【作者】 王玉峰；

【导师】 陈野华；

【作者基本信息】 西南财经大学 ， 金融学， 2013， 博士

【摘要】 经济资本作为金融机构风险管理的新理念、新手段,被用以度量金融机构为吸纳非预期损失所必须要拥有的最低资本金,其最初产生于1978年美国信孚银行的风险管理实践,并被国外以商业银行、保险公司为主的金融机构广泛应用,国内建行(1999)、中国银行(2004)、农行(2005)等大银行也陆续引入经济资本作为内部风险管理的重要手段,同时巴塞尔委员会(2004)在《巴塞尔协议Ⅱ》中也明确要求内部评级法下金融机构的资本要求需要覆盖非预期损失。另一方面,2008年次贷危机爆发后,曾被我国投资银行业奉为风险管理“圣经”的美国五大投行风险防范能力受到了广泛质疑,亟须重新审视具有激进风险文化的现代投资银行风险管理理论。进一步地,针对具有特殊的资产负债结构、逐日盯市的会计制度安排和复杂表外衍生品业务的现代投资银行,经济资本配置对其是否适应?如果能,又如何构建投资银行经济资本配置体系,并处理好、体现出净资本监管约束?我国投资银行又该创造怎么样的应用环境?关于这一系列问题,尽管国际证监会组织的市场风险资本计算体现了经济资本的思想,欧盟在2010年《资本金要求指示》修正案中将投资银行的监管资本直接等同于经济资本,但现有文献对该问题的研究还只是处于概念引入和简单的“移植性”介绍阶段,本文目的就是试图系统地回答上述问题。全文共分为4个部分、7章,其中第2、3部分是研究重点,具体包括：第1部分对应第1章导论,重点是交代本文所研究问题的逻辑起点与国内外相关文献综述。第2部分系统论证经济资本配置在投资银行的适用性,分别从投资银行内部(第2章)和外部(第3章)两个视角进行了研究：(1)第2章基于“业务结构-经营特征-风险表现-经济资本配置的适用性”为分析思路,从现代投资银行的一般风险分析与我国投资银行的特殊风险分析两个方面,结合协同学理论,从内部视角论证了基于经济资本配置的投资银行协同风险管理的适用性。(2)第3章从净资本监管这一视角研究适用性问题,从分析次贷危机期间美国净资本监管的失效,到对我国净资本监管下投资银行风险行为的实证研究,本章提出了以经济资本作为净资本监管有效性及其评价标准标准。第3部分研究了投资银行经济资本配置理论及其在我国的实证,包括第4章、第5章和第6章,其中第4章构建了投资银行经济资本配置框架,基于这一框架下第5章和第6章则分别从资产配置和资本结构优化两个领域进行了具体的配置理论与实证研究。具体来说：(1)第4章构建了基于净资本监管和经济资本双重约束下的投资银行经济资本配置体系,分析了净资本与经济资本在不同约束性质下投资银行的资本配置原则,提出了投资银行经济资本配置的应用领域(资产配置、资本结构优化和绩效评估)及对应的经济资本度量方法选择原则。(2)基于经济资本配置的投资银行资产配置和资本结构优化的理论与实证研究：①第5章建立了双重约束下投资银行资产配置模型,并基于GARCH-CVaR模型和GARCH-VaR模型,对我国上市投资银行的自营资产配置数据进行了实证研究与比较；②第6章利用期权模型,在修正前人的自上而下总量经济资本测度方法基础上,建立了动态(考虑红利分配、不考虑红利分配)和静态情形下基于经济资本配置的三种投资银行资本结构优化模型,并在理论上论证了总体必要经济资本(合意的资本结构或净资本)的影响因素,提出了双重约束下的投资银行资本结构优化战略,并进行了实证研究。第4部分对应本文第7章,分析了我国投资银行开展经济资本配置的外部环境与内部环境建设问题,并提出了渐进的经济资本配置推进路径。本文的主要结论有：(1)相对商业银行,现代投资银行特殊的资产负债结构、逐日盯市的会计制度安排、混业制度下的表内外高杠杆的经营特征决定了其具有更强的顺周期风险、更激进的风险文化、更易发生流动性风险和破产带来的较大负外部性,并从美国五大投资银行中找出上述结论的微观证据。同时,随着市场在资源配置中基础性作用的增强和我国问题投资银行的风险处置向市场化处置的转变,我国投资银行在混业竞争压力逐步显现、市场利率化改革持续推进和人民币汇率波动空间进一步扩大的现实背景下,我国投资银行的风险特征将与美国趋同,加强以规避激进风险文化为主要内容的投资银行内部风险管理建设不可避免。最后,本文运用协同学理论,认为基于经济资本配置的协同风险管理理论可以抑制投资银行激进的风险文化,并作为(管理视角、监管视角)杠杆水平的标准。(2)论文运用3SLS方法,实证分析了2008年净资本监管新规以来我国上市投行的在净资本监管约束下的资本调整和风险承担行为,研究发现：上市投资银行按照“风险-资本”相匹配的原则开展经营活动,净资本监管成为投资银行经营活动的紧约束；净资本监管指标的设计不尽合理,虽然总量性指标对投资银行风险管理起到了正面的引导作用,但结构性指标却与政策预期相反,资本不足的投行也可能通过承担较大的风险获取较高收益的形式来增加资本。(3)尽管经济资本和净资本作为投资银行业务活动的两类不同性质的资本约束,但因与风险都存在联系而具有内在收敛性,需要投资银行和监管部门双方通过不断协同、不断进行纠错式地相互学习而使经济资本配置和净资本监管在投资银行资产配置、资本结构优化和绩效评估三个方面发挥积极作用,共同构筑起有效的投资银行风险管理屏障。(4)论文在建立了净资本和经济资本双重约束下的投资银行资产配置模型基础上,实证研究发现,我国上市投资银行的自营资产的净资本要求大于经济资本要求、会计利润大于经济利润、基于GARCH-CVaR模型的配置方法比GARCH-VaR模型更为有效等结论,并与理论分析得出的经济资本配置可以防范投资银行道德风险的结论相一致。(5)论文在建立基于经济资本配置的投资银行资本结构优化模型基础上,实证研究发现案例投行的总体净资本要求过高、杠杆倍数偏低,这也与理论分析得出的经济资本配置可以用于投资银行净资本监管宽松评价标准的结论相一致。本文的主要创新或贡献：(1)论文从内部风险管理和外部净资本监管两个视角对投资银行经济资本配置的适用性进行了系统、全面的论证,并试图将两者通过协同学理论统一于一个分析框架：基于经济资本配置的投资银行协同风险管理。研究认为,经济资本配置能够在防范现代投资银行所具有的相对更激进的风险文化与财务杠杆风险等方面发挥积极作用,并能为净资本监管的合意水平提供政策参考,深化了IOSCO、欧盟在投资银行净资本监管指引方面所暗含的经济资本思想。(2)论文构建了基于净资本监管和经济资本双重约束下的投资银行经济资本配置体系,分析了净资本与经济资本在不同约束性质下投资银行的资本配置原则,提出了投资银行经济资本配置的应用领域(资产配置、资本结构优化和绩效评估)及对应的经济资本度量方法选择。(3)论文建立了双重约束下投资银行资产配置模型,并利用我国上市投资银行的自营资产配置数据进行了实证研究,发现自营资产的净资本要求大于经济资本要求、会计利润大于经济利润、基于GARCH-CVaR模型的配置方法比GARCH-VaR模型更为有效等结论,这验证了理论分析得出的经济资本配置可以防范投资银行道德风险的结论。(4)利用期权模型,论文在修正前人的自上而下总量经济资本测度方法基础上,建立了动态(考虑红利分配、不考虑红利分配)和静态情形下基于经济资本配置的三种投资银行资本结构优化模型,并在理论上论证了总体必要经济资本(合意的资本结构或净资本)的影响因素,提出了双重约束下的投资银行资本结构优化战略,并进行了实证研究,结论表明案例投行的总体净资本要求过高、杠杆倍数偏低,这侧面证明了理论分析得出的经济资本配置可以用于投资银行建立合意的财务杠杆水平(过高或过低均存不足)、并作为总体净资本监管宽松评价标准的结论。本文主要存在以下不足：(1)经济资本配置是全局性的风险管理工具,论文在第5章的实证部分,限于数据的考虑,只局限于对自营业务的市场风险进行了研究。显然,投资银行的风险不仅仅只有市场风险,也不仅仅体现在自营部门,因此,实证结论与投资银行的实际情况可能存在差异。(2)论文在第6章对基于经济资本配置的投资银行资本结构优化建立了动态、静态模型,但并没有对动态模型进行实证研究,而且现有实证是仅以案例研究给出,样本偏少,结论的说服力不够。(3)尽管文中提及混业趋势对我国投资银行及其风险管理的影响,但本文研究对象仅限于独立投资银行,没有研究混业经营下的金融集团的风险管理问题,因此研究结论的适用领域有局限性。更多还原

