【作者】 初彦波；

【导师】 赵进文；

【作者基本信息】 东北财经大学 ， 金融学， 2013， 博士

【摘要】 商业银行是经营货币与信用的特殊企业,在经营过程中面临着信用风险、市场风险、利率风险、汇率风险、操作风险等多种风险。随着现代经济的快速发展,除存贷款和结算等传统业务以外,各种复杂的金融衍生工具和衍生品层出不穷,金融风险的特征也发生着深刻变化。20世纪以来,由于风险管控不利导致银行破产情况时有发生,而银行破产对经济的巨大破坏与冲击,使人们越来越重视对银行风险的防范和管理,1988年《巴塞尔协议》的诞生,使得世界范围内,在衡量与管控银行风险方面有了一定的规制与要求。此后,随着该协议的不断改进与完善,各国在银行监管措施方法上也有了进一步的发展与创新。改革开放以来,我国经济发生了日新月异的变化,银行业也随着宏观经济的不断发展,在规模、质量、产品和服务上有了质的飞跃,银行与证券、银行与保险、银行与信托等机构的合作越来越密切,业务之间的相互交叉点越来越多,银行业所面临的风险也更加复杂多样。特别是近几年来,随着我国房地产市场的快速发展和城市公共基础设施的大规模建设,银行向房地产开发企业和政府融资平台公司投放了大量的贷款,房地产行业贷款与政府融资平台贷款的急剧增加,使得银行风险进一步积聚。众所周知,经济快速发展时期,社会对资金的需求往往更加强烈,在目前金融仍处于垄断行业的前提下,民间借贷、非法集资和影子银行等银行外部金融活动产生的风险正逐步向银行渗透和传染。从银行自身经营管理方面看,部分机构追求即期利润,忽视远期风险；注重规模、数量,疏于风险管控的经营理念也使商业银行面临很大的潜在风险。因此,采用什么样的风险评估方法才能更加科学的测度与衡量商业银行的实际风险程度,并据此采取有针对性的监管措施,从而有效防范金融风险是各国银行监管当局所面临的重大课题。无论国内还是国外,过往经验均表明,定期对商业银行进行整体风险评估,并根据风险等级不同,采取有针对性的监管措施不失为一种科学适用的监管方法,实践中也得到了各国银行监管当局的普遍性认可。目前,我国银行监管当局采取的是借鉴国际主流评级方法,并根据我国银行业实际情况进行了修改和完善的具有中国特色的适用于在中华人民共和国境内包括中资商业银行、外资独资银行和中外合资银行在内的所有商业银行法人机构的CAMELS+的监管评级体系,以及适用于股份制商业银行分支机构的ROCA+S评级体系。但相对而言,我国银行业监管评级工作仍处于起步和探索阶段,监管评级体系还存在很多不完善之处。近年来的监管实践表明,监管评级在监管当局制定监管措施,明确监管重点方面有着非常重要的作用,但从监管评级方法、手段以及参照要素指标等方面看,仍有进一步修改和完善的必要。就银行评级方法而言,过往更多的是介绍一些适用于银行本身对信用风险和市场风险等方面进行判别的手段方法和度量模型,并据此提出改进和完善的相关建议。但辩证唯物主义告诉我们,任何单方面的分析都具有一定的主观性、片面性和局限性,多维度来考量和评判才能更全面客观的反映事物的本质,从而更有助于分析和解决问题。基于此,本文从银行外部视角出发,结合作者从事的银行监管实践,对目前监管当局使用的监管评级方法进行了深入研究,并就国际上主流的银行监管评级方法进行了分析和对比。指出目前我国银行监管评级中存在的不足与缺陷,并据此提出了修改和完善的合理化建议。全文共分七章,各章的主要内容与结构安排如下：第一章是绪论。主要对选题意义与背景进行了简要介绍,对国内外有关评级的研究文献进行了回顾,并就研究思路和文章结构安排予以说明。鉴于目前国内有关评级方面的研究相对很少,现有的研究也均建立在国外研究基础上的,所以本章重点对国外相关研究文献进行了综述。第二章是银行风险与监管。监管的前提是银行风险的客观存在,所以该章对银行风险内涵、分类、特征以及宏观与微观层面上银行风险生成的机理进行了介绍,并就全面风险管理的内涵、特征和数理化核心技术方面进行了论述,对我国商业银行面临的风险现状进行了总结。第三章是银行监管与评级。具体介绍了银行监管理论、内涵、监管的主要内容、监管原则和监管方法。并简要回顾了评级的发展历程,对评级作用和局限性进行了阐述,介绍了标准普尔、穆迪和惠誉三家世界上最大评级公司的评级方法、过程。对银行监管评级理论、分类和作用进行了概述,并对国内外主要银行应用的评级体系进行了对比分析。最后,对我国监管当局使用监管评级规制进行了简要说明。对中诚信国际与大公国际等两家国内较大的评级公司及其评级方法也进行了简要介绍。第四章是银行监管评级体系构建。该章对银行监管评级进行了全面深入的研究,从评级的原理、理论基础入手,详细介绍了监管评级的分类以及各国金融监管当局使用的监管评级方法,并就目前各国银行业内部评级方法进行了系统性的研究。提出了对我国银行监管评级体系的具体改进建议。第五章是监管评级实证研究。该章运用美国运筹学家T. L. Saaty教授创建的多层次分析法(AHP),结合目前监管当局监管使用的ROCA+S评级体系,构建多变量层次结构模型,确定各要素层次的总、分矩阵并通过C.R检验,计算出最后监管评级结果。实证结果表明,该模型有助于监管当局更加客观的评估商业银行风险水平。第六章是案例分析。以某全国性股份制商业银行分支机构年度监管评级为实际案例,详细介绍了监管当局对股份制商业银行分支机构年度监管评级的方法、内容、评分规则。从风险管理、营运控制、合规性、资产质量和总行支持度等几个方面对该机构进行评级打分,并确定其最终的评级等次。并就等级评定后采取的不同监管措施以及被评级机构作出的反映进行了阐述。第七章是结论。对本文的研究内容进行了总结概括,指出了本文研究的不足之处以及进一步的研究方向。与过往银行监管评级文章相比,本文有以下几个特点：一、鉴于我国商业银行监管评级工作起步较晚,该领域的相关研究较少。因此,本文就该领域进行了尝试性的探讨和研究,并力图构建更加科学合理的监管评级体系,为今后进一步的研究提供一定的参考与借鉴。二、构建多变量实证模型,变量选择全面客观,较以往的实证分析更加全面深入。三、以监管评级的实际案例作为分析对象,使得分析具有实际参考和借鉴意义。更多还原

【Abstract】 The commercial bank is such a special enterprise which operates the money and credit and would face to credit risk, market risk, rate risk, exchange risk and operation risk during the operation time. Along with the rapid development of the modern economic, expect the general business like the deposit and loan and the settlement, there are a series complicated financial derivative tools and financial derivatives coming out, so as the characters of the finance risk has changed deeply. From the beginning of20century, due to the failure of the risk control the bankrupt of the banks occurred a lot, and shocked the economic deeply. So people has attached more and more importance to the control and administration of the bank risk. From the born of Basel Agreement in1988, there was a assured regular and requirement for the measurement and control for the bank risk. After that, along with the continuous improvement of this agreement, all of the countries has developed and innovated the method of the banking supervision.From the beginning of the reforming and opening up, the economics of China had a rapid change. And the bank industry also developed along with the economics, which had a full range of blooming in the scope, the quality, the production and the service.the cooperation between the bank industry and the securities industry, the insure industry and the trust industry have become more and more closed. There are more and more junctions among those businesses. So the risk that the bank industry faces has become more and more complicated. Especially in the recent years, along with the rapid development of the house market of our country and the large-scale construction of the urban public infrastructure, the bank industry has loaned a huge number of money to