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POST Parameters

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Sub Requests 2

AppBundle:User:headerBlock (token = 664b4a)

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AppBundle:Course/CourseSet:courseSetsBlock (token = 24de7f)

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courseSets [ 0 => [ id => 12894, type => information, title => 姚奕：从巴塞尔协议的历史看风险管理的理念转变, subtitle => 姚奕,资深银行风险管理专家、银监会新资本协议研究与规划小组原成员, tags => [], categoryId => 43, cate_child => 0, cate_grand => 0, summary => null, goals => [], audiences => [], isVip => 0, cover => [], status => published, creator => 3, createdTime => 1628296200, updatedTime => 1647942272, serializeMode => none, ratingNum => 0, rating => 0, noteNum => 0, studentNum => 0, hotSeq => 0, recommended => 0, recommendedSeq => 0, recommendedTime => 0, orgId => 1, orgCode => 1., discountId => 0, discount => 10.00, hitNum => 5, maxRate => 100, materialNum => 0, parentId => 0, locked => 0, minCoursePrice => 0.00, maxCoursePrice => 0.00, teacherIds => [ 0 => 3 ], defaultCourseId => 12894, sourceUrl => null, body => <h3 align="center" style="margin-top:0.0000pt; margin-bottom:14.0500pt; text-align:center"><span style="font-size:14pt"><span new="" roman="" style="font-family:" times=""><span style="font-weight:bold"><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">从巴塞尔协议的历史看风险管理的理念转变</font></span></span></span></b></span></span></span></h3> <h3 align="center" style="margin-top:0.0000pt; margin-bottom:14.0500pt; text-align:center"><span style="font-size:14pt"><span new="" roman="" style="font-family:" times=""><span style="font-weight:bold"><span style="font-size:12.0000pt"><span style="font-family:楷体"><span style="font-weight:normal"><font face="楷体">姚奕</font>&nbsp;<font face="楷体">国家工程实验室大数据金融研究中心高级专家，</font><font face="楷体">GIFP特聘专家</font></span></span></span></span></span></span></h3> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h1 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">一、五个</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">维度</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">评述</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">风险管理的理念</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">转变</font></span></span></span></b></span></span></span></span></h1> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第一个是覆盖的范围</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的发展是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对风险覆盖范围的扩充</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">第二个是方法的复杂性。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">从</font><font face="宋体">Ⅰ至Ⅲ，由于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险的覆盖面增加，对于方法复杂性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的追求也逐渐</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">提高</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方法复杂性呈现上升的态势。第三个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">结果的准确性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险从计量的角度看</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比较关心的问题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一般认为</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方法越复杂</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">结果越准确</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但方法复杂性和结果准确性，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这两个问题可以分开来看。第</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">四</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">资本敏感性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议在这个问题上</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的认知</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">呈现典型的螺旋式变化</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">最后一个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">关于套利空间的探讨</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">五</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个方面分析后，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">分享一下</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">国际清算银行体现出</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议对于风险管理与时俱进的态度</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，并总结国</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">际上</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">正在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">探讨研究</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">课题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（一）巴塞尔协议所覆盖的风险范围</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">覆盖面</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">越来越全</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">带来问题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理分为两部分，一部分是已知的领域，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理的技术一直在发展，有些已经</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">发展得比较</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">成熟，最典型的是对预期损失</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font><font face="宋体">E</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">xpected </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">L</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">os</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">s）</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的计量，基于预期损失的拨备的计提越来越准确，技术</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">越来越成熟</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在预期损失之上是非预期损失</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font><font face="宋体">Un</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">expected </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">L</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">oss</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">），</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">发展了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">很多的技术手段，去了解如何</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这种不确定性进行</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">计量分析。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对于非预期损失，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">目前</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的计量水平还远达不到</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">预期损失</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进行计量的水平</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">典型的例子就是市场风险的</font>V</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">a</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">R遭到严重的诟病，甚至现在被巴塞尔协议抛弃。</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">另外一部分是未知领域，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">预期和非预期损失外</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，还有我们知道我们不知道</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的东西（</font><font face="宋体">K</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">nown </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Un</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">know</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">n</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">s</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">）</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这部分</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">我们知道</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">它们存在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">不知道是否会发生，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">现实中</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也无法有效</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">预测，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这就是</font><font face="宋体">K</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">nown </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Un</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">know</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">n</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">s。</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在上述三种范围之外，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是我们不知道</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">我们不知道</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的东西</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font><font face="宋体">Unk</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">nown </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Un</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">know</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">n</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">s</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">），这是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理从业人员要</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进行</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">艰苦的努力去探索</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">范围框架</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，例如原油的交易</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">价格可以是负数，超乎我们的想象之外，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">还有</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">美国股市短时间内连续爆发的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">四</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">次熔断</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在我们能够想象的范围内这些是很难去了解</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。