热点关注

系统重要性金融机构监管研究

发布者:系统管理员发布时间:2012-05-28浏览次数:0

雷曼兄弟的破产成为了2008年金融危机的导火索,众多的大型金融机构遭受重大危机,全球金融体系的稳定亦遭受严重威胁,而各国政府为了维持金融稳定相继推出经济恢复的“一揽子”计划,对国家财政造成了重大的负担,也损害了纳税人的利益。甚至,经历了这次金融危机“太大而不能倒”现象并没有得到解决,反而有更加恶化的趋势,为了救助危机中的金融机构,收购和合并使金融业的更加的集中。“大而不倒”问题成为金融监管领域的重点和难点。

根据G20的决定,金融稳定理事会与巴塞尔银行委员会、国际证监会组织、国际保险监督官协会一同推进对系统重要性金融机机监管框架的设计。

系统重要性金融机构问题,主要的研究论点集中于对系统重要性金融机构的识别,相关监管工具的设计和完善,以及对系统重要性机构处置制度的设计;同时,关于系统重要性金融机构的大量文献集中在对“大而不倒”问题的研究。

 

一、系统重要性金融机构监管框架的的相关国际标准:

根据G-20,金融稳定理事会、巴塞尔银行委员会的相关文件,系统重要性金融机构监管框架主要包括:系统重要性金融机构的认定标准,系统重要性金融机构监管的政策建议以及实施方案,系统重要性金融机构的处置建议。

1. FSB, BIS, IMF (2009): Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments Initial Considerations.

2. FSB, BIS, IMF (2009): Guidance to Assess the Systemic Importance of Financial Institutions, Markets and Instruments Initial Considerations—Background Paper.

3. FSB (2010): Reducing the moral hazard posed by systemically important financial institutions.

4. FSB (2010): Intensity and Effectiveness of SIFI Supervision.

5. FSB (2011): Key Attributes of Effective Resolution Regimes for Financial Institutions.

6. IOSCO (2011): Mitigating Systemic Risk - A Role for Securities Regulators.

7. BCBS (2011): Global systemically important banks: Assessment methodology and the additional loss absorbency requirement.

8. BCBS (2011): Assessment of the macroeconomic impact of higher loss absorbency for global systemically important banks.

9. FSB (2011): Understanding Financial Linkages: A Common Data Template for Global Systemically Important Banks(Consultation Paper).

10. FSB (2012): Extending the G-SIFI Framework to domestic systemically important banks.

 

二、关于系统重要性金融机构评估的研究:

作为系统重要性金融机构监管框架的基础,首先必须评估目标金融机构是否具有系统重要性影响,目前BCBS已经发布了全球系统重要性银行的评估方法。对于系统重要性金融机构的评估研究主要集中于评估方法和评估指标两方面。除了BCBS文件中所采用的指标法,研究文献主要集中于对各种市场评估方法的探讨,包括MES、Shapley 值法、CoVaR 法、CDS 价差法、金融网络模型等。对于评估指标的研究主要集中于哪些指标可以反应金融机构的系统重要性,以及如何取得有效、全面地数据资料。

1. Adrian, T and M Brunnermeier,(2011), CoVaR.

2. Bernd Schwaab, Siem Jan Koopman, André Lucas, (2009), Systemic Risk Diagnostics Coincident Indicators and Early Warning Signals.

3. Drehmann M, N Tarashev,(2011), Systemic importance: some simple indicators.

4. Mathias Drehmann, Nikola Tarashev,(2011), Measuring the systemic importance of interconnected banks.

5. Miguel A. Segoviano and Charles Goodhart, (2009), Banking Stability Measures.

6. James B. Thomson,(2009), On Systemically Important Financial Institutions and Progressive Systemic Mitigation.

7. Tarashev N, C Borio, K Tsatsaronis,(2010), Attributing systemic risk to individual institutions. Methodology and policy implications.

8. 徐超,(2011)系统重要性金融机构识别方法综述

 

三、关于系统重要性金融机构监管工具的研究:

目前提出的系统重要性金融机构监管工具主要包括附加资本,应急资本,流动性附加、大额风险暴露限额、金融机构税和结构性措施等,由于这些监管工具之前并没有应用于实践中,因此国际社会对这些工具的作用和效果都尚无结论。

1. Arthur E. Wilmarth Jr., (2012), Narrow Banking:An Overdue Reform that Could Solve the Too-Big-To-Fail Problem and Align U.S. And U.K. Regulation of Financial Conglomerates.

2. Anat R. Admati , Peter M. DeMarzo , Martin F. Hellwig, Paul C. Pfleiderer, (2010) Fallacies, Irrelevant Facts, and Myths in the Discussion of Capital Regulation: Why Bank Equity is not Expensive.

3. Gauthier C, A Lehar and M Souissi, (2010), Macroprudential regulation and systemic capital requirements.

4. George Pennacchi,(2010),A Structural Model of Contingent Bank Capital.

5. Giuseppe De Martino, Massimo Libertucci, Mario Marangoni, Mario Quagliariello, (2010), Countercyclical Contingent Capital (CCC): Possible Use and Ideal Design.