【Abstract】 From the late70s of the last century, the economic capital, as the new ideas and new means in risk management, has been widely used in risk management practices by foreign financial institutions. The large domestic commercial banks like China Construction Bank, Agricultural Bank of China have started to bring in economic capital as an important content of the internal risk management, there are many differences in operating characteristics and risk performance between investment bank which is service-oriented and derivatives-based and conversion business based commercial banks. So whether economic capital management originated in commercial bank risk management practices is equally applicable to the investment bank? Although the International Organization of Securities Commissions (IOSCO) and the EU reflect the thinking of economic capital, yet there is no risk investment bank economic capital allocation system research aiming at investment bank’s special asset and liability structure, daily mark to market accounting institutional arrangements as well as off-balance sheet highly leveraged operating characteristics. This requires systemic and scientific evaluation combined with specific risk characteristics of the investment bank.The paper is divided into four parts including seven chapters.Part1is Chapter1, introduction, whose focus is the research questions’ logical starting point and related literature review.Part2demonstrated the applicability of economic capital allocation in the investment banking from the inside (Chapter2) and outside (Chapter3) of investment bank.(1) on the analysis idea of business structure-operating characteristics-risk performance-economic capital allocation applicability, from the modern investment bank normal risk analysis and Chinese investment bank special risk analysis, combined with the synergetics theory, Chapter2demonstrates the applicability of collaborative risk management of investment bank based on economic capital allocation, from an internal perspective.(2) Chapter3studies the applicability from the perspective of net capital regulation, from the analysis of the failure of the net capital regulation in the subprime crisis in the United States, to the empirical analysis of investment banks’ risk behavior under China’s net capital supervision. This chapter puts forward the validity of net capital regulation and its evaluation criteria, and finally with the experience of two capital management defense, regulatory capital and economic capital of commercial banks, in the Basel Agreement, it demonstrated economic capital allocation could build investment bank risk prevention barrier together with the net capital regulation.Part3studies the theory of investment bank economic capital allocation and its examples in China, including Chapter4, Chapter5and Chapter6. Chapter4establishes the theoretical framework of the investment bank economic capital allocation, and based on this framework chapters5and6make theoretical and empirical research respectively from the two areas of asset allocation and capital structure optimization. Specifically:(1) Establish theoretical framework of investment bank economic. Chapter4builds economic capital allocation system based on dual constraints of net capital regulatory and economic capita, analyzes investment bank’s capital configuration principle of net capital and economic capital in different constraints and brings forward the application areas of investment bank economic capital allocation (asset allocation, capital structure optimization and performance evaluation) and the corresponding selection of economic capital measurements.(2) Theory and empirical evidence of investment bank asset allocation and capital structure optimization based on economic capital allocation:〤hapter5builds investment bank asset allocation model under the dual constraints, and based on GARCH-CVaR model and GARCH-VaR model, it makes an empirical study and comparison of China’s listed investment bank’s proprietary asset configuration data; Chapter6using options model, based on the corrected top-down total economic capital measure, establishes three investment bank capital structure optimization model based on economic capital allocation under dynamic state (with or without the consideration of dividend distribution) and static cases, theoretically demonstrates factors that influence overall necessary economic capital (desirable capital structure or net capital), and brings up investment bank’s capital structure optimization strategy under dual constraints, and a case study.Part4is Chapter7, analyzing