一直</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">以来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">探索</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">如何把</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">认知的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">边界逐步扩大，所以</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">不是一个终</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">点</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">而</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是未来的一个里程碑。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">之外定义为</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Basel </font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">in the future，未来可能会探讨更多</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">未知领域。从覆盖范围来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">看</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，从</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅰ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">到</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Basel </font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">in the future体现</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">我们对于未知</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">不成熟</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">领域的探究</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进步</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（二）巴塞尔协议推动风险计量复杂性的提升</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;巴塞尔</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">从</font><font face="宋体">Ⅰ至Ⅱ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">引入了市场</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险</font><font face="宋体">VaR</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方法，</font>1996年的补充</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">把市场风险的计量方法的复杂性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进行了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">极大</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">推升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">信用风险内评法的引入</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也使</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">信用风险的计量复杂性得到</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">极大地推</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，操作风险也</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是类似情况</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">协议从</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Ⅱ至Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">不仅增加流动性的计量要求，还完善</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">交易对手的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">CVA</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">计量</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方法</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，同时大幅度修改了市场风险的规则</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">从总体</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">上看</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，计量的复杂性一直在提升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">未来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">协议的计量复杂性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">会一直</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">提高</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（三）巴塞尔协议推动风险计量结果准确性的阶段性改进</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;在复杂性提升的同时计量结果的准确性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是否</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在提升，这是值得探究的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">问题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。从整体角度看，计量结果</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的准确性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一直在提升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。巴</font><font face="宋体">Ⅰ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">最大的诟病就是计量的准确性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅰ至</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Ⅱ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在计量准确性方面</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">有比较明显的提升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅱ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">到次贷危机的这段时间又爆发出对计量结果准确性的一些质疑，所以业界</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&ldquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方法的复杂性是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">否</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">必然导致结果准确性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&rdquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进行了反思。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">从</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅱ至</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Ⅲ，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">流动性风险的框架引入</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">两个风险指标</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对于信用风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">标准法也在提升权重</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">最终稿里关于信用风险标准法的权重达到了</font>20</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，不像</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅰ和巴Ⅱ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的权重</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">只有</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">0</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">20</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">50</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">100</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">150这样</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">常见</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">权重。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">现在基本上是每</font>5%一</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">档</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">所以</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">复杂性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方面</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">得到</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">提升，但结果的准确性是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">否</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也在同步提升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">还留有疑问</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。从整体来说</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">阶段性地</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">推动</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险计量结果</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">准确性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，有时候是快速的提升，而有时候是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">平坦</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的走缓。如果按照风险的类型进行分类，某些风险的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">计量</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">准确性在提升，某些风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的计量</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">准确性呈上下波动的态势</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（四）资本对于风险的敏感性产生螺旋式认知变化</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">四</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">维度</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">更</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">加</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">体现了巴塞尔协议</font></span></span><span class="15" style="font-size:12.0000pt"><span style="font-family:宋体"><span style="line-height:107%"><font face="宋体">中风险管理理念的变化</font></span></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">以前探讨巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">指的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">敏感性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是监管资本、经济</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">资本对于风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">敏感性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">讨论巴</font><font face="宋体">Ⅱ的时候的观点是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">资本对于风险的敏感性越高越好，越敏感越精确，体现了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高风险资本</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高收益要求</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Ⅱ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">次贷危机后</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">到</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">上也</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">呈现</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">出</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">反思式</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">螺旋式</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">地从</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">上升到下跌</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的态势</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议</font><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">明确</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一个观点</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">资本对于风险的敏感性并非越高越好，这是业界的一个非常深刻的反思。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这种观点不是对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">资本和风险敏感</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">之间</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">基本内在逻辑</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的否定</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，而</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">业界对风险计量结果准确性的反思。