加强我国商业银行次级债风险约束作用的思考--基于“相互持有”视角的理论分析  

Reflection on Strengthening the Risk Constraint upon Commercial Banks by Subordinated Debts:From the Perspective of " Cross-Ownership"

作　　者：翟光宇[1,2,3] 唐潋[1,2,3] 陈剑[1,2,3] 

机构地区：[1]南开大学经济学院金融系 [2]南开大学数学学院,天津300071 [3]中国银行业监督管理委员会,北京100140

出　　处：《金融研究》2012年第2期88-101,共14页Journal of Financial Research

摘　　要：本文基于我国银行间相互持有次级债的现实背景,以数理模型和数值计算方式研究了银行间相互持有次级债可能引致的潜在后果,发现银行间相互持有次级债尽管能提高其资本充足比率,但在某种程度上削弱了次级债的市场约束功能,有可能加剧银行业的系统性风险。进一步研究表明持债银行资产之间的相关性、持债银行自身的风险承担、以及相互持有规模是导致次级债市场约束功能弱化的重要诱因,建议减少银行间相互持有次级债的数量.减弱银行资产相关性并促进次级债投资主体的多元化。In the light of the large - scale cross - ownership of the subordinated debts of domestic commercial banks, ＇th!s paper attempts to investigate the implication of the cross - ownership of Subordinated debts, by means of the establishment of related mathematical mOdels and the application of numerical analysis. We find that although ＂cross - ownership＂ helps to improve capital adequacy ratio of commercial banks, it may lead to the failure of the market discipline, which may further increase the systematic risk. And this paper concludes the high correlation between banks＇ equity, the default risk of debt holders and the scale of subordinated debts are the three main factors that impair the market discipline of subordinated debt. Finally, we suggest that the amount of subordinated debts under cross - ownership should be reduced, while the diversification of banks＇ equity and the investor of subordinated debts need to be increased.

关 键 词：次级债 相互持有 市场约束 

分 类 号：F832.3[经济管理—金融学]