摘要
2016年1月1日,我国保险业开始实施"偿二代",其第8号信用风险监管规则对包括商业银行在内的保险公司交易对手的信用风险进行了最低资本设定,规则的核心是针对不同类别的交易对手设定不同的基础因子。本文希望检验不同类别商业银行的信用风险差异是否足够大,以至使保险公司最低资本要求的基础因子需要不同。为此,本文首先利用KMV模型计算了反映不同类型上市商业银行信用风险大小的违约距离,将计算结果与第8号监管规则中的规定进行对比,之后再结合对我国银行监管财务指标体系的分析进一步加强了结论:按照国有商业银行、股份制商业银行、城市商业银行进行分类,并赋值不同基础因子的信用风险最低资本计算方法值得商榷。
From January 2016, the C-ROSS came into effect. In the No. 8 regulatory rule,the CIRC takes counterparty default risk into consideration and sets different credit risk minimum capital requirements. The core of the rule was to set different basic factors for different categories of counterparties. We attempted to test whether the difference of credit risks of commercial banks was large enough so that the basic factors of the minimum capital requirement The paper reached the conclusion that the method of setting credit risk factors according to the classification of stateowned commercial banks, city commercial banks and shareholding commercial banks was worth discussing.
出处
《保险研究》
CSSCI
北大核心
2016年第8期16-29,共14页
Insurance Studies