the external and internal environment construction of Chinese investment banks to carry out economic capital allocation, and comes up with the path of gradual promoting economic capital allocation.The main conclusions of this paper:(1)Owing to the unique asset-liability structure, mark-to-market accounting system and the highly leveraged business characteristics both inside and outside the sheet, modern investment banks bear higher pro-cyclical risks, contain more aggressive culture of risk and are more inclined to occur negative externalities brought by liquidity risk and bankruptcy, compared with commercial banks. And, microeconomic evidences of the aforesaid conclusion could be found in the US five biggest investment banks. In the meantime, as the fundamental effect of the market enhanced in the allocation of the resources and the risk management of problem investment banks in China transformed to marketization, under the mixed businesses competition pressure, reform in interest rate and the further expansion in RMB exchange rate fluctuation, the risk characteristics of Chinese investment banks are gradually similar to the ones in the US. Finally, according to synergetics theories, it holds that the collaborated risk management theory based on the economic capital allocation could constrain the aggressive risk culture in investment banks and such theory can be the standard of leverage degree (from the angle of management and regulation).(2) With the use of3SLS method, the paper empirically analyzes Chinese listed investment banks’capital adjustment and risk taking behaviors restrained by net capital regulation since2008new regulation. The research finds that the listed investment banks operate in accordance with the "risk-capital" matching principle and the net capital regulation is becoming the tight restraint against the operating businesses of investment banks; the design of the indicators in net asset regulation is not reasonable, and although the overall indicators play a positive role in risk management of investment banks, yet the structure indicator is quite opposite to the policy expectations that investment banks with insufficient capital may also increase capital in form of bearing more risks to obtaining higher profit. (3)Although economic capital and net capital are regarded as two different capital restraints of investment bank operations, these two have inherent convergence owing to links with risk. So consistent collaboration and error-correcting mutual study is needed by both the investment bank and the regulation department to make economic capital allocation and net capital allocation regulation play a positive role in investment bank asset allocation, capital structure optimization and performance assessment. Therefore, effective investment bank risk management shield could be constructed by the joint effort.(4) Based on the capital allocation model of investment bank double restraints of the net capital and economic capital, the paper empirically finds that the net capital requirement of the Chinese listed investment banks’self-operated asset is higher than the economic capital requirement; the accounting profit is higher than the economic profit; the allocation method based on GARCH-CVaR model is more effective than the one based on GARCH-VaR model. And these conclusions are conformed to the theoretical analytical conclusion that the economic capital allocation can prevent the investment bank from moral hazard.