很多方法看似复杂</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但是计量结果的准确性达不到满意的程度</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">因此</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这种</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">计量结果基础之上的风险资本的敏感性就缺少了立足点。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;资本对于风险的敏感性，在第三个问题没有解决的基础上，巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">认可敏感性应该有适度的倒退，粗略反而是比较好的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">所以巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">才会最终提出限制内部评级法的使用，提升信用风险标准法的权重</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">敏感性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">精确性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">两者还要取得相应的一定程度上的可比</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这是比较符合现实情况的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。资本对风险的敏感性经历了螺旋式的认知变化</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">至于未来会如何提升敏感性还有待于观察，但是既然产生了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅲ当前的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">认</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">可</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，未来这种认知导致敏感性重新上升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">可能性相对会比较大。底层的逻辑是各类风险的计量准确性会有比较好的提升，比如现在市场风险低，换成了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">E</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">xpected </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">S</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">hort</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">fall</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的方式，包括标准法</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">内</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">模</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">法都进行了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">较大</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">幅度的修改。从底层逻辑</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">看，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议力求对于敏感性问题进行根本性的改造</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（五）巴塞尔协议的日趋完善减少了银行套利的空间</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">五</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个维度是套利空间</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">我们对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议进行了日趋完善的改造</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也相应</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">地</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">减少了银行套利的空间。从</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅰ至巴Ⅲ，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">套利空间是在逐步减少的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但是这里面存在着对未来的不确定性，这种不确定性并不是来源于巴塞尔协议对于风险计量结果</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方法</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">复杂性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">反思或者质疑，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">而</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">源</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">于金融机构</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">经营环境面临的日新月异的变化，最重要的是金融科技手段的改变，包括</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一些</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">挑战传统金融</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">领域的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">诞生</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，比如数字货币</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这些变化</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">导致风险管理上出现了新的问题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">未来可能还会存在一些套利空间，这就是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Unk</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">nown </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">Un</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">know</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">n</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">s。这种套利空间从</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅰ至巴Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">达到日趋的下降，但是在未来伴随着</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一些</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">全新领域</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">诞生</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">可能会重新出现监管滞后导致的套利空间。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h1 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">二、</font><font face="宋体">BIS对于</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">创新</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">的研究和推进</font></span></span></span></b></span></span></span></span></h1> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;未来巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的改动</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">有两个可能的方向，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一种</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方向</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">金融业</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">可能会再</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">爆发类似于次贷危机的一些大型的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">突发性的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">足以影响体系安全性的金融危机的事件</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">导致巴塞尔协议对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">出现</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的明显的漏洞进行修补式或者休克式的一些疗法</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">另外一种</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方向</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议所在的国际清算银行</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">BIS</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">）</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">引领的研究</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方向</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">BIS对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">创新的研究和跟进</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">紧锣密鼓地进行中</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。国际清算银行在全球设立的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">I</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">nnovation </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">H</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">arbor，包括在中国香港特别行政区</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">伦敦</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">新加坡</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">瑞典、瑞士，还有</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">即将在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">多伦多和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">法兰克福</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">都会设立创新研究中心。从</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">BIS</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在全球范围的总结来看，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">它认为</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">未来可能出现的一些新的领域集中在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">六</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个方面，也是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">目前正</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在推进的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">六</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个方面</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这些研究是</font>BIS推进的研究，有可能很快就会落地到巴塞尔协议相关的政策中</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">影响到各国的监管，从而影响到业界风险管理的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">发展</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方向。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（一）目前推进的六个领域</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第一个方面叫做</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">S</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">upt</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">ech &amp; </font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">R</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">e</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">g</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">t</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">ech。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">S</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">up是</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">superviso</font></span></span><u><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="text-decoration:underline"><span style="text-underline:dotted"><font face="宋体">r</font></span></span></span></span></u><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">即</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">监管</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">R</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">eg是</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">R</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">egulatory</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">即</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">合规。从这个角度</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">看</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">国际清算银行认为监管和金融科技之间如何进行更</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">好地</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">密切同步是一个非常重要的话题。