摘要
20世纪70年代以来，随着经济全球化、金融自由化程度的不断加深，银行集团以其在一国经济中举足轻重的地位和其风险的独有特征，使得一国乃至世界经济变得更为脆弱。本研究力图填补目前我国学术界、业内以及监管当局对于银行集团交叉风险识别、计量、监管等方面的空白，对银行集团的交叉风险种类、特征、生成机制进行了深入分析，提出我国银行集团交叉风险的监管措施，构建重在交叉风险的银行集团并表监管框架。
本文提出我国银行集团的交叉风险包括基于集团内部治理结构复杂性而产生的风险以及由于业务交叉而带来的混合金融风险。对于基于银行集团组织结构的复杂性而产生的交叉风险，本文借助耗散结构理论和管理熵概念对组织结构的复杂性进行了测度，从而对组织结构交叉风险进行量化评估。对于基于银行集团业务往来而形成的交叉风险，本文从我国经济环境下特有的外部触发源入手，借助博弈模型分析了集团内部银行与信托的风险传染机制、构筑了基于CoVaR模型银行与证券的风险传染机制，通过模拟仿真数据构建了集团内部银行与影子银行风险传染的定量分析模型框架，并探讨了银行集团的跨境风险传染。在此基础上，本文尝试将集团内各类风险水平进行综合或加总，对集团整体并表风险进行了计量与评估。针对银行集团交叉风险的分析，借鉴国际经验，本文提出了重在交叉风险监管的六大思路和具体方案，分别是针对各类交叉风险的不同特征，建立差异化的银行集团并表范围；针对银行集团复杂的组织架构，建立银行集团的公司治理监管；针对集团内部利益冲突风险，完善银行集团的内部交易监管；针对集团的并表风险，完善银行集团的资本监管；针对集团的风险传染构建银行集团的风险隔离监管；针对跨境风险完善银行集团的跨境监管。
本文的创新点在于：一是系统提出银行集团交叉风险的概念及理论分析框架。二是构建模型，对我国银行集团交叉风险的传染机制进行分析、计量和评估。三是对国际金融组织、世界主要国家对银行集团的监管政策历史沿革、现行做法特别是美国次贷危机引发全球金融危机以后各国的最新监管改革进行了梳理。四是有针对性地提出我国对银行集团交叉风险监管对策。
Since1970s, the banking group has been attributed to the fragility of anation’s economy or even the world’s economy, due to the magnitude of themarket power and their particular risk profile, accompanied with the deepeningof the economic globalization and financial deregulation. We are trying to fill inthe blank of research in the identifying, measuring and supervising cross risks ofthe banking group, analyzing the categories, characteristics and the formulationmechanism of the cross risks, proposing the respective supervisory methods andthe consolidated supervisory framework for the cross risks of the banking group.
This paper defines the cross risks into two categories. One derived from thecomplication of the corporate governance and organizational structure, the otherderived from the intra-group transaction. As for the first category, this papermeasure the complexity of the organizational structure applying the DissipativeStructure Theory and the Management Entropy, therefore the quantitativeassessment could be done to the related cross risks. As for the second category,this paper analyzes the external trigger factors that exist particularly in Chineseeconomic environment. Aiming at analyze further the cross risks embedded inthe intra-group transactions among group members, this paper applies the gametheory to trace the risk infection between a bank and a trust company within abanking group, and a CoVaR model to explain the risk infection processbetween a bank and a security firm, and a quantitative model to quantify theextent to which a failure in an asset management product affects the groupmembers. Cross-border risk affection is also discussed in terms of theattributing factors and affection routes. Based on all above, this paper measuresand assesses the overall risks of the banking group using the Copula function.We also summarize the international experiences of the supervisory measure ofthe banking group and proposing specific supervisory framework targeting thecross risk of the banking group, where the differentiated scope of consolidatedsupervision, corporate governance, intra-group transaction, capital adequacy,ring-fencing and cross-border supervision are emphasized.
The main contribution of this paper includes: proposing the definition ofthe cross risks or the banking group and the respective theoretical framework;establishing the analytical model of the risk affection of the cross risks thatderived from both the organizational structure and intra-group transaction;summarizing the international experiences of the supervisory practices datingback from1970s until the very recent reform; putting forward the proposals foran ameliorative framework for the supervising cross risk of the banking grouopin China.
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