3)BCBS,Amendment to the Capital Accord to Incorporate Risks(January 1996,Updated to April 1998),November 2005.
(1)BCBS,International Convergence of Capital Measurementand Capital Standards:A Revised Framework,June 2006.
(2)BCBS,Revisions to the Basel II Market Risk Framework,July 2009;Guidelines for Computing Capital for Incremental Risk in the Trading Book July2009;这两个重要文件,被称为巴塞尔Ⅱ.5市场风险监管框架。
(3)BCBS,BaselⅢ:A Global Regulatory Framework for More Resilient Banks and Banking Systems,December 2010.
(4)BCBS,Minimum Capital Requirements for Market Risk,January 2016,www.bis.org/bcbs/publ/d352.pdf.
(1)公司暴露和金融机构暴露的PD估值的底线为0.05%(见《巴Ⅲ:最终改革方案》P65)。
(2)BCBS,Supervisory Framework for Measuring and Controlling Large Exposures,April 2014.
(1)BCBS,Core Principles for Effective Banking Supervision,September 1997;October 2006;September 2012.
(2)BCBS,Guidelines:Corporate Governance Principles for Banks,July2015.
(3)BCBS,BaselⅢ:International Framework for Liquidity Risk Measurement,Standards and Monitoring,December 2010.
(4)BCBS,BaselⅢ:The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools,January 2013.
(5)BCBS,BaselⅢ:The Net Stable Funding Ratio,October 2014.
(6)BCBS,Standards:Interest Rate Risk in the Banking Book,April 2016.
(1)BCBS,Core Principles for Effective Banking Supervision,September 1997;October 2006;September 2012。
(2)BCBS,Core Principles for Effective Banking Supervision,Sept.1997,指出有效市场约束是有效银行监管的先决条件。
(3)BCBS,Enhancing Bank Transparency,Sept.1998,概括提高银行透明度的意义,并指出了银行加强信息披露的一般原则。
(4)BCBS,Recommendations for Public Disclosure of Trading and Derivatives Activities of Banks and Securities Firms,Oct1999。
(5)BCBS,A New Capital Adequacy Framework:Pillar3-Market Discipline,Jan.2000,从资本结构、风险暴露、资本充足率计量三方面提出了银行信息披露的详细指导,强调信息披露的质量。
(6)BCBS,Best Practices for Credit Risk Disclosure,Sept.2000,对会计政策、信用暴露及管理、信用质量和利润等给予指导。
(7)BCBS,Enhancements to the Basel II Framework,July 2009.对交易账户中资产证券化敞口、再证券化敞口等进行修订。
(8)BCBS,Revision to the Basel II Market Risk Framework,July 2009.修订利率风险资本披露要求、新增风险资本计提等。
(9)BCBS,Pillar 3 Disclosure Requirements for Remuneration-Final document,July 2011.定性定量地规定薪酬制度披露标准。
(10)BCBS,Composition of Capital Disclosure Requirements-Rules Text,June 2012.明确规范了银行资本结构披露步骤。BCBS,G-SIBs:Updated Assessment Methodology and the Higher loss Absorbency Requirement,July 2013.规范G-SIB披露。BCBS,Liquidity Coverage Ratio Disclosure Standards-Final Document,January 2014.要求采用通用模版披露流动性覆盖率。BCBS,BaselⅢLeverage Ratio Framework and Disclosure Requirements,January 2014.要求采用通用模版披露杠杆率信息。BCBS,Point of Sale Disclosure in the Insurance,Banking and Securities Sectors-final Report,April 2014.提出跨部门披露法。BCBS,Revised Pillar 3 Disclosure Requirements,January 2015,www.bis.org/bcbs/publ/d309.pdf.BCBS,Standards Pillar 3 Disclosure Requirements-Consolidated and Enhanced Framework,March 2017.BCBS,Standards Pillar 3 Disclosure Requirements-Updated Framework,December2018.
(1)BCBS,Basel III Monitoring Report:Results of the Cumulative Quantitative Impact Study,December 2017.
(2)BCBS,Fifteenth Progress Report on Adoption of the Basel Regulatory Framework,October 2018.
(1)BCBS,The Basel Framework in 100 Jurisdictions:Implementation Status and Proportionality Practices,November2018.The non-BCBS Member Jurisdictions that Responded to the Survey,Covered Countries in Europe(33),Latin America and the Caribbean(LAC-23),Asia(18),the Middle East(11)and Africa(15).
