新巴塞尔协议Ⅲ市场风险标准法实施对商业银行的影响研究

Impact of Implementation of New Basel III Market Risk Standard on Commercial Banks

新巴塞尔协议Ⅲ市场风险标准法对市场风险资本计量逻辑进行了颠覆性修订,为了解其对商业银行的影响,对其计量逻辑和难点进行了分析,并基于假设的投资组合对新旧标准法进行了测算,分析得出市场风险新标准法的实施将大幅提升商业银行市场风险资本计提水平。同时,对市场风险识别、计量、系统、限额等管理也提出了更高要求,建议相关银行结合市场风险新标准法资本计提要求加快业务结构调整,包括不限于适当提高交易账簿利率债投资占比,适当降低信用债中高风险权重债券占比,控制单边期权、单边贵金属交易业务规模等,促进提升资本利用效率。同时,建议商业银行以新巴Ⅲ实施为契机,全面提升市场风险计量和管理水平,为市场风险业务发展奠定基础。

The New Basel III Market Risk Standard has made revolutionary revisions to the measurement logic of market risk capital.In order to understand its impact on commercial banks,its measurement logic and challenges are mainly analyzed.Based on assumed investment portfolios,calculation comparing the new and old standards is conducted.It is concluded that the implementation of the new market risk standard will significantly increase the level of market risk capital provision for commercial banks.It also makes higher requirements for market risk identification,measurement,systems,and limits management.It is recommended that relevant banks expedite business restructuring in line with the capital provisioning requirements of the new market risk standard.This may include,but is not limited to,appropriately increasing the proportion of interest rate bond investment in trading books,reducing the proportion of high-risk weighted bonds in credit bonds,and controlling the scale of unilateral traded options and unilateral precious metal trading businesses.These actions will promote the improvement of capital utilization efficiency.Meanwhile,it is suggested that commercial banks take the implementation of the New Basel III as an opportunity to comprehensively enhance their market risk measurement and management capabilities,laying a foundation for the development of market risk business.