在金融科技的面前，很多时候监管处于一个滞后的状态，监管体系的落后会导致金融科技出现各种问题。这两个概念</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">区别在于，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">S</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">upt</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">ech</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是国际清算银行现在正在尝试</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">改善</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">监管文件，比如巴塞尔协议，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">字数多且</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">条款极其复杂，甚至巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">自身都认为过于复杂</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，所以新版的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴</font><font face="宋体">Ⅲ</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">采用了自问自答的方式，对某些条款进行一些自我的解释，帮助大家来理解。监管条款未来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是否</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">可能采用一些结构化的方式予以公布</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">未来这些结构化的方式的公布除了用红头文件做监管发布外，监管条款可能</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">用格式化的方式，直接从监管系统传递到各个金融机构对接的系统当中，直接通过格式化的方式落地到系统相关的监管条款，有助于金融机构采用较低的成本</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">快速地合规，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">符合监管的相关要求</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">国际清算银行目前正在研究的一个思路</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">另外一个问题是监管和归纳，监管想要通过一些高科技的手段更好的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">快速的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">低成本的去监管金融机构</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，这</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也是国际清算银行非常关心的一个话题，也是各国金融监管机构现在面临的一个比较困惑的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">状况</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是否能够</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">利用科技的手段帮助</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">监管机构</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">提升监管的效率是值得研究的话题。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第二个重点领域叫做下一代的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">FMI，FMI</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">指的是金融市场的基础设施</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">F</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">inancial </font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">M</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">arket</span></span>&nbsp;<span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">I</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">nfrastructure</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">），</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比如央行的跨行支付系统，这就是金融市场的一个基础设施，它帮助金融市场能够</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">以</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高效快速的方式进行金融的服务</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">国际清算银行也认可在各个国家</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">国内</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">FMI</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">大部分都做得比较完善，但是跨国之间</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">既</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">能实现资金快速</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高效的流转又能</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">够</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">保证</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">安全</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">防范洗钱风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">抵御恐怖主义融资的安全需求的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">FMI，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">目前还处于比较不成熟的地步，所以</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">BIS</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">正在推进</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">FMI</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的建设，主要指的是跨国之间如何</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进行</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高效的金融市场的基础设施的建设</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">现在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">以</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">新加坡牵头，已经研究出一个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">FMI</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的原型，正在准备做一些推广和实验。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第三个是由</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">各国</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">央行主导的数字货币</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">简称为</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">CBDC。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">7月</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">美联储的副主席明确表态非官方的数字货币将危害金融体系的安全</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">区块链</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">衍生出的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比特币，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个人</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">不看好</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比特币</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">能够成为金融体系</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">主流行业，因为它挑战的是各国金融主权的安全性。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">四</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个话题是开放金融。开放金融最早起源于欧洲，欧盟提出的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">O</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">pen </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">B</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">anking升级为</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">O</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">pen</span></span>&nbsp;<span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">F</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">inance。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">从这个角度来看，国内也存在着这样的话题，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">我们</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">经常讨论</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">数据在各个部门</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">各个数据拥有者之间存在着信息的孤岛，导致数据源之间存在着相互的割裂，这</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">大幅度</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">降低了金融服务的高效性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">模型分析的准确性，包括风险计量的准确性问题。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">O</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">pen </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">F</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">inance的底层是数据的共享，在客户授权的情况下，可以将客户的数据予以有效的第三方，</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">由</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">相关的第三方进行数据的共享。在共享的情况下，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">金融机构</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">能够更好地提供相关的金融服务。虽然</font>open finance是一个看起来有前景的话题，</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但其</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">底层所涉及的安全性问题是非常需要去解决的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">如何既保证开放又保证数据的安全性问题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是重点要去研究的问题。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;第</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">五</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font><font face="宋体">Cyber security，出于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">IT技术的角度考虑网络安全。</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔委员会研究的新的操作风险的两块领域，一个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">领域</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">叫做</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">C</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">yber </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">R</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">i</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">sk</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，已经有明确的风险类型的定义</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">及</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">相关的一些研究。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">另一个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">领域</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是合规</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">关于洗钱的风险和恐怖主义融资，从安全角度</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进行</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">防范</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;最后一个是关于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">绿色金融</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">BIS也在进行一些相关的研究，包括基于</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">绿色金融</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的需求所涉及的一些金融产品</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这些金融产品如何从风控的角度来进行计量，如何考虑资本要求等</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">也是</font>BIS在推进的一些工作</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（二）以加密资产（</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">C</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">ryto</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold">asset</span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">）为例</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;巴塞尔委员会在</font>2021年6月10号发布的一份咨询文件</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">《</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对加密资产敞口的审慎处理</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">》</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。