预先承诺制及在我国银行业监管中的引入

【作者】 岑永；

【导师】 缪明杨；

【作者基本信息】 西南财经大学 ， 金融学， 2005， 硕士

【摘要】 随着经济金融全球化、一体化进程的不断推进,金融领域的竞争日趋激烈,相应地促使现代银行和其他金融机构的经营业务越来越趋于复杂和多样化,从而导致银行的资本准备难以覆盖银行业务的风险暴露,使得银行资本有可能遭遇市场风险而使银行面临破产的境地。本文的研究思路是从对预先承诺制的释义入手,从《巴塞尔协议》的标准信用评级方法、VaR方法的缺陷出发,阐述了预先承诺制的产生过程。在此基础上引入了预先承诺制的理论模型,随后介绍了预先承诺制在美国的运作实践活动,并对预先承诺制的有效性进行了比较详细的分析,得出预先承诺制是一种较为先进、有效的银行监管方式。最后本文探讨了预先承诺制在我国这样一个发展中国家是否具有必要性和可行性以及我国银行业监管实施预先承诺制的基础条件,刻画了适合我国国情的商业银行资本监管的预先承诺制模型,对我国利用预先承诺制来监管银行业提出了若干建议。本文共分为四章,在第一章中,首先解释了预先承诺制的含义及其产生过程。预先承诺制的定义可以表述为:监管机构设定一个测试期间(例如为一个季度或半年),银行在测试期初向监管机构承诺其资本量水平,为该期间内可能发生的交易损失作准备,此资本量的确定是由该银行自己根据内部风险管理模型决定并计算得出,同时也是监管机构要求的最低资本充足性要求。在整个期间,只要银行的交易累计损失超过其承诺资本水平,监管机构便对此银行进行惩罚。这种惩罚既可能是货币的,也可能是非货币的。这一银行监管方式可以看作是监管者和被监管者之间的激励合同。对银行而言,如果他低估了损失,他就冒着违背预先承诺而经常被惩罚的风险,这样做的成本很大而且会使监管机构干涉自身的业务;而高估损失则意味着更高的资本充足性要求,从而加大银行的机会成本,这对银行同样是没有什么吸引力的。这样就满足了激励合同的2激励相容要求。另外,第一章对预先承诺制与VaR方法进行了比较分析。本文认为,对于市场风险的衡量,预先承诺制强调以某一期间银行业务的累计损失与预先承诺的资本数量的比值作为监管当局实施监管行动的依据,不管在正常市场条件还是极端情况时,均能正确反映金融资产的市场风险。同样,预先承诺制对数据没有严格的要求,监管当局只要掌握被监管银行的累计损失和预先承诺的资本数量,且不考虑其资产流动性。此外,预先承诺制着眼于未来,被监管银行在对未来业务活动的变动情况进行预测的基础上,确定其预先承诺的资本数量,有利于银行对未来经营状况的把握。就监管当局而言,其将风险管理模型评判和选择的难题推到了银行机构一边,监管当局只关心银行机构的违反情况以及如何给予适当的处罚,而对银行机构采用何种风险管理模型或模型质量如何并不予以评判,大大降低了银行监管的成本。相反,银行机构鉴于资本充足水平和可能遭受的处罚的平衡关系不得不主动选择适当的风险管理模型,提高模型的质量和风险预测能力。本章的最后一节介绍了美联储经济学家普雷斯科特(Edward S. Prescott)关于预先承诺制的理论模型。论文的第二章主要分析了预先承诺制的有效性。同以往的银行监管方法相比,预先承诺制在风险暴露和资本准备之间的关系上是一种外在约束的软联系(soft-link),各种银行业务没有外部强加的固定的资本准备联系,只有当承诺被违背时,这种联系才会内在发生。这样,各银行机构可以根据自身的风险管理水平和经验建立各自的风险管理模型。基于安全性和盈利性的最优组合的考虑,各银行机构会积极致力于提高风险管理模型的精确性和风险管理能力的激励,使银行机构在风险管理上更具有主动性。由于预先承诺制着重于结果而不是过程,把风险管理模型选择问题留给了市场和竞争,尽量减少了对银行业务的影响,因此,从监管部门的角度看,有利于银行监管成本的降低,就银行机构而言,各个银行可以根据自身情况选择成本最低的风险控制方法,节省了风险资产的资本要求,而且激励了银行风险管理技术的进一步完善,有利于银行业监3管的不断完善与发展。但是,任何事物都是一分为二的,预先承诺制作为银行监管方法也不例外。本文对预先承诺制可能存在的缺陷进行了较为深入的思考,比如说,银行的逆向选择问题,银行内部的委托代理问题更加突出,领导人员的任期效应风险,惩罚方案的设计问题等等。在此基础上,本文阐述了预先承诺制在美国的运作实践活动。1996年在纽约清算机构委员会的组织下,美洲银行、银行家信托纽约公司、大通银行、花旗银行、瑞士银行等十家大型银行机构组成一个国际组织,共同参与了针对市场风险的预先承诺制的实践活动。从预先承诺制的实践中,参与银行得出以下结论:从谨慎的风险管理和更有效的资本控制方面看,预先承诺制同现存的银行内部模型法(例如VaR方法)相比提供了更有利的激励机制;该实践活动赋予参与银行一项责任,可以决定最适合的资本水平,而不受监管当局某种特定水平的偏见所约束。第三、四章是本文的重点,也是难点所在。这一方面是因为我国对银行的监管仍然集中于传统的行政命令式监管之上,对于国际上先进的银行监管方式讨论的不多;另一方面是?更多还原

