商业银行资本充足率的风险信息内容与质量

Contents and Quality of Risk Information of Capital Adequacy Ratio

资本充足率所蕴含的合理风险信息内容包括:(1)在监管资本约束状态下,若商业银行采取了理性的行为反应,资本充足率将与违约概率负相关或至少不相关;(2)在信贷资产快速投放并消耗大量资本基础的情形下,唯有当监管资本的增补速度大于风险加权资产的增速时,资本充足率与违约概率才有其理论上的正相关可能;(3)资本充足率应与银行违约风险负相关。基于此判定标准与推理逻辑,我们以银监会推行巴塞尔II中国化的2004年为起点,以此后上市的主要商业银行为对象,从多维度研究了其资本充足率的风险信息内容及其信息质量的演变规律。研究表明:(1)主要商业银行在2008年之前的资本充足水平与其违约风险指标倾向于负相关,而在2008年之后更倾向于正相关,这隐含说明资本充足率的风险信息质量降低了;(2)城市商业银行资本充足率的风险信息质量似乎弱于主要商业银行。

Logical reasoning indicates that the reasonable contents of risk information contained in capital adequacy ratios include as follows： （1） capital adequacy ratio will be negatively or not correlated with default probability if commercial banks adopt reasonable coping strategies and behavior reactions in face of regulatory capital pressure; （2） under the condition of rapid growth of credit assets which exhausts substantive capital base, capital adequacy ratio will probably be positively correlated with default probability theoretically only when the growth speed of supplementing regulatory capital is faster than that of risk weighted assets; （3） capital adequacy ratio is negatively correlated with credit risks of commercial banks. Based on the above criterions, the paper studies the risk information contents and their dynamic evolution laws of the listed primary commercial banks after China Banking Regulatory Commission carried out the Basel II into China~ banking industry in 2004. The author finds that： （1） the capital adequacy ratio of primary commercial banks was inclined to be negatively correlated with credit risk factors before 2008, but it had changed to be indistinctively positive correlation after 2008, which implied the decrease of risk information quality of capital adequacy ratio; （2） the risk information quality of capital adequacy ratio of city commercial banks is probably weaker than that of primary commercial banks.