【作者】 魏灿秋；

【导师】 赵昌文；

【作者基本信息】 四川大学 ， 企业管理， 2004， 博士

【摘要】 从20世纪80年代开始到现在的20多年间，国际银行业风险管理理论和技术获得了巨大的发展，商业银行的风险管理从资产负债比例管理进一步深化和上升到了资本配置的管理。资本和风险资产的匹配，成为商业银行风险管理的核心问题。从资本配置的角度有效地对商业银行的整体经营风险进行管理，目前国际上通行的做法是建立呆帐准备金、资本充足率、存款保险制度三道防线。 本文的基本研究思路是，要有效地对商业银行的风险进行管理，首先要建立一个完整的商业银行风险管理体系。商业银行的风险主要有：信用风险、市场风险和操作风险。信用风险是商业银行面临的最主要的风险，商业银行必须并且可以通过贷前分析对其信用风险进行有效防范；商业银行也可以通过风险交易市场转移可以转移的市场风险；最后，对必须承担的、不可转移的风险则通过合理的资本配置来进行防范和管理。 同时，经过对目前国内外商业银行从资本配置角度进行风险管理现状的研究，作者发现可以用更加精确的理论框架和计量模型从资本配置的角度对商业银行的风险进行管理。 因此，本文首先研究了如何通过贷前分析来降低商业银行的信用风险。企业需要贷款的真正原因是企业存在资产转换周期，每个企业都有自己的资产转换周期，资产转换周期是企业将金融资产转化为实物资产，再将实物资产转化为金融资产的过程。商业银行应该从资产转换周期角度分析企业需要四川大学博卜学位论文贷款的真实原因，确认企业是否真正需要贷款，并从资产转换周期角度分析企业是否能够按时偿还贷款，识别出那些故意贷款去冒险、或者根本就不打算还款的企业予以拒贷，并结合申贷企业的行业风险分析、企业内部关键的经营管理问题分析、企业的原材料供应、生产管理、市场销售风险分析等方法进行贷前风险防范。 然后，本文研究了商业银行如何通过风险的市场交易来转移市场风险。研究表明，风险交易市场是商业银行风险管理不可缺少的部分，风险在市场上的交易可以增加交易各方的效用，优化风险资源配置，风险的交易是一种帕累托改进。本文运用资本资产定价模型(CAPM)的论证表明，风险管理可以增加公司价值，更大化股东财富。在严格的假定条件下，MM定理认为公司的财务策略对公司的价值没有影响。但是，MM定理的严格假定条件在现实中是不存在的。现实的金融市场上存在融资成本，公司可通过风险管理降低融资成本;现实的金融市场中还存在着公司因财务危机而产生的成本，公司可以通过风险管理降低因财务危机而产生的成本;现实的金融市场中存在着税赋，公司可以通过风险管理来减少公司面临的税赋;公司还可以通过风险管理解决“代理人矛盾”，使公司更有效地选择投资项目。因此，商业银行通过金融风险交易市场进行风险转移的管理可以增加自身的价值，可以更大化股东财富。商业银行可以对利率的市场风险进行交易管理，可以利用风险交易市场进行汇率风险管理，可以利用风险交易市场上的信用衍生产品来转移信用风险。 在研究了目前国内外商业银行的呆帐准备金提取方法、资本充足率计算方法和存款保险制度实施状况的基础上，作者发现目前国内外商业银行的资本配置风险管理存在着一系列的问题。主要有: 首先，呆帐准备金是用来弥补商业银行信贷资产的预期损失的，因此，对呆帐准备金的提取额度应该通过对银行信贷风险资产的预期损失进行精确计量加以确定。但是，到目前为止，国内外商业银行呆帐准备金的提取方法都是按贷款余额的一定比例提取，没有与商业银行风险资产的预期损失精确挂钩。 其次，《巴塞尔协议》规定商业银行资本净额比风险加权资产总额应不小于8%，核心资本比风险加权资产总额应不小于4%，这种资本充足率的确定四川大学博士学位论文方法同样没有精确的理论框架和定量模型支持。实质上，资本充足率规定的资本额度中包含了呆帐准备金，资本额度中超过呆帐准备金的部分应该是商业银行经营的风险资本。从理论上讲，风险资本应该是用来抵御超过预期损失部分的经营风险的，也就是说，从超过预期损失开始，到银行破产清算前的风险应该用风险资本来抵御。显然，将呆帐准备金和风险资本合起来规定一个8%的资本充足率，对商业银行风险管理来讲是粗糙的，对风险资本要求的计量是不精确的。 第三，存款保险制度是用来防范商业银行的破产风险的，存款投保费率应该与银行的破产风险相匹配。但是，到目前为止，即使是发达国家的存款投保费率也难以采用精确的理论框架和计量模型进行计算。存款保险费率不能按照商业银行的资产风险精确确定，存款保险制度就会存在逆向选择和道德风险问题，根据期权定价模型，商业银行会通过增加资产风险来增加存款保险的期权价值，通过减少资本来增加存款保险的期权价值。 上述分析表明，目前国内外商业银行在资本配置风险管理中没有清晰地界定呆帐准备金、资本充足率和存款保险制度的风险防范功能，没有用清晰的、定量的理论模型来指导呆帐准备金、资本充足率、存款保险费率的确定，特别是商业银行8%的资本充足率管理没有理论依据和模更多还原

