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1、2023/2/13,商业银行管理2,商业银行管理2,商业银行管理2,第一节 银行资本的性质与作用第二节 银行资本的构成第三节 资本充足与银行稳健第四节 资本的筹集与管理,商业银行管理2,第一节 银行资本的性质与作用,商业银行管理2,一、银行面临的各种风险,信用风险汇率风险利率风险经营风险流动性风险犯罪风险,商业银行管理2,二、商业银行资本的多种功能,为银行避免破产提供缓冲余地提供银行的启动资金树立公众对银行的信心，显示银行实力为银行的拓展提供资金保证单个银行增长的长期可持续性,商业银行管理2,第二节 银行资本的构成,商业银行管理2,一、银行资本的类型,1.实收资本2.资本公积3.盈余公积4.未
2、分配利润,5.重估储备6.权益准备金7.次级债务,商业银行管理2,二、巴塞尔协议I对资本构成 的规定,1988年，国际清算银行通过了关于统一国际银行资本衡量和资本标准的巴塞尔协议，规定12个参加国应以国际可比性及一致性为基础制定各自的银行资本标准。商业银行的最低资本由银行资产结构形成的资产风险所决定。,商业银行管理2,巴塞尔协议I的核心思想是：银行最低资本由其资产结构所形成的资产风险决定。最低资本为银行风险总资产的8%，核心资本不低于4%。,商业银行管理2,1.核心资本,（1）股本普通股永久非累积优先股（2）公开储备,商业银行管理2,2.附属资本,（1）未公开储备（2）重估储备（3）普通准备金
3、（4）混合资本工具（5）长期附属债务,商业银行管理2,3.扣除项目,（1）商誉：一种虚拟的无形资产（2）对从事银行业务和金融活动的附属机构的投资,商业银行管理2,1.不同规模银行资本构成的差异,（1）大银行资本构成中股票溢价和未分配利润占有较大比重，其次是银行发行的长期债务和普通股的股票（2）小银行资本的组成更主要地依赖自身的未分配利润，较少从金融市场上获得资本,三、银行规模与资本构成,商业银行管理2,2.我国商业银行的资本构成,（1）核心资本 1）实收资本 2）资本公积 3）盈余公积 4）未分配利润 5）少数股权,商业银行管理2,（2）附属资本 1）重估储备 2）一般准备 3）优先股 4）可
4、转换债券 5）长期次级债务,商业银行管理2,（3）资本的扣除项 1）商誉 2）银行对未合并报表的银行机构的资本投资 3）银行对非自用不动产、非银行金融机构和企业的资本投资,商业银行管理2,第三节 资本充足与银行稳健,商业银行管理2,一、资本与银行倒闭风险,资本规模与银行股东利益之间存在着矛盾。银行资本收益率与资产收益率存在着差异。银行在日常经营中的三种情况见以下三个表格：,商业银行管理2,（A）,商业银行管理2,（B）,商业银行管理2,（C）,商业银行管理2,二、资本充足与银行稳健,1.资本充足率与银行的经营 对商业银行规定的统一的资本充足率在某些情况下可能会误导社会公众和银行的客户。达到资本
5、充足率只是从银行的资产负债的某些侧面反映银行的经营状况，资本充足并不意味着银行没有倒闭的风险。,商业银行管理2,2.公众判断资本充足的辅助标准（美国银行监管当局推荐）,（1）管理质量（2）资产的流动性（3）银行的历史收益（4）银行股东的情况,商业银行管理2,（5）营业费用（6）经营活动的效率（7）存款的变化（8）当地市场行情,商业银行管理2,三、巴塞尔协议II对国际银行业资本充足性的测定,国际银行业统一的资本要求（1）核心资本与风险加权资产的比率不得低于4%。,商业银行管理2,（2）总资本（一级资本与二级资本之和）与风险加权总资产的比率不得低于8%，二级资本最高不得超过一级资本的100%。其中
6、，作为二级资本的次级债务和中期优先股的总额最高不得超过一级资本的50%。按照信用风险标准法的要求，一般准备金可以包括在二级资本中，但是不能超过风险加权资产的1.25%。按内部评级法要求，一般准备金不计入二级资本。,商业银行管理2,2.信用风险加权资产的计算 信用风险加权资产根据信用风险权重违约概率（PD）、违约损失率（LGD）以及违约风险暴露（EAD）计算。（1）标准法：以外部评级机构的评级结果确定风险（2）初级的内部评级法：只估算PD值，LGD值与EAD值由央行制定（3）高级的内部评级法：银行自行估算PD值，LGD值与EAD值（4）资产组合信用风险模型法,商业银行管理2,3.资本充足率的计算
7、（标准法）,商业银行管理2,（1）信用风险加权资产的计算 1）计算表外项目的信用对等额 2）将表内资产及表外资产的信用对等额乘以相应的风险权重 3）将以上两项相加得到信用风险资产的总额,商业银行管理2,*标准法,KTSA指用标准法计算的总资本要求。GI1-8指个产品线中各产品线当年的总收入。指由巴塞尔委员会设定的固定百分数，建立8个产品线中各产品线的总收入与资本要求之间的联系。,商业银行管理2,（3）市场风险的分类 1）利率风险 2）股权头寸风险 3）汇率风险 4）商品风险,商业银行管理2,（4）计算银行的资本充足率 资本充足率=总资本/（信用风险加权 资产+12.5 市场风险要 求的资本额+
8、12.5操作 风险要求的资本额）,商业银行管理2,4.各国银行资本充足情况,商业银行管理2,The New Basel Accord(Basel II)Three pillars:The first Pillar-Minimum Capital Requirements The second pillar-Supervisory Review Process The third pillar-Market discipline,四、新巴塞尔协议核心内容简介,商业银行管理2,Pillar 1-Minimum Capital Requirements,The Basel Committee dis
9、cuses the calculation of the total minimum capital requirements for credit,market and operational risk.The minimum capital requirements are composed of three fundamental elements:a definition of regulatory capital,risk weighted assets and the minimum ratio of capital to risk weighted assets.In calcu
10、lating the capital ratio,the denominator or total risk weighted assets will be determined by multiplying the capital requirements for market risk and operational risk by 12.5(i.e.the reciprocal of the minimum capital ratio of 8%)and adding the resulting figures to the sum of risk-weighted assets com
11、piled for credit risk.The ratio will be calculated in relation to the denominator,using regulatory capital as the numerator.,商业银行管理2,Pillar 2-Supervisory Review Process,Four Key Principles of Supervisory Review:Principle 1:Banks should have a process for assessing their overall capital adequacy in r
12、elation to their risk profile and a strategy for maintaining their capital levels.Principle 2:Supervisors should review and evaluate banks internal capital adequacy assessments and strategies,as well as their ability to monitor and ensure their compliance with regulatory capital ratios.Supervisors s
13、hould take appropriate supervisory action if they are not satisfied with the result of this process.,商业银行管理2,Principle 3:Supervisors should expect banks to operate above the minimum regulatory capital ratios and should have the ability to require banks to hold capital in excess of the minimum.Princi
