因“波动性”制宜:银行参与碳交易的风险资本计量  

Carbon Trading Market Risk Capital Charge Discussion——From Risk Control and Market Development Perspective

作　　者：缪仁龙 戴新竹 MIAO Renlong;DAI Xinzhu(Traded Risk Management,Standard Chartered Bank(China);Zhejiang University International Business School)

机构地区：[1]渣打银行(中国)交易风险管理部 [2]浙江大学国际联合商学院

出　　处：《金融市场研究》2024年第1期134-140,共7页Financial Market Research

摘　　要：风险资本管理是约束和规范商业银行稳定发展的重要抓手,也是体现一个国家整体金融竞争力的重要组成。实践中,监管机构持续关注商业银行的风险资本计量问题,最新颁布的《商业银行资本管理办法》提供了商业银行参与碳排放权交易的市场风险资本的具体细则。根据相关要求,银行参与碳交易会被赋予较高的风险权重,且碳现货和远期交易不能实现完全对冲,意味着买入现货和卖出远期交易仍然需要计提部分市场风险资本。这可能会影响银行参与碳交易市场的积极性,为此本文提出了完善碳交易相关的市场风险资本计量若干思考。Risk based capital management is not only an important starting point for commercial banks'long term stable development,but also an important component of a Country's financial competitiveness.Under the current practice,China regulators have always been aware of the problem of commercial banks'capital ratio,and published relevant regulatory rules.At the same time,although under the current carbon market system,domestic commercial banks cannot directly participate in the national carbon market trading,nor can they act as agent for carbon trading on behave of clients.However,given the further development of the nation's unified carbon market,the overall market size and liquidity will increase significantly in future.The market participants and clients'demand will become more diversified,and the number of carbon financial products will also grow rapidly,which will provide the possibility for commercial banks to be able to participate in carbon trading in China.Recently,the standardized approach of FRTB,jointly published by PBoC and NAFR,will likely increase the market risk capital charge by banks for carbon trading.In general,the higher risk weight assigned,the higher market risk capital would be required.And the fact that carbon spot and forward transactions cannot be fully hedged under FRTB could generate certain market risk capital for forward or future hedging trades.This paper analyzes the recent developments of commercial banks in carbon trading market and the potential market risk capital impact for commercial banks'to participate in carbon trading in future.We propose some suggestions at the end of this paper.

关 键 词：碳交易 市场风险资本计量 商业银行资本管理办法 

分 类 号：F832.33[经济管理—金融学] F832.5[环境科学与工程—环境科学] X196