【Abstract】 Since 1980s, the mode of risk management for international banking has achieved great development. The management of assets liabilities has been widely accepted and the risk management of commercial banks has evolved to capital allocation. The matching of capital and risk and the risk management through capital allocation become a core problem. In order to effectively implement management on entire risk of commercial banks through capital allocation, the internationally prevailing method at present is to establish three lines of defense, which are reserve for bad debts, capital adequacy ratio and deposit insurance system.The conclusion of the paper is, a comprehensive regime and system of risk management should be established for risk management of commercial banks. Credit risk is the most important risk the commercial banks confront. For a reasonable risk management system, the commercial banks should effectively prevent the credit risk through pre-loan analysis, then the risk that could be transferred should be transferred through risk transfer market, finally the risk that must be undertaken and can not be transferred should be prevented through reasonable capital allocation.The paper first discusses how to reduce credit risk of commercial banks through pre-loan analysis. The actual reason why enterprises need loans is becauseeach enterprise has an assets conversion cycle. Assets conversion cycle is a process that financial assets are first converted into physical assets which are in turn converted back into financial assets made by enterprises. Commercial banks should analyze the actual reasons that enterprises need loans from the aspect of conversion at the very beginning and confirm whether or not enterprises need loans, and analyze whether or not enterprises are capable of repaying loans on time within the framework of its assets conversion cycle, and identify those enterprises which intentionally use loans to take risks or not intend to repay loans at all. Pre-loans risk prevention should be made through the analytic methods that combine industrial risk analysis, analysis of internal key operating and administrative problems, raw material supply, production management and marketing of credit applying enterprises.The paper researched how commercial banks transfer market risk. The research indicates that risk transfer market is an indispensable part of market economy. Risk traded in market could increase the utility of trading parties and optimize allocation of resources. Transaction of risk is a kind of Pareto improvement. By applying the CAPM, this paper shows that risk management could increase companies’ value and add more value to shareholders. Under strict hypothetical condition, MM theorem proposes that financial strategies of companies have no influence on the companies’ value. But the strict hypothetical condition in MM theorem is not existent in reality. The actual financial market involves financing cost; companies could reduce the cost through risk management. The actual financial markets also have cost arising from financial distress; companies could reduce the cost arising from financial distress. The actual financial markets have taxes; companies could reduce taxes payable through risk management. Companies could resolve ’agent problem’ through risk management and enable companies to choose investment projects more effectively. Commercial banks could increase their own value and add more value to shareholders through performing the management of risk transfer in financial risk transfer markets. Commercial banks could execute transaction management onmarket risk of interest ratio when they are implementing risk management through risk transfer markets, and commercial banks could execute risk management of exchange ratio by making use of risk transfer market. Commercial banks could also transfer the credit risk by making use of credit derivatives in risk transfer market.This paper performed research on current situation of risk management through capital allocation for commercial banks both at更多还原