金融控股公司最优资本充足监管研究_以银行与保险子公司为例

©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:C51,G18:F830.3:A:100026249(2009)05200142010,,,,,,,,,,,,,,,,,,,,(ConstantinosStephanou,2005;ManvanLelyveldandArnoldSchilder,2002;CummingsandHirtle,2001;,2004),,LrnthandMorrison(2003)Rime(2001),,413:510275;:510521:[e-mail];:510275,20095©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:(1);(2),,,,,,,:,;,,;,,,,,,,,,,,,,,,,,:,()LrnthandMorrison(2003),,,,,,,t0,(B,R),R,B,(B,R)A(B,R)R2:RlRRh,0BR,A11,2R+BR-B,0.5t1,,,1-C,CCK,K(),,t2,,,2ª,,51©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(),S(B,R)A:R-B1-C,PA\S,0.52ª;,R(B),:(B)1,(B,R)P1+ª,(B,R)S(1),:2ª;,,,,1-C-(R-B),,,D:D1/2(1-C)-(R-B)C,(B,R)1CK,1+CK,R1+CK,,:HPB(B)1+CK(2),,D,R1+CK-D,,:HSB(B)1-B+C(1+2K)(3)11A1A2A3A4A1,P1P2D=0,,,P,,S,A1A2O1U2U1A1,A1A2O3U4U5U6A1U1U2O1,U1U2,U2O1,R(B),UO,61D1/2(1-C)-(R-B)R1+CK-D,R1-B+C(1+2K),©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.ª,,CK,ª,2O0UO,u0=u+U,,(ª=0)((B)1),U0O0:WBO1AkR1RA(R-1)dRdB-1Aku0(R-1)dRdB-1Ako0(1-R)dRdBª,:WB1AkR(B)RA(R-(B))dRdB-1Aku(R-(B))dRdB-1Ako((B)-R)dRdB(4),ª():1WBOWB,:WB=WB0-1AkRH(B)RA((B)-1)dRdB(5):SB(C)1AkRH(B)RA((B)-1)dRdB(6)1SB(C)C1SB(C)0,C=1,(B)1SB(1)=0,,Cs3B2()0Cs3B1:2Cs3B01,,K(),,ª,R(B),,(B)(1)2ª,,:71©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(B)1+CK33,R(B),R1+CK,CKª(),:U,O,WIO2ª,WI:WIO1AkR1RA(R-1)dRdB-1Aku(R-1)dRdB-1AkU(1-R)dRdB(7)WI1AkR(B)RA(R-(B))dRdB-1Aku(R-(B))dRdB-1Ako((B)-R)dRdB(8)3WIOWI:3WIO,WI,:WI=WI0-1AkRHI(B)RA((B)-1)dRdB(9),31,(6):SI(C)1AkRHI(B)RA((B)-1)dRdB(10)SI(C),,SI(1)=0,,,0():401,4,,,,,,,81©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:,,,():,,,,,,,,,,,,,,(),t0,t1,t2,,t3(),CB,CIt4,4t2,,t3,,,,,,t2,,91©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(HB,HI),A1A2I1I2I3A1HIHB,I2;I2t2,,,W1W2W3W4,UI,OI,W1V2V3W4,OBOCBCI,CB,R=BI1O,,,CBI2,I2,OB,,OB,CBCBOBUIOIO3,5C3dI1+2C3dI1+2K():C3dI,C3dIOBI1R=1-B+CB(1+2K)R=B,R=12{1+CB(1+2K)}R1+C3diOB,CB1+2C3dI1+2K,1+2C3dI1+2K123:1,2,,3(),,,,,,,A,02©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(BI,RI)(BB,RB),S(solvency)F(fail),:VSSRI+BI-1+RB+BB-1+CB(11)VSFRI+BI-1+RB-BB-1+CB(12)VFSRI-BI-1-RB+BB-1+CB(13)VFFRI-BI-1-RB-BB-1+CB(14)V+SF=max(VSF,0),V+FS=max(VFS,0),V+FF=max(VFF,0),:14[V+SS+V+SF+V+FS+V+FF]-CIK+CB(1+K)(15),VFFVFF0(),5:5,VFS0VSF0,,;,VFS0VSF0,;,VFS0VSF0,;,VFS0VSF0,,LrnthandMorrison(2003),,,,,:12©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.:1.,,2.,,,8%,,,3.,,,,,()4.,,5.,,:,,;,:BasleCommitteeonBankingSupervision,2001,TheNewBaselCapitalAccord:anExplanatoryNote,BankforInternationalSettlements,Basle,6.CalemP.andRobR.,1999,TheImpactofCapital-basedRegulationonBankRisk-taking,JournalofFinancialIntermediation,8,317-352.LrnthG.andA.D.Morrison,2003,MultinationalBankCapitalRegulationwithDepositInsuranceandDiversificationEffects,WorkingPaper2003-FE-11,OxfordFinancialResearchCentre,UniversityofOxford.,2000,,6,2004,,,2007,,122©1994-2010ChinaAcademicJournalElectronicPublishingHouse.Allrightsreserved.(FHC)system,therearecomplicatestockholdingrelationshipsbetweenParentCompanyandSubsidiaryCompany,anditwillhidethecapitaladequacyrisks.Asanimportantquantificationindicator,thescientificmeasurementofoptimalcapitaladequacywillachievethegoalofevaluatingthewholedegreeoftheFHCaccurately.ThelooseandclosedegreesoftheFHCwhichonlyincludebankandinsurancesubsidiarycompaniescaninfluencetheoptimalcapitaladequacyandaremoredifferentfromthesinglebankorinsurancecompanies.Keywords:FinancialHoldingCompanies;CapitalAdequacyRegulation;ParentandSubsidiaryCompany(:)32