(2)包括比利时、法国、德国、意大利、卢森堡、荷兰、西班牙、瑞典、英国9个BCBS成员。
(1)Blum JM.Why‘Basel II’May Need a Leverage Ratio Restriction.J Bank Fianance 32:1699~1707.2008.
[2]王胜邦.后巴塞尔Ⅲ时期资本监管改革:重构风险加权资产计量框架[J].金融监管研究,2015(2)
[3]周小川.金融政策对金融危机的响应:宏观审慎政策框架形成背景、内在逻辑和主要内容[J].金融研究,2011(1):1-14
[4]Alexander,S.K.2004,Why Banks hold Capital in Excess of Regulatory Requirements,the Role of Market Discipline[J],Journal of International Banking Regulation,Vol.6,pp.6-9
[5]Acharya,Vira V.A Theory of Systemic Risk and Design of Prudential Bank Regulation[J].Journal of Financial Stability,2009(5):224-225
[6]Borio,Claudio,and Mathias Drehmann.Towards an Operational Framework for Financial Stability[R].Central Bank of Chie Working Papers,No.544,2009
[7]Brunnermerier&Pederson,2007,Market Liquidity and Funding Liquidity[R],Working Paper12939,www.nber.org
[8]Crocket,Andrew.Marrying the Mico-and MaroPrudential Dimensions of Financial Stability[R].BIS Review No.76,2000
[9]Jones,David.Emerging Problems with the Basel Capital Accord Regulatory Capital Arbitrage and Related Issues[J].Journal of Banking&Finance 2000(24):35-58
[10]Lehar,Alfred.Measuring Systemic Risk:ARisk Management Approach[J].Journal of Banking&France.2005(29):2577-2603
[11]Pichaphop C,Seksak J,Pornsit J.BaselⅢ,Capital Stability,Risk-Taking,Ownership:Evidence from Asia[J].Journal of Multinational Financial Management,2014,(28):28-46
(1)1974年年底,英、法、德、意、荷、比、瑞典与美、日、加10国成立了巴塞尔银行业监管委员会,由10国央行行长组成,作为国际清算银行的一个正式机构。1975年2月,召开第一次会议,此后每年定期召开3~4次会议。截至2010年年底,该委员会成员已拥有27个国家和地区,包括:阿根廷、澳大利亚、比利时、巴西、加拿大、中国、中国香港、法国、德国、印度、印度尼西亚、意大利、日本、韩国、卢森堡、墨西哥、荷兰、俄罗斯、沙特阿拉伯、新加坡、南非、西班牙、瑞典、瑞士、英国、美国和土耳其。世界主要国家和地区均已成为该委员会的正式成员。
(2)BCBS,International Convergence of Capital Measurement and Capital Standards,July 1988;Amendment of the Basel Capital Accord in Respect of the Inclusion of General Provisions/General Loan-Loss Reserves in Capital,November 1991;Amendment to the Capital Accord of July 1988,July 1994;Amendment to the Capital Accord to Incorporate Market Risks,January 1996.
(3)BCBS,International Convergence of Capital Measurement and Capital Standards,A Revised Framework,June 2004;International Convergence of Capital Measurement and Capital Standards:A Revised Framework,November 2005;International Convergence of Capital Measurement and Capital Standards:A Revised Framework Comprehensive Version,June 2006.
(4)BCBS,Basel III:A Global Regulatory Framework for More Resilient Banks and Banking Systems,December 2010(Revised Version,June 2011);Basel III:International Framework for Liquidity Risk Measurement,Standards and Monitoring,December 2010;Basel III:Finalizing Post-Crisis Reforms December 2017.www.bis.org/bcbs/publ/d424.htm.
(1)Statement by Chairman Bernanke.2012.Htttp://www.federalreserve.gov/newsevents/press/bcreg/bernanke20120607a.htm.
(1)BCBS,Amendment to the Capital Accord to Incorporate Market Risks,January 1996.
(2)BCBS,International Convergence of Capital Measurementand Capital Standards:A Revised Framework,June 2004
(3)BCBS,Amendment to the Capital Accord to Incorporate Risks(January 1996,Updated to April 1998),November 2005.
(1)BCBS,International Convergence of Capital Measurementand Capital Standards:A Revised Framework,June 2006.