【Abstract】 With the wave of the financial globalization and integration, thecompetition in the financial field becomes more violent. The complexityand diversity of activities conducted by banking organizations and otherfinancial institutions have developed at a rapid pace in recent years,which make capital of bank unable to covered risk exposure of bankingactivities. It has become increasingly apparent to the financialinstitutions and increasingly recognized by bank regulators as well. Withregard to banking capital standard for market risks, the Basel supervisorsput this view by developing the internal model approach (For exampleVaR) as an alternative to the standardized model. The pre-commitmentapproach builds upon the logic of the internal model approach by havingeach banking organization develop its capital requirements in relation tothe organization’s own activities. By relying on incentive compatibleinstead of on fixed rules, the pre-commitment approach stands at higherperspective for banking supervisory. In the first chapter, the paper gives a definition of thepre-commitment approach. It as follows: At first, the supervisoryinstitutions decided to take measurement periods based on economicconditions (A quarter or half a year), prior to commencing thepre-commitment approach, banks would specify the amount ofpre-commitment capital they wished to allocate to cover market riskexposures over a given period. The pre-commitment capital that iscalculated by risk-managing model of banks is prepared for cumulativetrading losses of banking activities and is also the minimum capitalstandards for supervising institutions. For the whole periods, if tradinglosses exceeded this pre-commitment amount, banks would subject topenalties. The penalties are made up of monetary and non-monetarymethods. Moreover, the first chapter differentiates the pre-commitmentapproach from VaR. In short, the pre-commitment approach has moreadvantages than VaR, from the measurement of market risk and thesupervisory cost or financial data, etc. At the end of the chapter, itintroduces the theoretical model of the pre-commitment approachdevised by Edward S. Prescott from Federal Reserve Bank (FRB). In the second chapter, the paper elaborates on the effectiveness ofthe pre-commitment approach, compared with previousbank-supervising ways, the pre-commitment approach gives a soft-linkof external restraints between risk exposures and capital commitments,so a variety of activities is free of constant capital preparation in banks.Banks structured risk management model based on risk managementabilities and experience respectively. For the consideration of safety andprofitability, banks make the initiative in proving the precision of modeland promoting the capacity of risk management. When it comes to theenforcement of the pre-commitment approach, it emphasizes the resultrather than the process, reducing interference to banking activities aspossible. As far as the supervisory institutions concerned, it causesdescent of supervisory cost. On the contrary, banks adopt thecost-minimized means for controlling risk, which spares the opportunitycost of banking capital and upgrades the technology of risk managementin the future. As a coin has two sides, the pre-commitment approach hasa few deficiencies when it is applied to banking supervisory. Forexample, bank’s adverse selection, risk effect of guide’s tenure, projectof penalty, etc. So there are still some points deserving further discussion.Then, the paper explicates the pilot exercise of the pre-commitmentapproach in America since 1996, from which the participating banksdraw the following conclusions: The pre-commitment approach providesstrong incentives for prudent risk management and more efficientallocation of capital as compared with other existing capital standards.Also, it in effect assigned to the participating banks the responsibility fordetermining an appropriate level of capital, free of any regulatorypreconceptions as to what that specific level should be. The third and fourth chapters are the most dif更多还原