《新巴塞尔资本协议》中若干焦点问题的探讨——对QIS3的总体评价及补充

第三次定量影响研究(QIS3)的研究目的是在《新巴塞尔资本协议》前几次讨论稿基础上,评估各银行资本要求的变化。QIS3的结果是与巴塞尔委员会制定的激励相容机制目标基本一致的,多数银行也对巴塞尔委员会的基本原则和新协议“三大支柱”(资本充足率、监管当局的监管检查和市场纪律)的框架表示赞同。但是由于协议的复杂性,有不少问题还是没有得到解决。在新协议中,操作风险计量方法不够精确,新型抵押担保形式不好识别,没有对零售业务进行风险集中度的调整,执行新协议的成本-收益复杂模糊,信用风险设计与激励相容相悖,流动性风险和顺周期性有所加强。这些都需要进行进一步的研究和调整。

An Approach to Some Central Issues to A New Basel Capital Accord-An Overall Evaluation and Supplement for QIS3

The objective of Quantitative Impact Study No3 is for the Committee to gauge the impact of the Basel proposals on minimium capital requirements of banks .The result is consistent with principle of the incentive compatibility system. Most banks approve of the basic principles by the committee and the framework as three pillars of the New Basel Capital Accord. But on account of complexity of the new accord , many problems are not well resolved. In the new Accord, the accounting method of operating risk is not accurate enough; The modern warranty gage isn't capable of being well identified; No adjustment is well made to risk concentration; The cost and revenue of execution of the new accord is still fuzzy; The device of credit risk does not agree with incentive compatibility; The mobile risk and the periodic risk are strengthened. So it is necessary to make a further research and adjustment.