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1、 第20章 资本充足率 资本的功能资本的功能以足够的能力化解非预期损失，以激励公众的信心，并使金融机构能够持续经营下去；在遭遇破产清算时，向未保险储户，债券持有者和债权人提供保护；保护金融机构保险基金以及纳税人使金融机构所有者不必缴纳更多的保险费为金融行业及其它实际投资提供资金，以确保能够提供金融服务资本的定义资本的定义v从会计学的角度，资本被定义为总资产与总负债的账面价值之差；v从经济学的角度，资本，即所有者权益，被定义为总资产与总负债的市场价值之差，又称净值；v从监管者的角度，对资本及相关资本比率的规定大多取账面或历史价值资本的市场价值资本的市场价值v资本的市场价值与信用风险与利率风险资产
2、负债表的市场价值，能从经济含义上准确反映净值状况及金融机构的清偿力净值比例越高，债权人受保护程度越高资本的账面价值资本的账面价值资本的账面价值主要构成股票面值：发行普通股的票面价值乘以发行在外的股数；股票溢价：公众为普通股所付价格与股票面值之差；留存收益：未支付股息的过去累积盈余，此收益可以以股利形式发放，属于所有者权益；贷款损失准备：特殊准备以弥补预期或实际的贷款损失v资本的账面价值与信用风险历史成本计价金融机构对贷款损失确认时间有较大的自由决策权v资本的账面价值与利率风险账面值记账反映初始购买成本对利率变动引起的影响，没有反映市场价值与账面价值之间的差异市场价值与账面价值之间的差异v利率的
3、波动性 利率变动越大，两者差异越大v核查与法规的执行力度 现场及事后检查越频繁，对坏账冲销的标准越严格，两者差异越小反对市场价值原则的原因反对市场价值原则的原因v实施难度大v给金融机构净值带来的不必要的波动v金融机构不愿面对持有长期资产的风险商业银行资本充足率商业银行资本充足率v资本资产比 (杠杆比) L = 核心资本/资产5个目标区间限期整改措施杠杆比实施时面临的问题杠杆比实施时面临的问题v市场价值 Market value: may not be adequately reflected by leverage ratiov资产风险 Asset risk: ratio fails to r
4、eflect differences in credit and interest rate risksv表外业务Off-balance-sheet activities: escape capital requirements in spite of attendant risks巴塞尔协议巴塞尔协议v1993年巴塞尔协议明确将各种资产（包括表内表外）所具有的不同信用风险，纳入资本充足率计算；v新巴塞尔协议补充改进，并确定考虑操作风险New Basel Accord (Basel II)vPillar 1: Credit, market, and operational risksvCred
5、it risk: Standardized approachInternal Rating Based (IRB)vMarket Risk -UnchangedvOperational:Basic IndicatorStandardizedAdvanced Measurement ApproachesBasel II continuedvPillar 2Specifies importance of regulatory reviewvPillar 3Specifies detailed guidance on disclosure of capital structure, risk exp
6、osure and capital adequacy of banks风险资本比率风险资本比率vBasle I AgreementEnforced alongside traditional leverage ratioMinimum requirement of 8% total capital (Tier I core plus Tier II supplementary capital) to risk-adjusted assets ratio.Also requires, Tier I (core) capital ratio = Core capital (Tier I) / Ri
7、sk-adjusted 4%.Crudely mark to market on- and off-balance sheet positions.风险资本比率的计算风险资本比率的计算v一级（核心）资本包括:普通股账面值，加上永久（无到期日）优先股，加上银行在附属机构持有的少数权益，减去商誉.v二级资本包括:一系列的次级资本来源。包括银行贷款损失准备（最高限额为风险调整资产的1.25%）以及一定限额的各种可转换债务工具和附属债务工具。 信用风险调整资产: 风险调整资产= 表内风险调整资产项目+表外风险调整资产项目Risk-adjusted on-balance-sheet assetsAsse
8、ts assigned to one of four categories of credit risk exposure.（0%,20%，50%，100%）Risk-adjusted value of on-balance-sheet assets equals the weighted sum of the book values of the assets, where weights correspond to the risk category.Calculating Risk-based Capital Ratios under Basel IIvBasel I criticize
9、d since individual risk weights depend on broad borrower categoriesAll corporate borrowers in 100% risk categoryvBasle II widens differentiation of credit risksRefined to incorporate credit rating agency assessmentsAssets assigned to one of four categories of credit risk exposure.（0%,20%，50%，100%，15
10、0%）表外业务的信用风险调整价值表外业务的信用风险调整价值信用等值额，即与表内业务信用风险等值的金额担保类合约及或有合约等表外业务信用风险调整资产价值Conversion factors used to convert into credit equivalent amountsamounts equivalent to an on-balance-sheet item. Conversion factors used depend on the guaranty type.Two-step process:表外业务面值乘以转换系数，计算出信用等值额.以相应的风险权重乘以信用等值额 (相应风险
11、权重取决于交易对手是谁)表外衍生或市场合约的信用风险调整资产价值： 交易对手的信用风险Basically a two-step process:Conversion factor used to convert to credit equivalent amounts.Second, multiply credit equivalent amounts by appropriate risk weights.衍生工具的信用等值额衍生工具的信用等值额Credit equivalent amount of OBS derivative security items = Potential expo
12、sure + Current exposure潜在风险：反映合约对手将来违约的信用风险现有风险：反映交易对手目前违约时进行合约替换的成本。Risk-adjusted asset value of OBS market contracts = Total credit equivalent amount risk weight.Interest Rate Risk, Market Risk, and Risk-based CapitalvRisk-based capital ratio is adequate as long as the bank is not exposed to:undue
13、 interest rate riskmarket riskOperational Risk and Risk-Based Capitalv2001 Proposed amendmentsAdd-on for operational riskvBasic Indicator ApproachGross income = Net interest Income + Noninterest incomeOperational capital = Gross incomeTop-down. Too aggregative.Operational Risk and Risk-Based Capital
14、vStandardized Approach Eight major business units and lines of businessCapital charge computed by multiplying a weight, , for each line, by the indicator set for each line, then summing.Operational Risk and Risk-Based CapitalvAdvanced Measurement Approaches:Three broad categories: Internal Measureme
15、nt Approach (IMA) Loss Distribution Approach (LDA) Scorecard Approach (SA).对风险资本比的批评对风险资本比的批评风险权重导致存款机构有可能降低风险级别高的贷款以外部信用评级机构为基础的风险权重资产组合的特点Capital Requirements for Other FIsvSecurities firmsBroker-dealers: Net worth / total assets ratio must be no less than 2% calculated on a day-to-day market valu
16、e basis. Capital Requirements (contd)vLife insuranceC1 = Asset riskC2 = Insurance riskC3 = Interest rate riskC4 = Business riskCapital Requirements (contd)vRisk-based capital measure for life insurance companies:RBC = (C1 + C3)2 + C22 1/2 + C4If (Total surplus and capital) / (RBC) 1.0, then subject to regulatory scrutiny.Capital Requirements (contd)vProperty and Casualty insurance companiessimilar to life insurance capital requirements.Six (instead of four) risk categories
