我国银行集团内部交叉风险及其监管研究

发布时间：2018-05-09 00:16

本文选题：银行集团 + 交叉风险　；参考：《清华大学》2013年博士论文

【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。
[Abstract]:Since 1970s, with the economic globalization and the deepening of financial liberalization, the banking group has become more vulnerable because of its pivotal position in a country's economy and its unique characteristics of risk. This study tries to fill the gaps in the current academic, industry and regulatory authorities of banking group cross risk identification, measurement, supervision and other aspects of the banking group cross-risk types, characteristics, generation mechanism for in-depth analysis. This paper puts forward the supervision measures of cross risk of banking group in our country, and constructs the regulatory framework of bank group and bank group with emphasis on cross risk. This paper puts forward that the cross risk of Chinese banking group includes the risk caused by the complexity of the internal governance structure of the group and the mixed financial risk caused by the business crossing. Based on the complexity of the organizational structure of the banking group, this paper measures the complexity of the organizational structure with the aid of the dissipative structure theory and the concept of management entropy, so as to quantitatively evaluate the cross-risk of the organizational structure. For cross risk based on banking group business transaction, this paper analyzes the risk contagion mechanism between bank and trust within the group with the help of game model, starting with the unique external trigger source under the economic environment of our country. This paper constructs the risk contagion mechanism of banks and securities based on CoVaR model, constructs the quantitative analysis model framework of risk contagion between banks and shadow banks through simulation data, and probes into the cross-border risk contagion of banking groups. On this basis, this paper attempts to synthesize or add all kinds of risk levels in the group, and measure and evaluate the risk of the whole group. Based on the analysis of cross risk of banking group and drawing lessons from international experience, this paper puts forward six main ideas and specific schemes for supervision of cross risk, which is to establish different bank group merger scope according to different characteristics of cross risk. In view of the complex organizational structure of the banking group, we should establish the corporate governance supervision of the banking group; perfect the internal transaction supervision of the banking group for the risk of internal conflicts of interest within the group; Risk contagion against the group to build a banking group risk isolation regulation; cross-border risk improvement of cross-border banking group regulation. The innovations of this paper are as follows: first, the concept and theoretical analysis framework of cross risk of banking group are put forward systematically. The second is to build a model to analyze, measure and evaluate the contagion mechanism of cross-risk of banking groups in China. Third, the history of the supervision policies of international financial organizations and major countries to the banking group, especially the latest regulatory reform of countries after the global financial crisis triggered by the subprime mortgage crisis in the United States. Fourth, put forward our country to the bank group cross-risk supervision countermeasure pertinently.
【学位授予单位】：清华大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.33

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