加密资产的概念</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">较</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比特币</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">等</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">其他的数字货币范围更广</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，其</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">定义</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">为</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">加密资产</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">主要依靠密码学</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">分布式账本或类似技术的私人数字资产，而数字资产是价值的数字表示</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">可以用于支付</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">投资或</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">获得</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">商品。这个例子明确</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">地</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">说明巴塞尔委员会与时俱进</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">地</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">跟进整个业界的各种金融发展情况，包括以比特币为代表的数字货币或者加密资产的发展。如果金融机构持有这样的资产，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">如何对机构的风险计量产生影响，从而对于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这些加密资产是否需要计提资本</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">以及</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">如何计提</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">提出了三个原则。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">将</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">加密资产分成</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">1</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">类和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">2</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">类，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">1</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">类里</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">又分</font><font face="宋体">1a和1b。1a</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是最严格的，是能够和传统的金融资产挂钩的脱壳化的一些资产，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">类似于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">布雷顿森林体系下跟黄金挂钩的货币</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">三个原则</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">第</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一个是相同</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">相同活动要进行相同处理</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。我国</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">监管提出的穿透的原则，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">与</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">国际上</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">思路</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比较</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一致</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">第二是穿透式识别加密资产的风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">使用主流的风险计量</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">防范和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">处置等</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">方法。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">第三是巴塞尔协议是最低监管标准，各国可根据自身情况进行更严格的监管。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h2 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（三）金融机构在决策过程中使用算法、大数据和人工智能的监管原则</font></span></span></span></b></span></span></span></span></h2> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体">&nbsp; &nbsp;6月15</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">日</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">德国联邦金融监管局发布了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">《</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">金融机构在决策过程中使用算法、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">大数据</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">人工智能</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的监管原则</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">》</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，这个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">金融监管发布的第一份关于监管的想法，是以</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">准则</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的方式来发布的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">欧盟宣布最迟在</font>2024年会阐述关于如何去适应或者监管大数据和人工智能</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，届时会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">有一些明确的原则，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">因此</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">完全可以预见巴塞尔协议会在相关的方面，包括大数据</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">人工智能</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">提出相应的监管原则</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">协议的侧重点是关于资本的要求</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">用</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">技术</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">增加</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">某类资产</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是降低了某类风险还是提高了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔委员会明确提到相同风险相同活动相同处理，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">反之</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">不同活动不同风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的处理方式不同</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。如果大数据和人工智能在某一方面增加了效率，降低了风险，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">则</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">可以节省资本。与此同时，大数据和人工智能的引入增加了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">外包风险的管理，带来了法律上的一些问题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比如</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">大数据带来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">数据隐私安全的保护，人工智能带来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">关于伦理方面的一些探讨，以及</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">BaFin</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">明确提出的把人放在决策的一个重要的位置</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">人工智能要有人的因素的介入，最终的决定权</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是在人身上的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这些</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">未来很有可能</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔协议</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">改动的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一个非常重要的方向。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <h1 align="justify" style="text-align: justify; margin: 0pt 0pt 0.0001pt;"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">三、金融风险管理中的挑战</font></span></span></span></b></span></span></span></span></h1> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;最后总结</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理的挑战</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理无论从计量的结果</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">还是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">从我们的认知</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，仍然</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">存在着各种各样的问题，这些问题有待于未来逐步解决。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;信用风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">数据采集</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险因子选择</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">上</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的合理性</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">或</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">相关性还存在着各种不尽如人意的方面。市场风险更</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">加</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">典型，</font>V</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">a</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">R致命的问题</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">使其</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">被大家弃用</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font><font face="宋体">ES</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">虽然从某种意义上来说解决了</font>V</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">a</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">R的一部分</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">作用</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">但</font><font face="宋体">ES从</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">本质框架上来说，并没有跳出原来用平均值</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">标准差来计量风险的一种思路。本质上</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">ES</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">还有缺陷，这个问题还是没有</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">得到</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">真正的解决。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">流动性风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">上，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">无论我们现在用的哪一个流动性风险的指标，都是自上而下的一个整体的监控。