基于双重资本约束的投资银行全面风险管理体系构建——美国五大投资银行“终结”的启示  

The Construction of Enterprise Risk Management System Under the Dual Constraints of Economic Capital and Net Capital — Enlightenment from the End of Five Largest Investment Banks in America

作　　者：陈野华[1] 王玉峰[1] 王艳[1] 

机构地区：[1]西南财经大学中国金融研究中心

出　　处：《国际金融研究》2011年第12期88-93,共6页Studies of International Finance

基　　金：教育部人文社会科学重点研究基地重大项目"投资银行风险管理理论与中国的实践"(2009JJD790037)的阶段性成果;西南财经大学"211工程"三期建设项目资助

摘　　要：美国五大投资银行"终结"已过三年,转型商业银行的摩根士丹利和高盛已退出政府"问题资产救助计划",美国《金融监管改革法案》、巴塞尔银行监管委员会的《巴塞尔协议Ⅲ》也相继出台。在此背景下,我们重新审视了危机前五大投资银行经营特征,尤其比较了两家转型投资银行在转型前、中、后2005～2010年期间的经营状况,发现转型后资本监管引致的"去杠杆化"效果显著,但其经营战略未转型,自营业务和投资银行业务收入占比恢复到危机前水平,成为利润主要来源。然后,我们构建了基于净资本和经济资本双重约束的投资银行风险管理体系,并提出我国的推进路径。Three years have passed since the five largest American investment banks failed. Now Morgan Stanley and Goldman Sachs that were converted into bank holding companies have exited the TARP project, where American financial regulatory reform and Basel accord III have also been successively announced. Against this background, we reexamined the characteristics of these investment banks, and found that the two banks have evidently deleveraged but their operation strategies have not been adjusted. In fact, by comparing their nowadays operations and those between 2005 and 2010, we found their revenues of principal transactions and investment banking operations had returned to the level of 2007. Then, we constructed the risk management system of investment banks under the dual constraints of economic capital and net capital, and proposed the strategy for China＇s investment banks.

关 键 词：投资银行 风险管理 净资本 经济资本 

分 类 号：F831[经济管理—金融学]