the estate development companies and the government finance platform companies. So the loan of the real estate industry and government finance platform has increased rapidly. For the reason mentioned above, the bank risk cumulated more and more. For the generally knowing, during the time of the rapid development of the economic, the society demands the capital stronger. And under the pre-condition of the monopolization of the finance industry, the out-bank finance activities like Private lending, illegal fund collection and shadow bank are all infecting and infiltrating into the bank industry. From the subject of the operation and administration of the bank itself, parts of the institutions are pursuing the current benefit and ignoring the long-term benefit. In the meantime, there is a huge potential risk for the commercial bank due to the operation idea of valuing of the scope and quantity and ignoring of the control of the risk. For this reason, it is a very important subject for the banking supervision authorities of all of the countries that to choose what kind of risk evaluation method to measure the real risk level of the commercial bank more scientifically so as to implement niche targeting regulatory measures.No matter internal or external, according the past experience, it is a scientific and reasonable supervision method that evaluating the overall risk of the commercial bank regularly, and then taking niche targeting regulatory measures according the different level of risk, which has achieved the approbation from each of the banking supervision authorities in the practice.In the current time, our bank supervision authority use the CMMELS+supervisory grading system, which is such a supervisory grading system available in People’s Republic Of China with the special character of China, including China-capital commercial bank, foreign-capital bank and Sino-foreign joint bank, utilizing the international major grading method and adjusted and improved according the real situation of the bank industry in our country. And our bank supervision authority also uses the ROCA+grading system which is available for the joint-stock commercial bank branch. On the contrary, the banking supervisory grading work in our country is still in the period of starting and researching. So there are lots of defects in the supervisory grading system.In the practice of the recent years, the supervisory grading system played a very important role in the subject of designing supervision measures and making clear the key point of the supervision. But according the subjects of supervisory grading methods and measures and the reference factor index, there is still necessary to adjust and improve.For the bank grading method, we introduced too much methods and measuring model which are available for the bank itself to identity the credit risk and market risk in the past. And based on those methods and measuring model we submitted the advisement to improve. But according the dialectical materialism, all of the single side analysis are subjective, one-sidedness and circumscribed. Only the measuring and judging from multiple sides could reflect the nature more all-sided and objective, so as to help to analyze and solve the problem.Based on the subjects mentioned above and combined the banking supervision practice of the writer, the writer discussed the current supervisory grading method used by the supervision authority and analyzed and compared the popular banking supervisory grading methods in the world.and then, the writer pointed out the deficiencies in the banking supervisory grading in our country.and according this, the writer provided the adjusting and completing advice for it. This paper contains seven sectors. The major concept and structure of this paper shows below:Chapter One is the introduction. In this chapter, the writer introduced the meaning of this subject and the background, and then explained the researching train of thought and the structure of this paper. Whereas the current situation that there is only a few of the research about the grading sector internal and the current research are all based on the external research, this paper would focus on the summarize of the external related research documents.Chapter Two is about the bank risk and administration.the objective reality of the bank risk is the premise