(5) With the investment bank’s capital structure optimization model based on the economic capital allocation, the paper empirically finds that the total net capital requirement of investment bank in the case is too high and the leverage multiplier too low. This conclusion is also in conformity with the theoretical analytical conclusion that the economic capital allocation can be used for the loose net capital regulation of the investment bank.The main innovation or contribution of the paper:(l)The paper systematically and comprehensively demonstrates the applicability of the investment bank’s economic capital allocation from both the internal risk management and external net capital regulation angles, and attempts to unify these two parts through the synergetics theory into one analytical framework:collaborative risk management of the investment bank based on economic capital allocation. The research finds that economic capital allocation is capable of preventing the relatively higher moral hazard and financial leverage risk of modern investment banks and provides policy reference to the accepted degree of the asset capital regulation, In addition, it can also make up the insufficiency of the investment bank’s asset capital regulation guidelines by the IOSCO and EU which only imply the economic capital thoughts and of related documents lack of systematic demonstration.(2)The paper establishes the economic capital allocation system of the investment bank based on the double restraints of asset capital regulation and economic capital. Furthermore, it analyzes the investment bank’s capital allocation principle of the asset capital and economic capital in different restraint nature and puts forward the application fields of investment bank’s economic capital allocation (asset allocation, capital structural optimization and performance assessment) and the corresponding selection of economic capital measurements.(3)The paper establishes the investment bank’s asset allocation model under double restraints and conduct empirical research by use of the self-operated asset allocation data of the Chinese listed investment bank in which finds that the asset capital requirement of the self-operated asset is higher than the economic capital requirement; accounting profit is higher than the economic profit; the allocation method based on GARCH-CVaR model is more effective than the one based on GARCH-VaR model. And these conclusions can prove the theoretical analysis that the economic capital allocation can prevent the investment bank from moral hazard.(4) using options model, based on the corrected top-down total economic capital measure, this paper establishes three investment bank capital structure optimization model based on economic capital allocation under dynamic state (with or without the consideration of dividend distribution) and static cases, theoretically demonstrates factors that influence overall necessary economic capital (desirable capital structure or net capital), and brings up investment bank’s capital structure optimization strategy, and conducts a case study which shows that the total net capital requirement of investment bank is too high and the leverage multiplier is too low. This laterally proves that the economic capital allocation can be used for the establishment of a reasonable financial leverage degree of investment bank and its loose net capital regulation.The deficiencies and further research direction:In this paper, deficiencies which also show the further directions of research are as follows:(1)Economic capital allocation is an overall risk management tool. The empirical part of the paper, Chapter five, just studies the self-operated businesses’ market risk because of the limited data. Obviously, the risk of investment bank not only comes from market but also from self-operated departments. So, there may be differences between empirical findings and practical situations of investment bank.(2)Chapter six of the paper sets up dynamic models and static models for the capital structure optimization of investment bank based on economic capital allocations, but there is no empirical study for dynamic model. What’s more, the existing demonstration is given merely in form of case study; the samples are not enough and the conclusion is not that convincing.(3)Although the mixed trend affects investment banks and its risk management as mentioned, the research object in this paper is limited to independent investment bank rather than risk management problems of financial group under the mixed operation. For this reason, the research’s application fields are limited.更多还原