金融混业企业集团风险及监管研究

【作者】 陈岗；

【导师】 黄亚钧；

【作者基本信息】 复旦大学 ， 世界经济， 2009， 博士

【摘要】 金融集团化和混业化成为世界金融业发展的主导趋势,在金融混业经营模式下,必然要面对金融混业企业集团(简称FC)的风险分析、风险度量、内部经济资本配置、对FC监管模式的选择及国际合作等一系列问题。在此背景和趋势下,结合国际经验和我国的国情,本文运用定性和定量分析相结合的方法对FC进行了以下研究。第一章导言介绍了国内外相关领域研究现状及本文的创新点及不足。第二章为FC的风险总论部分,分析了FC的子单元层面的一般金融风险及FC层面的特殊风险构成,提出了FC风险计量及评估方法,运用copula函数等方法对FC的风险进行度量,建立了计算FC三层次的风险度量模型。采用台湾14家上市金融控股公司2002年一季度-2008年三季度(部分四季度)的季度数据为基础,建立面板数据模型对台湾金融控股公司的风险进行实证分析。第三章分析了FC特殊风险之传染性风险,分析了FC内部风险传染的机制,参考了伦敦经济学院Amil.Dasgupta教授和D-D模型的建模思路建立了FC基于资本关联(内部资本市场)的风险传染模型。第四章分析了FC特殊风险之资本充足风险,讨论了FC内部资本市场、经济资本配置和监管资本套利,分析了并表监管的思路,比较了典型国家资本充足风险监管的实践。第五章分析了FC特殊风险之利益冲突风险,分析了利益冲突的原因,并建立了一个博弈模型分析利益冲突产生的机理,提出了解决利益冲突风险的方法。第六章采用金融物理学的思路分析了FC的风险传导,提出了FC的四维风险传导图,并简要分析了FC串联式、并联式、串并联式风险传导路径及模型。以模型的方式,按照先简后难的顺序对FC风险串联式传导、并联式传导以及串并联式传导进行分析,并在此基础上归纳出FC风险传导的特征。第七章从风险转移到监管,首先是国家监管,论文分析了国家对于FC监管体制安排的三种理论模式和相关实践模式,分析了近年来典型国家金融监管体制的变革,建立了FC监管一体化的重复博弈模型并深入分析了FC监管一体化问题。第八章从国家监管到合作监管,从区域合作(欧盟)到国际合作(联合论坛、巴塞尔协议Ⅱ、金融稳定委员会),分析了FC国际监管合作的理论基础,并建立了FC监管合作的博弈模型,最后提出了对我国FC发展和监管的借鉴。更多还原

【Abstract】 Financial conglomeration becomes the dominant trend of financial industry development of the world.Financial conglomerates have to face a series of questions such as risk analysis,financial risks measurement,risks on consolidated basis,allocation of economic capital within the group.The paper uses the quantitative method and qualitative method which combined the experience of the western countries and China’s real conditions to carry on research to the aforementioned problems of financial conglomeration.In chapterⅠ,the paper points out the academic innovations and deficiency of the paper.In chapterⅡ,the author makes analysis to the general and special risks of financial conglomerates.Because of complex organizing structures and internal relationship,some new particular risks arise such as contagion risk) risk of interests,risk of double gearing(re-calculation of capital fund),the lack of trasparency.Furthmore the paper proposes the risk management frame of financial conglomerates using Copula method.Against these risks,chapterⅢputs forward mechanism to take precautions against the risk including internal risk control and external supervision.ChapterⅣdiscusses the characteristics,fund sources and operation mode of internal capital markets of financial conglomerates;ChapterⅤdiscusses the risk of conflict of interests.In chapterⅥ,the four-dimensional-conducting-model of risks has been brought forward.Moreover,a principle of the conducting of risks has been discovered,using the model and method from easy to hard,after analyzed the series conduction,parallel conduction,the combination of series and parallel of risks,the paper builds models to figure out the characteristics of risk conduction inside financial conglomerates.ChapterⅦdiscusses financial regulatory competition and conflict,as intensified by financial conglomerates,calls for proper coordination.There exists four major models,the US’s umbrella supervision model is now under criticism after the subprime lending crisis,integrated regulation(inclusing twin peaks) is of more referential significance. ChapterⅧdiscusses the game analysis of participating agents in international coordination and cooperation of financial supervision and regulaiton.Later the paper discuss the BaselⅡ,which is the outcome of global economic integration and the internationalization of ecomomic risk.With the representative of the core principle of BaselⅡ,the agreements became an important international pratice and we should benefit from these rules and regulations to perfect legislation of supervising financial conglomerates.Nowadays,there has been the embryos of the financial conglomerates in China in which there are no relative laws about financial conglomerates,so the introdution of the legislation and supervision on financial conglomerates in develped districts and countries are very indispensable.Considering the resemblance in finance field between Taiwan and mainland,the development of the regulaiton on Taiwan’s financial holding company is chosen to be the reference in the research.The paper utilizes econometric methodology,and obtain seasonal data from Januany 2003 to December 2008,for 14 listed FHC to search the total risks respond the diversified financial operations in FHC.更多还原