从预测的准确性的角度，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">要</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">先用快速的方式算出</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">结果</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">后续还要就现金流的随机性去进行模拟</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这是流动性方面需要进一步解决的问题</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。在</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">压力测试</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">上</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，真实宏观场景是复杂</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">黑天鹅、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">灰犀牛甚至绿天鹅</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">等</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">概念的涌出，代表了真实宏观场景的一个复杂性。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;最近</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一篇文章分析的是在新冠疫情</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的这种</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">公共危机突发事件的情况下，美国的金融市场体现出</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">了</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和次贷危机完全不同的情况</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">次贷危机</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">下的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高风险资产，比如高垃圾债券、股市、期权等，会出现收益率的大幅飙升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">要</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">额外补偿收益率</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">才</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">有人愿意投。而真正安全的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高等级的债券，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">比如</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">国债，收益率反而下降，价格会上升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，这是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">出于规避风险的考虑</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">最近的研究表明在疫情的情况下，高等级债券的收益率</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">上升</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">更快，价格跌得更猛，这是完全反常的一个情景</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是以前我们在次贷危机中不曾见过的场景，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这表明</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">真实宏观场景是极其复杂的。模型风险存在着很多的问题，所以模型风险也是操作风险里非常重要的一块领域，涉及信用风险的模型验证</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">或</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">市场风险的验证，模型风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">本身</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">如何</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">对风险管理产生影响</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是非常重要的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。还有各种各样的小众的风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">从计量角度来</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">看</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">完全处于起步</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">阶段</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，甚至是空白的研究。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt"><span style="font-size:12pt"><span style="text-justify:inter-ideograph"><span style="line-height:107%"><span new="" roman="" style="font-family:" times=""><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;最后</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">业务的需求持续推动技术手段</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">和</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">监管能力的持续进步，这个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">金融行业风险管理领域发展的不变的内在规律</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">真实的业务需求会切实推动技术手段和金融行业的持续进步。</font></span></span></span></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; text-align:justify; margin:0pt 0pt 0.0001pt">&nbsp;</p> <p align="right" class="16" style="margin-bottom:10.0000pt; text-align:right"><span style="line-height:107%"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">责任编辑：</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">宋亚楠）</font></span></span></span></p> <p align="right" class="16" style="margin-bottom:10.0000pt; text-align:right"><span style="line-height:107%"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">来源：</font>TGES202</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">1高级研讨会：资本、风险偏好和限额管理高级研讨会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">8</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">月）</font></span></span></span></p> <p align="justify" style="margin-top:12.0000pt; margin-bottom:12.0000pt; 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0, minCoursePrice => 0.00, maxCoursePrice => 0.00, teacherIds => [ 0 => 3 ], defaultCourseId => 12928, sourceUrl => null, body => <p align="center" style="margin-top:0.0000pt; margin-bottom:0.0000pt; text-align:center"><span style="font-size:12pt"><span style="font-family:等线"><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">关于我国实施巴塞尔协议的几个问题</font></span></span></span></b></span></span></p> <p align="center" style="margin-top:0.0000pt; margin-bottom:7.8000pt; text-align:center"><span style="font-size:12pt"><span style="font-family:等线"><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">&mdash;&mdash;《巴塞尔协议与中国金融风险管理发展》</font></span></span></span></b></span></span></p> <p align="center" style="margin-top:0.0000pt; margin-bottom:7.8000pt; text-align:center"><span style="font-size:12pt"><span style="font-family:等线"><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">出版感想</font></span></span></span></b></span></span></p> <p align="center" style="margin-top:0.0000pt; margin-bottom:7.8000pt; text-align:center"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:楷体"><font face="楷体">陈忠阳</font> <font face="楷体">中国人民大学财政金融学院教授</font></span></span></span></span></p> <p align="center" style="margin-top:0.0000pt; margin-bottom:7.8000pt; text-align:center">&nbsp;</p> <h1 style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:黑体"><span style="font-weight:bold"><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">一、前言：为</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">《巴塞尔协议》</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">鼓与呼</font></span></span></span></b></span></span></span></h1> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;中国实施巴塞尔协议转眼已过去</font><font face="宋体">20年。亚洲金融危机期间，一些国际金融组织认为中国银行业的资本充足率严重偏低，甚至有70%-80%的不良资产率。尽管当时没有准确统计，但不良资产率较高和资本充足情况不容乐观是不争的事实。1997-1998年，为提高我国银行业的资本充足率，使之达到《巴塞尔协议》中8%的标准，财政部为四大银行注入2700亿资本金，在1999年又剥离了1.4万亿不良资产。2001年，中国加入W</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">TO</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，要按国际规则运行我国的金融体系，要开放市场，提高金融行业的竞争力，恰好赶上了《新巴塞尔协议》即将出台，中国银行业开展了广泛的《巴塞尔协议》研究讨论。那么现在中国银行实施《巴塞尔协议》的情况怎么样？我不得不为中国实施《巴塞尔协议》鼓与呼。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（一）《巴塞尔协议</font><font face="宋体">Ⅲ》终版出台遇冷</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 但凡要为一件事情鼓与呼时，往往是比较艰难的时期，是需要鼓励与呼吁的时候。中国实施巴塞尔协议的氛围与早些年大不一样，</font><font face="宋体">1988年出台《巴塞尔协议》，2004年出台《巴塞尔协议Ⅱ》，金融危机之后，2010年出台《巴塞尔协议Ⅲ》，这一版本是一种紧急修订，很多问题没有解决，受到较多批评，经过将近8年，2017年出台《巴塞尔协议Ⅲ》最终版本，国外业界也称之为&ldquo;巴塞尔协议第四版&rdquo;，巴塞尔委员会还是称之&ldquo;巴塞尔协议Ⅲ&rdquo;，这一版出台后，在国内和国际都是遇冷的，没有得到各方的全面认同。国内更是感觉很冷清，2018年春节前，终版已经发布一个月，媒体上除了个别记者报道，几乎没有专家发言，专业性的文章也很少，只有两篇主管部门领导的文章，更没有研讨会。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;《巴塞尔协议</font><font face="宋体">Ⅲ》终版可谓10年磨一剑，代表国际金融行业对2008金融危机的系统反思，竟然无人问津。我有幸作为一名中国《巴塞尔协议》实施的历史见证者，1998年关注《巴塞尔协议》的修订，2001-2002年主办周末研讨会，谈论的事情主要是《巴塞尔协议》与现代风险管理，2004年《巴塞尔协议Ⅱ》出台后，开办中国金融风险论坛，并连续举办了若干年的&ldquo;巴塞尔协议专题研讨会&rdquo;，研讨会上，数百位专家专门讨论《巴塞尔协议》。近几年，平台话题从《巴塞尔协议》、资本充足计算、风险量化等扩大到金融科技、风险与业务的结合等。时间走到2017年底，当终版公布时，竟没有太多人讨论。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（二）</font><font face="等线 Light">2018</font><font face="宋体">的新年愿望与长达三年的努力</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 在</font><font face="宋体">2018年春节前，我对于冷清的交流氛围非常感慨，在年底希望组织《巴塞尔协议》30周年高级研讨会。2018年恰好是《巴塞尔协议》30周年，也是中国实施《巴塞尔协议》20周年、改革开放40周年、美国金融危机10周年，我希望在论坛上回顾《巴塞尔协议》的发展与中国风险管理体系的建设，并把过去专家朋友交流过的观点汇总起来，出一本系统反映中国金融风险管理的文集。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 在</font><font face="宋体">2018年9月，高级研讨会成功举办，中国人民银行主席、中国银行董事长、中国农业银行副行长、各大行风险部总经理、咨询公司和小型农村商业银行代表等40多位专家发言，出现了多年未有的盛况。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; &nbsp;自此以后，关于巴塞尔的讨论仍然很少，</font><font face="宋体">2020年迎来了马云对《巴塞尔协议》的吐槽，《巴塞尔协议》被送到风口浪尖。很多不懂的人发问，什么是《巴塞尔协议》？为什么马云说它是老年人俱乐部？马云的讲话引起了市场的喧嚣，得到了很多人的拥护，于是我连续发表了10篇文章。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; &nbsp;很多人对《巴塞尔协议》有困惑、有误区、有不解、有质疑、有反对，我们实施《巴塞尔协议》这么多年到了一个什么局面呢？今天的会议是</font><font face="宋体">2018年30周年纪念会后再次举办的活动，请到的专家屈指可数。早年一起探讨的专家朋友们已经纷纷转到其他岗位，虽然银保监会还在积极实施《巴塞尔协议》，但总的来说没有很多专家愿意交流它，这是因为整个环境有了一些变化。现在是我们要为《巴塞尔协议》鼓与呼的时候。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 如何鼓与呼？在</font><font face="宋体">2018年已经成功举办了论坛，但出书是一件艰难的，直到今年5月才正式出版。这本书汇集了二十年来数百位国内外专家的交流体会和上千篇文献的观点综述，对理解《巴塞尔协议》和中国金融风险管理20年的发展帮助很大。有幸受到了前</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">银监会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">主席刘明康先生的支持，为本书亲自作序。这本书分为上下两卷，含</font><font face="宋体">130万字、三百多位专家的前沿观点、1000多篇文献，总共分为四大部分：第一部分是2018年高级研讨会的演讲文稿整理和一篇系统性的研究报告；第二部分是2005</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">-2019年</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">T</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">GES</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">平台三百多位专家的演讲文稿摘要，分为十三个模块，系统反映在过去</font><font face="宋体">15年的时间里专家对《巴塞尔协议》的看法，是宝贵的专业资源，是中国金融风险管理体系建设的全景图；第三部分是对国内主要</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">期刊杂志</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">关于《巴塞尔协议》和现代风险管理的</font><font face="宋体">1000多篇文献的综述，分为11个主题；最后是我个人在20年中关于《巴塞尔协议》相关文献的选编，包括2020年针对马云观点的10篇评论。整本书比较系统地反映了《巴塞尔协议》和全面风险管理在中国的建设情况，是几百位专家交流的思想记录。