监管资本的适度性研究——基于我国上市银行的实证分析
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财经研究 2009 年 第 35 卷第 02 期, 页码：66 - 76
摘要
参考文献
摘要
既有文献大都研究银行资本监管的有效性,而对监管资本的适度性则关注不够。为此,文章提出了一种能体现银行实际风险水平的经济资本测度方法,它反映了银行应该持有的资本数量,通过对经济资本与监管资本(银行实际持有资本)的比较,能够判断商业银行监管资本的适度性。对我国14家上市银行的实证研究发现,我国上市银行虽然满足了法定最低监管资本要求,但总体来讲,监管资本仍不足以缓释银行的实际风险。
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[4]吴栋,周建平.资本要求和商业银行行为:中国大中型商业银行的实证分析[J].金融研究,2006,(8):144.153.
[5]朱建武.监管压力下的中小银行资本与风险调整行为分析[J].当代财经,2006,(1):65.70.
[6]Agggrwal R,KJacques.Si multaneous equation of thei mpact of prompt corrective of bank cap.ital and risk[R].Federal Reserve Bank of New York,Conference Volume,1998.
[7]Basel Committee on Banking Supervision.Credit risk modeling:Current practices and applications[Z].Basle,Switzerland:Bank for International Settlements,1999.
[8]Black F,Scholes M.The pricing of options and corporate liabilities[J].Journal of Po.litical Economy,1973,81:637.659.
[9]Blum Jurg Do.Capital adequacy requirements reduce risks in banking[J].Journal of Banking and Finance,1999,23(5):755.771.
[10]Dothan U,J Williams.Banks,bankruptcy,and public regulation[J].Journal of bank.ing and finance,1980,4:65.68.
[11]Duan J C.Maxi mumlikelihood esti mation using price data of the derivative contract[J].Mathematical Finance,1994,4:155.167.
[12]Jacques K,P Nigro.Risk.based capital,portfolio risk,and banks capital:Asi multaneous e.quations approach[J].Journal of Economics and Business,1997,49(6):533.547.
[13]Keeley MC,F T Furlong.Areexamination of mean.variance analysis of bank capital regulation[J].Journal of Banking and Finance,1990,14(1):69.84.
[14]Ki m D,A M Santomero.Risk in banking and capital regulation[J].Journal of Fi.nance,1988,43(5):1219.1233.
[15]Koehn M,A MSantomero.Regulation of bank capital and portfolio risk[J].Journal of Finance,1980,35:1235.1250.
[16]Kupiec Paul H.Capital allocation for portfolio credit risk[R].FDIC Center for Finan.cial Research Working Paper,2006.
[17]Merton Robert.On the pricing of corporate debt:The risk structure of interest rates[J].The Journal of Finance,1974,29:449.470.
[18]Merton R.An analytical derivation of the cost of deposit insurance andloan guarantees[J].Journal of Banking and Finance,1977,1:3.11.
[19]Ri me B.Capital requirements and bank behaviors:Empirical evidence for switzerland[J].Journal of Banking and Fiannce,2001,25:789.805.
[20]Rochet Jean.Charles.Capital requirements and the behaviour of commercial banks[J].European Economic Review,1992,36(5):1137.1178.
[21]Ronn E I,A K Verma.Pricing risk.adjusted deposit insurance:An option.based model[J].Journal of Finance,1986,41:871.895.
[22]Shrecves R,D Aahl.The relationship between risk and capital in commercial banks[J].Journal of Banking and Finance,1992,16:439.457.
[23]Van Hoose David.Theories of bank behavior under capital regulation[J].Journal of Banking and Finance,2007,31(12):3680.3697.
[24]Yu Min Teh.Measuring fair capital adequacy holdings for banks:The case of Tai wan[J].Global Finance Journal,1996,7(2):239.252
引用本文
杨继光, 刘海龙. 监管资本的适度性研究——基于我国上市银行的实证分析[J]. 财经研究, 2009, 35(2): 66–76.
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