14、ple 4:Supervisors should seek to intervene at an early stage to prevent capital from falling below the minimum levels required to support the risk characteristics of a particular bank and should require rapid remedial action if capital is not maintained or restored.,商业银行管理2,Pillar 3-Market Disciplin
15、eThe purpose of this pillar is to complement the above two.The Committee aims to encourage market discipline by developing a set of disclosure requirements which will allow market participants to assess key pieces of information on the scope of application,capital,risk exposures,risk assessment proc
16、esses,and hence the capital adequacy of the institution.The Committee believes that such disclosures have particular relevance under the New Accord,where reliance on internal methodologies gives banks more discretion in assessing capital requirements.The Committee believes that providing disclosures
17、 that are based on this common framework is an effective means of informing the market about a banks exposure to those risks and provides a consistent and understandable disclosure framework that enhances comparability.,商业银行管理2,Internal Risk AssessmentThe new agreement represents a revolutionary cha
18、nge in government regulatory philosophy.Banks will be permitted to measure their own risk exposure and determine how much capital they will need to meet that exposure,subject to review by the regulators to make sure those measurements and calculations are“reasonable”.The banks are required to carry
19、out their own repeated stress testing over the course of the business cycle,using a so-called internal-rating-based(IRB)approach,to ensure they are prepared for the possibly damaging impacts of ever-changing market conditions.,商业银行管理2,Operational RiskOne of the key innovations proposed for Basel II
20、is requiring banks to hold capital to deal with operational risk in addition to credit and market risks.This type of risk exposure includes such things as losses from employee fraud,product flows,accounting errors,computer breakdowns,and natural disasters that may damage a banks physical assets and
21、reduce its ability to communicate with its customers.,商业银行管理2,A Dual(Large-Bank,Small-Bank)Set of RulesBasel II is expected to adopt one set of capital rules for the largest multinational banks and another set for smaller banking firms.Regulators are especially concerned that small banks could be ov
22、erwhelmed by the heavy burdens of gathering risk-exposure information and performing complicated risk calculations.The system may lower the capital requirements of many of the largest banks while it could create a competitive disadvantage for small banks.It is expected that smaller banks will be abl
23、e to continue to use simpler and more standardized approached in determining their capital requirements and risk exposures.,商业银行管理2,Remaining Problems of Basel IIFirst,the technology of risk measurement has a long way to go before Basel II is fully implemented.Second,there is complex issue of risk a
24、ggregation.Third,it is difficult to deal with the business cycle.Forth,it is a problem to improve regulator competence.,商业银行管理2,第四节 资本的筹集与管理,商业银行管理2,一、商业银行资本的需要量,影响商业银行资本需要量的因素（1）有关的法律规定（2）宏观经济形势（3）银行的资产负债结构（4）银行的信誉,商业银行管理2,2.银行资本规模的计量,（1）GAAP资本 GAAP=总资产帐面价值-总负债 帐面价值,商业银行管理2,（2）RAP资本RAP资本=股东股权+永久优先股
25、+贷款与租赁损失储备+可转换次级债务+其他,商业银行管理2,（3）MVC资本 MVC=银行资产的市值（MVA）银行负债的市值（MVL）MVC=每股股票的现期价格发行而未偿的股票数量,商业银行管理2,3.银行的最佳资本需要量,商业银行管理2,二、银行的资本计划,指出银行的总体财务目标，管理者要办什么样的银行在上述基础上确定银行资本的需要量3.确定多少资本可通过银行利润从内部产生4.为最低的筹资成本而选择相应的筹资手段,商业银行管理2,三、银行资本的内部筹集,1.银行资本内部融资的限制性条件,（1）内部融资的优点成本较低 避免股权稀释,商业银行管理2,（2）银行资本内部融资的缺点 政府对银行适度资本金的限制 受银行净利润规模的限制 受银行股利分配政策的限制,商业银行管理2,（3）银行的股利分配政策 剩余股利政策 固定股利支付率政策,商业银行管理2,2.银行资产持续增长模型,2023/2/13,商业银行管理2,演讲完毕，谢谢听讲!,再见，see you again,
