摘要
在资本监管领域中,商业银行账面资本净额大于监管资本要求只是在监管意义上的资本覆盖风险,只有商业银行资本净额大于经济资本额度,才是风险意义上的资本覆盖风险。从资产组合视角,将商业银行对系统性风险贡献度的测算转化为计算商业银行在银行体系应被分配的经济资本额度,并将其与商业银行账面资本净额进行比较,从而计算出为了抵御系统性风险商业银行的资本短缺程度。测算结果表明,第一,监管达标并不一定意味着资本一定能够覆盖风险;第二,资本缓冲能够较好地降低商业银行资本短缺程度,杠杆率和流动性覆盖率监管表现相对较差;第三,资本缓冲、杠杆率和流动性覆盖率三者的协同效应没有发挥出来;第四,资本缓冲、杠杆率和流动性覆盖率会给一些大型股份制商业银行带来资本压力。
In the capital regulation,the fact that the net book capital of a commercial bank is greater than the regulatory capital requirement only means it covers risk in the regulatory sense.However,only if the commercial banks’net capital is greater than the economic capital limit,is it a capital coverage risk in the sense of risk.From the perspective of asset portfolio,this article converts the measurement of the contribution of commercial banks to systemic risk so as to calculate the amount of economic capital that commercial banks should be allocated in the banking system,and compares it with the net book capital of commercial banks,and calculate the degree of capital shortage of commercial banks for preventing systemic risks.The results show that,firstly,regulatory compliance does not necessarily mean that capital can cover risks.Secondly,capital buffer can better reduce the degree of capital shortage of commercial banks,and the regulatory performance of leverage and liquidity coverage is relatively poor.Thirdly,the synergistic effect of the capital buffer,leverage ratio and liquidity coverage ratio is not obvious.Fourthly,the capital buffer,leverage ratio and liquidity coverage ratio will bring capital pressure to some large joint-stock commercial banks.
作者
刘志洋
Liu Zhiyang(School of Economics and Management,Northeast Nonnal University,Changchun 130117,China)
出处
《金融理论探索》
2020年第5期13-25,共13页
Exploration of Financial Theory
基金
教育部人文社会科学研究青年基金项目“货币政策与宏观审慎监管协同机制及有效性检验”(19YJC790088)
中央高校基本科研业务费专项资金资助(东北师范大学社会科学青年基金团队项目)“金融衍生产品市场助推银行业宏观审慎监管实施机制研究”(20QT002)
吉林省金融学会重点研究课题“中国金融体系传染风险研究”(2020JJX024)。
