【作者】 陈强；

【导师】 胡金焱； 王朝弟；

【作者基本信息】 山东大学 ， 金融学， 2014， 博士

【摘要】 中国银行业信用投放的一个突出特点就是向大行业、大项目、大客户和大城市集中。然而,过去几十年来银行业的一次次危机告诉我们,信用集中风险会给银行带来巨大的威胁。随着中国银行业实践与监管的发展,信用集中风险成为银行理论与实务界的重要研究课题。目前,学界对信用集中风险的理论和定性研究较为深入透彻,但对信用集中的实证和定量研究,虽然在国际上非常广泛,但在中国国内刚刚起步。随着中国银行业风险管理技术的发展和新资本协议实施的数据积累,国内初步具备了定量探索信用集中风险的基础,但目前看来,掌握了信用集中风险量化技术的只有工商银行、交通银行少数几家银行。本文首先回顾了国内外在该领域内的研究成果,相关成果证明了本文研究的理论基础并为本文的量化实证提供了方法支持。在此基础上,本文构建信用集中指数(HHI),识别中国银行业信用集中风险水平、差异和变化,从理论上分析了信用集中风险的内生机制,并基于莫顿理论构建信用集中风险模型。得益于本人从事的风险管理实务工作,本文基于中国最大的、最具代表性的中国工商银行真实的表内表外全组合数据,实证研究信用集中的风险量及在信用集中风险管控中的应用。全文按照风险识别、分析、计量、控制展开,分为四个部分：第一部分识别中国银行业信用集中风险情况。编制中国银行业的信用集中指数来分析信用集中风险,指出伴随2009年四万亿投资,中国银行业的信用集中风险有所上升,从世界前三大经济体看,中国最严重。收集中国25家银行、覆盖77%的公司信用敞口,从性质类型、敞口规模、分支机构数量三个维度,分类比较信用集中风险的差异,发现公司信用规模在5000亿元以下的小银行和在局部区域发展的银行,信用集中风险更为突出。通过计量经济分析,说明对中国银行业信用集中风险变化与房地产投资、直接融资变化的关系。第二部分分析中国银行业信用集中风险内生机制。中国银行业基层经营实体在同业竞争压力下,争夺“同业占比第一”存在典型的羊群行为。在描述信用集中风险主体行为的基础上,做了数理建模,应用行为金融理论解释了在“仅存竞争”和更贴近现实的“合作竞争”环境下,非领先银行的“追随策略”和领先银行的“追加策略”,最终形成了信用集中风险。第三部分量化中国银行业信用集中风险。根据中国银行业实际,优化基于莫顿理论的信用集中风险量化模型,分别获得中国主板、中小企创业板资产相关性,并结合新资本协议调整。基于中国最大银行真实的全组合信用风险敞口,得到信用集中风险资本占用增加7.3%,各行业借款人间的相关系数在22%到30%,平均26%,符合国际经验。第四部分提出中国银行业信用集中风险管控建议。信用集中风险量化结果应用于日常的行业限额总量控制,在全行范围内配置单笔信用,压力测试前瞻性的综合评估银行面临的信用集中风险,补充日常风险管理的不足。采用银团贷款分散单一银行的信用集中风险,发行直接融资工具替代银行业的信用投放,开展信贷资产证券盘活、转移银行业的存量信用集中风险。监管当局要对单一银行坚持并丰富敞口比例基础监管,加快推进大型银行的内部资本充足评估程序与监督检查,中国银行业信用集中风险资本充足率加点应不低于0.3%1。本文研究的创新之处在于：一是编制HHI指数识别中国银行业信用集中风险趋势,并做国际比较,选取25家样本银行、覆盖77%的中国公司信用敞口,揭示公司敞口大于5000亿与小于5000亿银行、遍布城乡型与省域型银行信用集中风险的差异；二是基于HHI指数,实证了非金融企业债券融资、全社会房地产住宅投资额增速与信用集中风险变化的计量经济关系；三是提出并分析了国有银行“同业占比第一”之争存在的羊群行为；四是将中国资本市场的资产相关性更有效的与中国银行业的信用组合相契合,优化了莫顿模型,解决了银行信用组合中大部分是小型企业的问题,并应用中国最大银行全样本数据,得到了中国银行业信用集中风险的经验数据。本文研究的不足在于：一是由于中国信用违约数据积累不充分,没有基于中国信用违约数据实证信用集中风险,来校正本文量化结果的研究结论；二、由于计算量的原因,没有研究中国行业资产相关性的时间变化规律,得到的结果可能不够全面；三、由于无法获得其他银行内部的信用组合风险信息,没有实证比较中小银行的信用集中风险经济资本占用。更多还原

【Abstract】 One of the key characteristics of the credit supply in Chinese banking industry is the concentration on large obligors, big sectors, important projects and central cities. This characteristic is getting more and more attention both in practice and in academics since the experience from the past banking crises tells us that credit concentration could threat the stability of the banking industry. Although there have been many studies on this issue, most of the studies are qualitative in nature. With the development of risk management techniques and applications of the New Basel Accord, the quantitative study on credit concentration is getting popular.Benefited from my work experience on bank’s risk management, by resorting to both balance sheet and off-balance sheet data of the ICBC, one of the largest and representative banks in China, this paper empirically studies the degree, reasons, risks and management of the credit concentration. Furthermore, this paper develops a credit concentration risk model based on the Merton method, and examines the impacts of credit concentration. The structure of this paper is as follows:Part I examines the current status, especially the risks of the credit concentration. Using the collected credit data, this part calculates the HHI to measure and compare the difference in the degree of the credit concentration across bank types, exposure scales and the number of branches. From2005to2008, on average, the HHI of Chinese banking industry grew up and then decreased to its lowest level. Partly due to the RMB4trillion investment in2009, the HHI of Chinese banking industry increased again, albeit gradually. Small and regional banks have a higher HHI, indicating the more concentrated credit. Based on the HHI and through VEM methodology, this part also tests that the granger causality of the HHI in non-financial enterprises bonds issuance and the real estate investment.Part II explains the credit concentration risk mechanism of Chinese banking industry. The intensive competition in Chinese banking industry leads to perverse practices, such as the vicious competitative cost cutting and the exclusive competition. The resulting competitor following strategy of the lagging banks is the internal reason of credit concentration. Based on the Herd Behaviors theory, this part theoretizes the competitor following strategy into two models the exclusive competition model and the corporation competition model.Part III quantifies credit concentration risk of Chinese banking industry. Based on the Merton theory, this part empirically calculates the asset correlations of13industries of Chinese publicly listed companies; the calculations are then used in Monte-carlo simulation for calculating the changes in capital requirements due to the concentration risks. The results show that the total and sub-industry credit concentration risk capitals need to increase7.3%. Obligor correlations range from22%to30%, with an average of26%which is consistent with the international experience..Part IV suggests credit concentration risk control of Chinese banking industry. Banks should enhance credit concentration risk control. Quantitative results can be used in industry credit policy making and loan RAROC decision, as well as stress testing. Syndicated loan may diversify credit concentration risk among banks. The credit asset securitization may diversify credit concentration risk among whole society. Supervisory administrations should insist the exposure limitation supervision and add new indicators such as one industry or off-balance sheet credit limitation. The Internal Capital Adequacy Assessment Program should be applied to all large banks. According to this paper’s findings,0.3%capital adequacy ratio is the minimum requirement threshold for dealing with the credit concentration risk.更多还原