加强我国商业银行次级债风险约束作用的思考——基于“相互持有”视角的理论分析

发布时间：2018-01-01 20:15

本文关键词：加强我国商业银行次级债风险约束作用的思考——基于“相互持有”视角的理论分析　出处：《金融研究》2012年02期 　论文类型：期刊论文

【摘要】：本文基于我国银行间相互持有次级债的现实背景,以数理模型和数值计算方式研究了银行间相互持有次级债可能引致的潜在后果,发现银行间相互持有次级债尽管能提高其资本充足比率,但在某种程度上削弱了次级债的市场约束功能,有可能加剧银行业的系统性风险。进一步研究表明持债银行资产之间的相关性、持债银行自身的风险承担、以及相互持有规模是导致次级债市场约束功能弱化的重要诱因,建议减少银行间相互持有次级债的数量.减弱银行资产相关性并促进次级债投资主体的多元化。
[Abstract]:In this paper, the realistic background of mutual subordinated debt holders between banks in our country based on the mathematical model and numerical method to study the potential consequences of inter bank subordinated debt holders may be caused by the interaction between banks found that subordinated debt holders can even raise their capital adequacy ratios, but to a certain extent weakened the subprime market constraints, systemic risk may exacerbate the banking industry. Further studies show that the correlation between the bank debt to assets, debt risk to the bank's own commitment and mutual holding scale are very important causes of the weakening of the subprime market constraint function, proposed to reduce the number of holders of subordinated debt between banks. Banks and promote diversified asset correlation weakened the subordinated debt investors.

【作者单位】：南开大学经济学院金融系;南开大学数学学院;中国银行业监督管理委员会;
【分类号】：F832.3
【正文快照】： 一、引言概括地讲，，次级债是一种清偿顺序优先于股东权益，但是落后于一般债务的债务形式。所谓“次级”即针对债务的清偿顺序，次级债可以按条件计人银行的附属资本。由于次级债偿还期限长，银行可以用其调整自身负债的时间结构，在一定程度上缓冲“借短贷长”的流动性风险，

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