6. Henry Penikas, Yulia Titova, (2012),Modeling Policy Response to Global Systemically Important Banks Regulation.

7. John C. Coffee Jr., (2010), Bail-Ins Versus Bail-Outs: Using Contingent Capital to Mitigate Systemic Risk,

8. John C. Coffee, Jr., (2011), Systemic Risk After Dodd-Frank: Contingent Capital and the Need for Regulatory Strategies Beyond Oversight.

9. Mark J. Flannery, (2009) Stabilizing Large Financial Institutions with Contingent Capital Certificates.

10. Oliver Hart, Luigi Zingales,(2011), A New Capital Regulation for Large Financial Institutions.

11. Wulf A. Kaal, (2012),Initial Reflections on the Possible Application of Contingent Capital in Corporate Governance.

 

四、关于系统重要性金融机构处置制度的研究:

系统重要性金融机构框架另一个方面就是建立有效的处置制度框架,相关的研究文献主要集中于对金融机构的特殊处置制、恢复与处置计划(生前遗嘱)、自救制度、跨境合作、金融机构处置基金等问题的研究。

1. BCBS, (2011), Resolution policies and frameworks-progress so far.

2. GAO, (2011), Complex Financial Institutions and International Coordination Pose Challenges.

3. Stijn Claessens, Richard J. Herring, Dirk Schoenmaker, Kimberly A. Summe, (2010),A Safer World Financial System: Improving the Resolution of Systemic Institutions.

4. FRB, (2011), Study on International Coordination Relating to Bankruptcy Process for Nonbank Financial Institutions.

5. FRB, (2011), Study on the Resolution of Financial Companies under the Bankruptcy Code.

6. Jianping Zhou, Virginia Rutledge, Wouter Bossu, Marc Dobler, Nadege Jassaud, Michael Moore, (2012),From Bail-out to Bail-in: Mandatory Debt Restructuring of Systemic Financial Institutions.

7. Morrison & Foerster, (2011), SIFI Resolutions and Living Wills: The Financial Stability Board Proposal (and some U.S. and UK observations).

8.Morrison & Foerster, (2011), "R&R" the Hard Way-the FSA's Consultation on Recovery and Resolution.

9.Richard J. Herring, (2011), The Central Role of Resolution Policy in Dealing with Systemically Important Financial Institutions.

10. Rodgin Cohen and Morris Goldstein, (2009), The Case for an Orderly Resolution Regime for Systemically-Important Financial Institutions.

11. Roman A. Tomasic, (2011), The Emerging EU Framework for Bank Recovery and Resolution.

12. Sean Hagan and José Viñals, (2010),Resolution of Cross-Border Banks—A Proposed Framework for Enhanced Coordination.

13. Stijn Claessens , Daniela Klingebiel and Luc Laeven, (2011), Resolving Systemic Financial Crises: Policies and Institutions.

 

五、关于“大而不倒”主题的研究:

系统重要性金融机构研究的另一形式就是对“大而不倒”问题的研究。1984年,大陆伊利诺伊斯银行案之后,“大而不倒”问题就已经受到监管部门和学者们的重视,2008年开始的金融危机更加凸显了大型金融机构给整个金融体系可能带来的风险,对于“大而不倒”问题的研究也有了新的进展。

1. Arthur E. Wilmarth Jr., (2011),The Dodd-Frank Act: A Flawed and Inadequate Response to the Too-Big-To-Fail Problem.

2. Irwin Sprague, (1986), Bailout: An Insider's Account of Bank Failures and Rescues.

3. David C. Wheelock, Paul W. Wilson(2011),Do Large Banks have Lower Costs? New Estimates of Returns to Scale for U.S. Banks.

4. FCIC, (2010), Government Rescues of “Too-big-to-Fail” Financial Institutions.

5. Gary H. Stern, Ron J. Feldman,(2009), Addressing TBTF by Shrinking Financial Institutions: An Initial Assessment.

6. James R. Barth, Apanard (Penny) Prabha, and Phillip Swagel: Just How Big Is the Too Big to Fail Problem?

7. Julapa Jagtiani and Elijah Brewer III(2010), How Much Did Banks Pay to Become Too-Big-To-Fail and to Become Systemically Important?

8. Imad A. Moosa,(2010), The Myth of Too Big to Fail.

9. IMF, Discussion staff notes (2011), The Too-Important-to-Fail Conundrum: Impossible to Ignore and Difficult to Resolve.

10. Lawrence A. Cunnigham,(2006),Too Big to Fail: Moral Hazard in Auditing and the Need to Restructure the Industry before It Unravels [comments].

11. María Fabiana Penas, Haluk UnalGains,(2003), Gains in bank mergers: Evidence from the bond markets.

12. Todd A. Gormley, Simon Johnson, Changyong Rhee, (2011), Ending "Too Big To Fail": Government Promises vs. Investor Perceptions.

13. State Secretariat for International Financial Matters SIF,(2010),Commission of Experts submits package of measures to limit "too big to fail" risks.

14. WB, Working paper(2010),Are banks too big to fail or too big to save? International evidence from equity prices and CDS spreads.

copyright © 2011 中国法学会国际经济法学研究会国际金融法专业委员会 all rights reserved.

地址:上海市国定路777号 邮编:200433 E-mail:chifl@yahoo.cn