(2)BCBS,Revisions to the Basel II Market Risk Framework,July 2009;Guidelines for Computing Capital for Incremental Risk in the Trading Book July2009;这两个重要文件,被称为巴塞尔Ⅱ.5市场风险监管框架。
(3)BCBS,BaselⅢ:A Global Regulatory Framework for More Resilient Banks and Banking Systems,December 2010.
(4)BCBS,Minimum Capital Requirements for Market Risk,January 2016,www.bis.org/bcbs/publ/d352.pdf.
(1)公司暴露和金融机构暴露的PD估值的底线为0.05%(见《巴Ⅲ:最终改革方案》P65)。
(2)BCBS,Supervisory Framework for Measuring and Controlling Large Exposures,April 2014.
(1)BCBS,Core Principles for Effective Banking Supervision,September 1997;October 2006;September 2012.
(2)BCBS,Guidelines:Corporate Governance Principles for Banks,July2015.
(3)BCBS,BaselⅢ:International Framework for Liquidity Risk Measurement,Standards and Monitoring,December 2010.
(4)BCBS,BaselⅢ:The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools,January 2013.
(5)BCBS,BaselⅢ:The Net Stable Funding Ratio,October 2014.
(6)BCBS,Standards:Interest Rate Risk in the Banking Book,April 2016.
(1)BCBS,Core Principles for Effective Banking Supervision,September 1997;October 2006;September 2012。
(2)BCBS,Core Principles for Effective Banking Supervision,Sept.1997,指出有效市场约束是有效银行监管的先决条件。
(3)BCBS,Enhancing Bank Transparency,Sept.1998,概括提高银行透明度的意义,并指出了银行加强信息披露的一般原则。
(4)BCBS,Recommendations for Public Disclosure of Trading and Derivatives Activities of Banks and Securities Firms,Oct1999。
(5)BCBS,A New Capital Adequacy Framework:Pillar3-Market Discipline,Jan.2000,从资本结构、风险暴露、资本充足率计量三方面提出了银行信息披露的详细指导,强调信息披露的质量。
(6)BCBS,Best Practices for Credit Risk Disclosure,Sept.2000,对会计政策、信用暴露及管理、信用质量和利润等给予指导。
(7)BCBS,Enhancements to the Basel II Framework,July 2009.对交易账户中资产证券化敞口、再证券化敞口等进行修订。
(8)BCBS,Revision to the Basel II Market Risk Framework,July 2009.修订利率风险资本披露要求、新增风险资本计提等。
(9)BCBS,Pillar 3 Disclosure Requirements for Remuneration-Final document,July 2011.定性定量地规定薪酬制度披露标准。
(10)BCBS,Composition of Capital Disclosure Requirements-Rules Text,June 2012.明确规范了银行资本结构披露步骤。BCBS,G-SIBs:Updated Assessment Methodology and the Higher loss Absorbency Requirement,July 2013.规范G-SIB披露。BCBS,Liquidity Coverage Ratio Disclosure Standards-Final Document,January 2014.要求采用通用模版披露流动性覆盖率。BCBS,BaselⅢLeverage Ratio Framework and Disclosure Requirements,January 2014.要求采用通用模版披露杠杆率信息。BCBS,Point of Sale Disclosure in the Insurance,Banking and Securities Sectors-final Report,April 2014.提出跨部门披露法。BCBS,Revised Pillar 3 Disclosure Requirements,January 2015,www.bis.org/bcbs/publ/d309.pdf.BCBS,Standards Pillar 3 Disclosure Requirements-Consolidated and Enhanced Framework,March 2017.BCBS,Standards Pillar 3 Disclosure Requirements-Updated Framework,December2018.
(1)BCBS,Basel III Monitoring Report:Results of the Cumulative Quantitative Impact Study,December 2017.
(2)BCBS,Fifteenth Progress Report on Adoption of the Basel Regulatory Framework,October 2018.
(1)BCBS,The Basel Framework in 100 Jurisdictions:Implementation Status and Proportionality Practices,November2018.The non-BCBS Member Jurisdictions that Responded to the Survey,Covered Countries in Europe(33),Latin America and the Caribbean(LAC-23),Asia(18),the Middle East(11)and Africa(15).
(2)包括比利时、法国、德国、意大利、卢森堡、荷兰、西班牙、瑞典、英国9个BCBS成员。
(1)Blum JM.Why‘Basel II’May Need a Leverage Ratio Restriction.J Bank Fianance 32:1699~1707.2008.