</font></span></span></span></span></p> <h1 style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:黑体"><span style="font-weight:bold"><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">二、如何认识</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">《巴塞尔协议》</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">？</font></span></span></span></b></span></span></span></h1> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 早些年大家对《巴塞尔协议》很重视，监管方面也很积极，我在</font><font face="宋体">2004年写过普及性的读物《巴塞尔协议知识问答》，请到了当时</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">银监会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">唐主席亲自写序，他说很多参加人大会议的委员还在拿着《巴塞尔协议》文稿，可想而知当时大家对巴塞尔协议很感兴趣。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 这么多年过去了，人们对《巴塞尔协议》的认识</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">还是存在很多问题，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">最典型的就是</font><font face="宋体">&ldquo;老年俱乐部&rdquo;的说法。2008年金融危机期间，很多人说《巴塞尔协议》连西方的金融危机都没有管住，有什么用呢？有人说《巴塞尔协议》是西方人的做法，拿到中国管用吗？有人说</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">银行</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">业是低资本运行的，靠一点资本就可以管住风险吗？流动性风险来临时，所谓加权后</font><font face="宋体">8%的资本可以忽略不计，按普通财务指标远远不足8%，是无能为力的。还有人认为《巴塞尔协议》就是一群博士做模型，实践中的事情能靠模型解决吗？2008年后，国际上对模型的使用有很多的批评。还有人是询问有没有能替代《巴塞尔协议》的体系？中国自己能不能有一套替代的体系？</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（一）《巴塞尔协议》是老年人俱乐部吗？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 关于《巴塞尔协议》是不是老年人俱乐部，我认为与其说是老年人俱乐部，不如说是一个在国际金融市场数十年波澜起伏发展过程中历经风险和危机</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">身经百战的风险管理和金融监管的</font><font face="宋体">&ldquo;老兵&rdquo;俱乐部，是数十年来国际金融领域风险管理的经验总结，而且是处于持续发展的。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 马云之所以认为《巴塞尔协议》是老年人俱乐部，是由于他认为现在是发展金融科技的年代，《巴塞尔协议》是发达国家的东西，不适合中国这个年轻的国家。他把《巴塞尔协议》与年轻人、未来对立起来，但实际上《巴塞尔协议》是与时俱进的，不断汇集着国际上金融风险管理的经验，不能称之为老年人的东西，而应该说是老兵的经验总结，并且还包括动态发展的一面。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（二）</font><font face="宋体">《巴塞尔协议》没有防止住危机就没有用了吗？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 金融危机是防止不住的，风险管理的目的从来不是防止危机，这是风险管理的基本共识，就像人不能防止生病和死亡，风险管理</font><font face="宋体">&ldquo;防危机&rdquo;而不是&ldquo;止危机&rdquo;。现代风险管理理念首先是要承担风险，承担风险必然要接受某些后果。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 不管是外部市场的独立评级还是金融机构的内部评级，信用评级始终是金融体系中重要的风险管理机制，不能因为出现一次错误就说没用。同样，《巴塞尔协议》也要吸取经验教训，与时俱进。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（三）西方国家的做法也适合于中国吗？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 对于《巴塞尔协议》是否适用于中国，这关系到改革开放以来的基本问题。我们要向西方学习，洋为中用，不是简单的适用或不适用，而是要拿过来改造。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">《巴塞尔协议》是现代金融体系风险管理的集大成者，是一本西方现代金融风险管理的超级教科书，不向它学习还能向谁学习？要发展市场经济，这套体系的适用性是毫无疑问的，但</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">简单的照搬</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">照抄也是绝对不可能的</font><font face="宋体">。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（四）</font><font face="宋体">靠</font><font face="等线 Light">8%</font></span></span></span></b><b>&nbsp;</b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">的资本可以控制风险吗？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 风险是不是靠那一点点资本来控制？显然不是。《巴塞尔协议》的精髓也绝不在于靠那一点资本在事后抵御风险，而要通过对资本的要求加强事前的风险管理。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 8%的资本很重要，但重要性不在于风险发生后去覆盖、吸收，现代资本管理就是风险管理，不是传统的财务资本管理，而是经济资本管理，在风险的计量、经济资本的配置、风险限额、风险定价等方面，8%的资本是一种信号、一种机制，是一个神经系统的中枢。资本不是等于资产减去负债，资本等于风险，而风险要用概率来计算。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 现代风险管理以及《巴塞尔协议》的精髓是要把资本和风险结合起来，用资本来控风险，在事前发挥作用，用资本控制风险是风险控制的高级阶段。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">不是简单的拿资本覆盖损失。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（五）讲求模型的《巴塞尔协议》可以解决实践中</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">的风险</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">问题吗？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 风险管理到底靠模型解决还是靠实践经验解决？量化模型和实践经验的争论是现代风险管理由来已久的问题，也是国内国外都关注的问题。国际上有一个经典的问题</font><font face="宋体">&mdash;&mdash;风险管理到底是经验艺术还是科学？</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 现代风险管理给人的印象是大量的数学建模，但对一线人员而言，流程和法律才是重点，这与模型是两套语言体系。《巴塞尔协议》的大量工作是计算风险，所谓</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">定价、风险限额、风险评级等，都要建立在计量模型之上，这种</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">计量远</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">早于现在的大数据。要是处理不好计量模型和实践经验的关系，会陷入困惑，认为《巴塞尔协议》没有用。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（六）有一套可以替代《巴塞尔协议》的体系吗？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 谈到替代体系，大家会想到</font><font face="宋体">C</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">OSO</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的内部控制。</font><font face="宋体">C</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">OCO</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">体系与巴塞尔体系几乎同步发展，</font><font face="宋体">2004年《C</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">OSO</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">-</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">ERM</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">》和《新巴塞尔协议》同步出台，</font><font face="宋体">2017年又同时更新，但</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">COSO</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">协议相对于巴塞尔很简单。</font><font face="宋体">C</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">OSO</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是审计师驱动的体系，巴塞尔是银行家、监管部门驱动的体系，审计师从会计、核算、内控的角度控制风险，而控制风险不等于管理风险。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 目前来看，没有一套体系可以替代巴塞尔体系，中国未来可能会有，但只要中国坚持市场经济改革方向、坚持对外开放，就不可能完全脱离巴塞尔，而应站在世界各国文明的基础上，结合我国国情，建立中国特色的现代金融风险管理体系。抛开巴塞尔不可能、不现实</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">、也</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">没必要，相反我们应该借鉴它，而实际上我国多年来也是这样做的。</font></span></span></span></span></p> <h1 style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:黑体"><span style="font-weight:bold"><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">三、如何实施</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">《巴塞尔协议》</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">？</font></span></span></span></b></span></span></span></h1> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（一）只是筹措资本提升资本充足率吗？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 很多人认为，实施巴塞尔不就是多搞点资本金吗？不就是多补充一级、二级资本吗？有人觉得，资本就是钱的事，就是资产减负债，这是传统风险管理理念。现代风险管理中，资本等于风险，等于</font><font face="宋体">Va</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">R</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，等于一定置信水平下最严重损失，是一个概率概念。实施《巴塞尔协议》不是简单地要求筹措资本，其核心是开展全面</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">管理体系建设，包括制度、流程、风险计量、模型、数据以及资本的筹措等方方面面。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（二）《巴塞尔协议》是不是只有大银行适用？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 十多年前，受美国影响，很多人认为只有大银行需要实施《巴塞尔协议》，很多小银行不需要实施，非银行业也不适用。我国实施《巴塞尔协议》还是比较积极的，股份制银行、城市商业银行、农村商业银行都比较积极，但仍然有很多人认为《巴塞尔协议》只适用于大银行。我国实施《巴塞尔协议》主要目的是向西方国家学习现代风险管理。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（三</font><font face="宋体">）如何从本质上实施《巴塞尔协议》？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 《巴塞尔协议》的本质是全面的风险管理，而不是简单的数字计算。《巴塞尔协议》的实施分为三个层次：数量层次，数量够不够；计量层次，计量准不准；资本层次，资本管不管用，资本能不能发挥作用。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 西方国家主要解决前两个问题，而我国亟待解决的是第三个层次，是更加根本性的问题，即资本在风险管理中有话语权吗？资本管理风险有传导机制吗？业绩奖金、产品定价有没有与资本挂钩？这些是我们要向西方学习的。</font></span></span>&nbsp;</span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（四）如何结合国情实施《巴塞尔协议》？</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 在借鉴国外经验的基础之上，也要思考如何结合我国国情，以探索创新的方式实施《巴塞尔协议》。过去</font><font face="宋体">20年，中国实施《巴塞尔协议》走的就是这条路，监管部门从一开始就没有完全照搬西方，而是一直强调加强风险管理，以至于2004年我国发布第一个资本管理方法时，引起国际的轩然大波，国外媒体认为中国拒绝了巴塞尔。我受邀发布两个演讲，回答西方的质疑，我的答案是</font><font face="宋体">：中国在以自己的方式接受《巴塞尔协议》，从本质上接受《巴塞尔协议》，强调先建立风险管理体系，让资本先发挥它的作用。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 20年来，我国实施《巴塞尔协议》一直在探索自己的方法，这也是一个基本的原则。</font></span></span></span></span></p> <h1 style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:黑体"><span style="font-weight:bold"><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">四、如何评价我国的</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">《巴塞尔协议》</font></span></span></span></b><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">实施？</font></span></span></span></b></span></span></span></h1> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（一）成就与作用</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 过去</font><font face="宋体">20年来我国实施《巴塞尔协议》的成就主要在五个方面：</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 第一，现代风险管理的理念得到了宣传与推广，很多人</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的风险</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">理念都发生了变化。这些理念都</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">来自于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">巴塞尔，包括系统性风险的理念，系统性风险概念</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">来自于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">《巴塞尔协议》，与马科维茨的系统性风险是两个概念。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 第二，资本数量和实力的提升。</font><font face="宋体">1998年之前，在I</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">MF</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">报告中，我国的银行业没有几乎没有资本，实施《巴塞尔协议》</font><font face="宋体">20年来，我国银行业的资本得到了很大程度的补充。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 第三，风险计量水平。以前我国连简单的不良资产统计数据都没有，更别谈风险计量，而现在我国的内部评级早已实施了好几轮，做到了大数据的评级优化的阶段。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 第四，全面风险管理体系建设。我国的全面风险管理体系已经实施十多年。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 第五，现代风险管理传播。风险管理理念已经由银行业传播到非银行机构，包括保险行业等。