信用风险内部评级法下商业银行监管资本套利策略研究——从监管资本公式视角出发

The Strategies of Regulatory Capital Arbitrage under the Internal Rating Approach for Commercial Banks: From the View of the Formula of the Regulatory Capital

为了获得更有效的资本竞争优势,首先从核心定义入手,阐述了新资本协议信用风险内部评级法下商业银行进行监管资本套利的可行性。随后,以信用风险内部评级法监管资本公式为基础,利用数理解析和图形分析等方法,详细分析了监管资本要求(K)与违约概率(PD)、违约损失率(LGD)、有效期限(M)之间的相关性,以及在不同风险暴露中监管资本要求(K)的系统性差异。最后,以数理分析和图形分析结果为基础,提出商业银行应采取积极推进内评应用、优化资产结构、以组合管理模式积极推进微型和小型企业业务发展、提升合格风险缓释品的覆盖比例、设置合规且有效的合格风险缓释拆分规则等策略,实现监管资本套利。

First of all, in order to get more effective advantages of capital competition, this article elabo-rates the practicability to get the regulatory capital arbitrage for banks under IRB of Basel III, starting from the core concept of the regulatory capital. Furthermore, on the basis of the formula of the regulato-ry capital on IRB, this article uses the mathematical and graphical methods to analyze the correlation of regulatory capital (K) with PD, LGD and M, and the systematic differences of K among different expo-sures. At the last, this article suggests that the banks can take the arbitrage strategies, such as pushing forward the uses of the internal rating parameters, optimizing the structure of assets, promoting the mini-enterprises businesses as a portfolio, increasing the coverage ratio of qualified risk mitigations, setting up the compliance and effective split rules of the risk mitigations.