of the banking supervision. So, this paper would introduce the concept, classification, character of the bank risk and the naissance theory of the bank risk on the macro and micro level. And then, the writer would discuss the concept, character and mathematics nucleus technology sector of the overall risk administration.Chapter Three is about the banking supervision and grading.In this chapter, the writer introduced the theory and concept of the banking supervision, the major content of the supervision, the principle of the supervision and the method of the supervision. The writer reviewed the developing history of the supervisory grading briefly. And then, the writer expounded the function and limitations of the supervisory grading. After that, the writer introduced the supervisory grading method and procedure of the three biggest grading company in the world which are Standard and Poor’s Corporation, Moody’s Company and Fitch. The writer summarized the theory, classification and function of the banking supervisory grading and compared and analyzed the current supervisory grading system in the internal and external major bank. At the end of this chapter, the writer made a brief about the current supervisory grading regulation in Chinese supervision authority. And then, the writer made a brief about Fidelity Financial International and Emirates International and their supervisory grading methods.Chapter Four is about the research of the banking supervisory grading system. In this chapter, the writer made a deep research about the banking supervisory grading system. And then, the writer introduced the classification of the supervisory grading detailed and the supervisory grading methods of each countries’finance supervision authority on the base of the original theory of supervisory grading. At the end of this chapter, the writer researched the internal grading method of each countries’ bank industry systemically.Chapter Five is about the empirical analysis of the supervisory grading.In this chapter, the writer used analytic hierarchy process (AHP) established by USA opsearch expert T.L.Sssty, combined with the current ROCA+S grading system of the supervision authority using, confirmed the global matrix and sub-matrix, and then calculated the final supervisory grading result by C.R test. The demonstration result reflected the fact that this model is helpful for the supervision against the commercial bank by the supervision authority.Chapter Six is the case study. In this chapter, the writer took the annual supervisory grading of one of the nationwide joint-stock commercial bank branch as the real case, to introduce the annual supervisory grading method, content and rating regulation of the joint-stock commercial bank branch by the supervision authority. The writer would give a mark and grade from several sectors of risk administration, operation control, compliance, the capital quality and the degree of the support from the head office, and then confirm the final graded level. After that, the writer would expound various supervision measure and the reaction of the supervised institutions after the confirm of the grading level.Chapter Seven is the conclusion.In this chapter, the writer concluded the content of this research and pointed out the deficiencies of this research and the direction of this research.Comparing the preterit bank industry grading papers, this paper shows several characters listed below:I The character of the research based on the supervisory grading method. This is different from the preterit internal research about the commercial internal grading and the independent third party grading.II The character of choosing different supervisory indexes as the mathematic analyzing index from the supervisory sector and making the research more closed to the reality by taking the real supervisory data. This character is beneficial for the comparing and analyzing on the level of theory and practice, which is helpful to avoid the disjointing between the theory and the reality, so as to be more useful for the real work of the banking supervision work.Ⅲ Most of the preterit research are staying on the level of theory. But in this paper, the writer took the real supervisory grading case as the analyzing subject. So the analysis became more intuitionistic and the result became more believable.更多还原