本文選題：巴塞爾協(xié)議　切入點：監(jiān)管資本套利　出處：《山西財經(jīng)大學(xué)》2017年碩士論文

【摘要】：2007年美國次貸危機的爆發(fā)不僅與監(jiān)管制度固有的滯后性有關(guān),更與銀行業(yè)的金融創(chuàng)新、金融衍生工具的大量運用密切相關(guān)。反思這場危機,商業(yè)銀行為利益驅(qū)使擴大貸款規(guī)模,同時又必須滿足監(jiān)管當局的監(jiān)管要求,這就促使其通過金融創(chuàng)新手段來規(guī)避資本監(jiān)管,這種行為是導(dǎo)致監(jiān)管制度失效及危機爆發(fā)的根本原因。監(jiān)管資本套利是商業(yè)銀行利用證券化等金融創(chuàng)新手段,改變資產(chǎn)構(gòu)成,降低風險加權(quán)資產(chǎn)數(shù)量,使得其可以在實際風險沒有降低的情況下提高資本充足率或者實際風險增加而資本充足率卻并未減少的一種套利模式。金融危機爆發(fā)后,巴塞爾委員會制定出臺了第三版巴塞爾協(xié)議,協(xié)議對資本提出了更加嚴格的要求,并且對于監(jiān)管資本套利這一問題也更加重視。因此,研究商業(yè)銀行監(jiān)管資本套利這一問題對提升銀行管理水平,維護金融系統(tǒng)穩(wěn)定有著重要意義。本文首先對商業(yè)銀行資本、監(jiān)管資本套利的概念及模式進行了梳理,并且通過對比分析不同版巴塞爾協(xié)議及我國監(jiān)管協(xié)議的條款內(nèi)容,得出監(jiān)管資本套利是伴隨監(jiān)管協(xié)議而生的,監(jiān)管協(xié)議具有不完全性,這必然會帶來監(jiān)管資本套利這一難題。接下來運用期權(quán)定價法,對經(jīng)濟資本、監(jiān)管資本以及二者間的背離程度進行了理論度量。在論述理論基礎(chǔ)后,以我國16家上市商業(yè)銀行的數(shù)據(jù)為研究對象,通過面板聯(lián)立方程及指標間的比較論證了我國商業(yè)銀行存在監(jiān)管資本套利問題。研究結(jié)果表明,當商業(yè)銀行持有的經(jīng)濟資本與監(jiān)管當局規(guī)定的監(jiān)管資本間的差額超過一定額度時,商業(yè)銀行就會產(chǎn)生監(jiān)管資本套利行為。在對我國上市商業(yè)銀行進行實證分析后發(fā)現(xiàn),我國商業(yè)銀行資本充足率較高,一方面是由于其進行了資本管理,而另一方面則是因為存在監(jiān)管資本套利活動。本文在理論研究和實證分析后,對我國商業(yè)銀行的資本監(jiān)管提出了相關(guān)對策和建議,希望我國監(jiān)管當局能夠進一步完善監(jiān)管制度,并對合理套利行為進行引導(dǎo),從而能夠在控制監(jiān)管資本套利問題的同時發(fā)揮出其積極作用。
[Abstract]:In 2007 the U.S. subprime crisis and the regulatory system not only lagging, more financial innovation and banking, the use of a large number of financial derivatives is closely related to the reflection of the crisis, expanding the size of loans for commercial banks driven by interests, and regulatory authorities must meet regulatory requirements, which prompted by the financial innovation means to circumvent capital regulation, this behavior is the result of regulatory failure and crisis. Regulatory capital arbitrage is a commercial bank with the securitization of financial innovation means change asset structure, reduce the risk weighted assets amount, improve an arbitrage model of capital adequacy ratio or the actual increased risk and capital adequacy ratio did not decrease so that it can not reduce the risk in the actual situation. After the outbreak of the financial crisis, the Basel Committee issued the third edition of the Basel The agreement, the agreement put forward more strict requirements for capital, and for regulatory capital arbitrage also pay more attention to this problem. Therefore, the study of commercial bank regulatory capital arbitrage this problem to enhance the bank management level, is of great significance to maintain the stability of financial system. This article first to the capital of commercial banks, analyzes the concept and mode regulatory capital arbitrage, in terms of content and through the comparative analysis of different edition of the Basel accord and China's regulatory agreement, that regulatory capital arbitrage is accompanied by regulatory agreement, regulatory agreement is incomplete, this will inevitably lead to regulatory capital arbitrage this problem. Then using the option pricing method of economic capital, the degree of deviation between regulatory capital as well as between the two theories. On the theoretical basis of the measurement, the listed commercial banks in China 16 of the data as the research object, through the panel Simultaneous equations and indexes of comparing China's commercial banks have regulatory capital arbitrage. The results show that, when commercial banks hold capital and supervisory regulatory capital for the difference between more than a certain amount, the commercial banks will have regulatory capital arbitrage. Found in the listing of China's commercial banks the empirical analysis, the capital adequacy ratio of commercial banks in our country are relatively high, partly because of its capital management, and on the other hand, because of the existence of regulatory capital arbitrage activities. Based on the theoretical research and empirical analysis, the related countermeasures and suggestions to our country commercial bank capital regulation is put forward, hope in China the regulatory authorities to further improve the regulatory system, and the rational arbitrage behavior guidance, which can play its positive role in the control of regulatory capital arbitrage problem.

【學(xué)位授予單位】：山西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.33;F830.42

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