摘要
本文实证分析Basel Ⅲ与Basel Ⅳ内部模型的差异。研究表明:中国商业银行采用ES为变量的新模型将大幅降低市场风险监管资本,而旧模型的变量VaR和SVaR在风险管理实践中仍然有效;实施Basel Ⅳ新模型有利于中国商业银行的经营结构转型和国际竞争力的提升,监管机构应尽早出台实施Basel Ⅳ的监管办法;商业银行应以实施新模型为契机,向资本节约的金融市场业务转型。
The paper presents an empirical analysis of the difference between Basel III and Basel IV internal models. The conclusions of the paper shows that the new model in which the ES is used by Chinese commercial banks as vari- ables will greatly reduce the capitals for market risk supervision, and the variables VaR and SVaR in old model will still valid in risk management practice; implementing Basel IV will help the business structure transformation and the interna- tional competitiveness enhancement of Chinese commercial banks; the regulatory institution should form the supervision policy for implementing Basel IV as soon as possible; the commercial banks should change their financial market busi- ness into a capital-saving one by means of implementing Basel IV new model.
出处
《金融论坛》
CSSCI
北大核心
2016年第7期71-80,共10页
Finance Forum
