摘要
最新公布的巴塞尔协议Ⅲ,要求银行业充分吸取金融危机教训,切实加强信用风险管理。中国银行间市场推出的信用风险缓释工具,具有多项创新价值,发挥了本土市场成功经验。从微观角度,该工具有助于提高信用风险动态管理能力、丰富资本管理手段、支持逆周期管理和灵活平衡集中度;从宏观角度,该工具有助于打造渐进式风险管理机制、强化资本约束并带动市场基础建设。为进一步推进中国信用衍生产品市场发展,建议发挥商业银行的主导作用和非银行机构的辅助作用,完善交易机制、定价机制和会计处理,创新清算机制,并纳入银行自身风险管理流程。
The Basel Ⅲ framework, published in December 2010, enhances rules on bank' s credit risk management requirements. Credit risk mitigation (CRM) instruments, debuting in November 2010, have made several innovations of credit default swaps and inherited the best practices in China' s financial markets. From a micro-perspective, CRM provides individual banks an alternative to manage credit risk dynamically, capital adequacy proactively as well as promoting countercyclical buffers and reducing outsized concentrations. From a macro-perspective, CRM helps financial institutions develop progressive risk management mechanism, strengthen capital constraints and streamline financial infrastructure. In order to further improve China' s credit derivative markets, this paper suggests that banks remain as key participants and non-banking institutions as important supplementary players. A sound trading, pricing and accounting environement is provided, clearing system is innovated, and CRM is managed from a bank-wide risk management perspective.
出处
《投资研究》
CSSCI
北大核心
2011年第7期89-97,共9页
Review of Investment Studies
关键词
巴塞尔协议Ⅲ
信用风险缓释工具
银行风险管理
Basel Ⅲ
Credit Risk Mitigation (CRM) instrument
Bank-wide risk management