商业银行资本工具创新及定价研究

Innovation and Pricing Methods of Commercial Banks' Capital Instrument

资本工具的创新可以拓展银行资本补充渠道和空间,提升银行补充资本的能力,强化银行业的资本约束,增强风险管理水平,推动商业银行业务转型,增强服务实体经济的能力。本文在阐述我国资本工具的应用及创新背景的基础上,通过建立二叉树模型,探讨了我国新型资本工具定价问题并提出相关建议。

The new Basel Capital Accord of 2010 made more stringent requirements on the capital management of commercial banks. In order to improve capital adequacy ratio, state-owned commercial banks of China recently started the innovation of capital instruments, which would improve the ability of banks to replenish capital, enhance the level of risk management, promote the transformation of bank business, improve the service capacity of the national economy. In this paper, based on the technology of financial engineering, pricing methods and innovations on the capital instruments will be discussed by the establishment of a binomial model.