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监管资本套利(Regulatory Capital Arbitrage,RCA),是指金融机构在不违背监管资本规定的前提下,采取的资产证券化以及其他金融工具,在几乎不降低自身风险承担的情况下提高资本充足率的行为。重点阐述了三个层层递进的问题:商业银行为何进行监管资本套利?商业银行通过怎样的方式进行监管资本套利以及在监管资本套利存在的背景下,如何进行银行资本监管改进?
Abstract：[1]Jones David,2000,“Emerging problems with the Basel capital accord:regulatory capital arbitrage and related issues”,Journal of Banking&Finance,vol.24,pp.35-58.
[2]沈庆颉:《商业银行监管资本套利研究》,天津财经大学博士学位论文,2010年。
[3]Michael Koehn,Anthony M.Santomero,1980,"Regulation of bank capital and portfolio risk",Journal of Banking&Finance,vol.35,pp.1235-1244.
[4]Blum Jury,1999,“Do Capital Adequacy Requirements Reduce Risks in Banking?”,Journal of Banking&Finance,vol.23,pp.755-771.
[5]Michel Crouhy,Dan Galai&Robert Mark,2000,"A comparative analysis of current credit risk models"Journal of Banking&Finance,vol.24,pp.59-117.
[6]Linda Allen,Gayle DeLong&Anthony Saunders,2004,"Issues in the credit risk modeling of retail markets”Journal of Banking&Finance,vol.28,pp.727-752.
基本信息:
DOI：10.15981/j.cnki.dongyueluncong.2014.09.065
中图分类号:F832.33;F832.51
引用信息:
[1]王溪晞.监管资本套利:一个文献综述[J].东岳论丛,2014,35(09):170-173.DOI:10.15981/j.cnki.dongyueluncong.2014.09.065.
2014-09-01
2014-09-01