</font></span></span></span></span></p> <h2 style="margin-top:7.8pt; margin-bottom:7.8pt; text-align:justify"><span style="font-size:12pt"><span style="font-family:"><span style="font-weight:bold"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">（二）问题与批评</font></span></span></span></b></span></span></span></h2> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 问题与批判包括照搬照抄、不适用国情和不接地气、风险管理</font><font face="宋体">&ldquo;花瓶&rdquo;和&ldquo;两张皮&rdquo;、投入高成本大、量化模型局限性、实施效果不明显等等。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 关于最后一点，为什么很多人认为实施效果不明显？因为大家觉得银行实施《巴塞尔协议》就是用一些</font><font face="宋体">I</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">T</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">系统，给领导和监管者看，作用并不太大。这些观点既来自业务，也</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">来自于</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">部分研究者。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 问题要客观看待，一个基本的观点就是：</font><font face="宋体">实施《巴塞尔协议》关乎</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">金融行业最核心的问题</font><font face="宋体">&mdash;&mdash;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理的全面建设</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">这不是一蹴而就的，不能期待买一个</font><font face="宋体">I</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">T</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">系统就可以达成，尤其是很难在短时间内改变领导的理念。引进风险管理，先有</font><font face="宋体">&ldquo;花瓶&rdquo;，再有水平，要给自己一段时间。核心风控体系的建设，不是一代人可以完成的，只要坚持方向，一年比一年有进步就行。</font></span></span></span></span></p> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 另外一个问题是，风险管理工作的绩效是不直观的，这是风险管理工作的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">最大</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">挑战性，是风险管理本身的特点。风险管理部门不像业务部门，没有客户增长，部门的业绩与佣金、利息等收入没有直接关系。在很多情况下，风险管理部门在说</font><font face="宋体">&ldquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">N</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">o</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">&rdquo;</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，说</font><font face="宋体">&ldquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">N</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">o</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&rdquo;不能被认为创造了收益，也很难说是拒绝了损失还是妨碍了业务发展。绩效都在心里、在脑子里。但不直观不等于观察不到，只有拥有现代风险管理理念才可以观察到</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险管理的业绩与其说是风险管理部门干出来的，不如说是领导看出来的，如果领导认为只是用来应付监管的，那就不重要，如果领导坚信风险政策的科学性、长远性、复杂性、专业性，坚信投入</font><font face="宋体">I</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">T</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">系统、数据体系、制度规范非常重要，就能看到风险管理的作用和业绩。</font></span></span></span></span></p> <h1 style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:黑体"><span style="font-weight:bold"><b><span style="font-size:14.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">五、建议</font></span></span></span></b></span></span></span></h1> <p style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:left"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp; 坚持从本质、以学习的方式实施；坚持结合国情以探索创新的方式实施；倡导专业化的全面风险管理；持续培养和稳定专业骨干团队，提升待遇和发展空间；高层领导要更多地公开宣讲《巴塞尔协议》。</font></span></span></span></span></p> <p align="right" style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:right"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（责任编辑：郭</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">舒琪</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">）</font></span></span></span></span></p> <p align="right" style="margin-top:7.8000pt; margin-bottom:7.8000pt; text-align:right"><span style="font-size:12pt"><span style="font-family:等线"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">来源：</font><font face="宋体">T</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体">GES </span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">2021高级研讨会：资本、风险偏好和限额管理（8月）</font></span></span></span></span></p> , weight => 0, expert_id => 11, classroomId => 0, length => , startTime => 1628296200, floorId => 0 ], 5 => [ id => 12929, type => information, title => 林子懿：流动性风险限额、预警指标及报告, subtitle => 林子懿,锐合新创科技有限公司总监, tags => [], categoryId => 43, cate_child => 0, cate_grand => 0, summary => null, goals => [], audiences => [], isVip => 0, cover => [], status => published, creator => 3, createdTime => 1628296200, updatedTime => 1630676816, serializeMode => none, ratingNum => 0, rating => 0, noteNum => 0, studentNum => 0, hotSeq => 0, recommended => 0, recommendedSeq => 0, recommendedTime => 0, orgId => 1, orgCode => 1., discountId => 0, discount => 10.00, hitNum => 0, maxRate => 100, materialNum => 0, parentId => 0, locked => 0, minCoursePrice => 0.00, maxCoursePrice => 0.00, teacherIds => [ 0 => 3 ], defaultCourseId => 12929, sourceUrl => null, body => <p class="16" style="text-align: center;"><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><font face="宋体">流动性风险限额</font></span></span></b><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><font face="宋体">、</font></span></span></b><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><font face="宋体">预警指标及报告</font></span></span></b></p> <p class="16" style="text-align: center;"><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><font face="宋体">精</font></span></span></b><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><font face="宋体">选</font></span></span></b><b><span style="font-size:18.0000pt"><span style="font-family:宋体"><font face="宋体">观点</font></span></span></b></p> <p align="center" class="17" style="text-align:center"><span style="font-size:12.0000pt"><span style="font-family:楷体"><font face="楷体">林子懿</font> <font face="楷体">锐合新创科技有限公司总监</font></span></span></p> <p class="17">&nbsp;</p> <p class="15"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">1、重检流动性风险限额框架时的四个问题</font></span></span></span></b></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;在框架的自我评估及重检过程中，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">是</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">需要带着问题去看</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">的</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，主要从下述四个问题出发：</font></span></span></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体">&nbsp; &nbsp;1.各项限额指标所要监测和管理的不同风险程度；</span></span></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体">&nbsp; &nbsp;2.是否按照统一、完整的风险因素矩阵梳理所有的各类限额指标；</span></span></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体">&nbsp; &nbsp;3.如何设置这些限额指标的阈值（包括但不限于限额值、预警值、应急计划或恢复计划下的预警值和触发值）？</span></span></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体">&nbsp; &nbsp;4.基于前述三个问题的答复，除了提供是否超限的信息，内部管理报告还能提供哪些有用的信息？</span></span></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;在重检过程中，需要思考为什么提出上述问题，针对每个问题进行综合考量，然后考虑如何解答这些问题以及如何在原有基础上做得更好。最后，再回顾思考，通过这样的重检过程以及进一步提升之后，是否真的达到提升银行的流动性风险管理水平及整体管理能力的最终目标。</font></span></span></p> <p class="18">&nbsp;</p> <p class="15"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">2、银行整体经营环境的演变过程</font></span></span></span></b></p> <p class="19"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;就之前银行的整体经营环境而言，</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">其</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">风险宇宙实际上</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">只</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">局限于正常经营这一局部而核心的部分，银行绝对不会去立一个</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&ldquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">遗嘱</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&rdquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">。银行所有的限额管理及监测预警指标都是为了保证其长期稳定的经营发展，因此也不会制订所谓</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&ldquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">恢复处置计划</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&rdquo;</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，即设置一些监测指标，使得当触发指标阈值时启动恢复处置计划。从</font>2008年以后，银行的风险宇宙开始从这一小部分一直扩展到应急计划，后者根据严重程度分为不同情况。针对这些不同的风险程度，银行制定了各项的监测指标，包括这些指标的预警值和触发值。到最近几年，</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">又</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">进一步把恢复处置计划扩充至风险宇宙，压力测试也从之前只关注测试结果转变为根据测试结果如何开展自救，以使得将来如果有危机发生，不能用纳税人的钱去救银行。最近的监管都是要求银行的恢复计划需要明确在未来的</font>6个月进行自救的方法，以使得自身能够恢复到正常经营的水平。</span></span></p> <p class="19">&nbsp;</p> <p class="15"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">3、银行经营中所面对的不同风险水平</font></span></span></span></b></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体">&nbsp; &nbsp;2008年之前，监管的整体要求，包括银行同业的一些实际做法，都比较关注是最里面的银行风险偏好，即银行要实现长期稳健、持续经营的目标，所需要维持风险水平。以往的很多限额及指标，其实都是围绕着风险水平浮动。有时市场会有波动，有时可能因为出现一些较大的坏账，使得风险水平无法维持在绿色范围内，波动至黄色部分，即风险容忍度，这是银行所愿意接受的风险水平。在实际经营中，银行在一些非正常情况下、短期内要接受超出其风险偏好的风险水平，这是银行在不超过其最大风险承受水平前提下所愿意承受的风险容忍度。银行会希望经过非正常之后，它能够较快地回到绿色的安全地带。在长期稳健经营目标下，该风险水平应控制在风险偏好内。到实施应急计划时，其实银行已经处于橙色的风险水平，即银行可以承受的最大风险水平。而实施恢复处置计划时，风险水平就已经超出这个圈了。在过去十年，大家都会提及反向压力测试，反向其实就是从橙色的部分反过来压力测试，即评估当风险处于何种水平时，达到银行的最大可承受点。</span></span></p> <p class="18">&nbsp;</p> <p class="15"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">4、统一的风险矩阵有助于监测和管理流动性风险</font></span></span></span></b></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;以统一完整的风险因素矩阵为依据，可以将确定对应风险水平的限额指标放入矩阵中，有利于统一的监测管理。比如某一部分亮红灯，银行可以清楚地知道是哪一部分的风险来源和风险类别出现了问题，这样可以规范地、知其所以然地监测和管理银行整体的限额指标体系。这样一来，无论是提供风险管理报告，还是进行归因分析，又或是对限额框架进行重检时，都可以知道目前每一个指标所揭示的银行流动性风险存在的隐患及其所处的位置，然后通过逐月比较，还能够明白哪一部分的风险来源或是其风险因素会朝着不利方向发展，以及下一步应该关注的内容。这就形成一张限额指标体系的晴雨表，可以很</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">清楚地知道</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">哪</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">一块亮红灯，需要关注其他哪一部分的内容，同时应该采取何种管理措施，以使红灯变成绿灯。</font></span></span></p> <p class="18">&nbsp;</p> <p class="15"><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">5</font></span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold">.</span></span></span></b><b><span style="font-size:12.0000pt"><span style="font-family:宋体"><span style="font-weight:bold"><font face="宋体">限额指标阈值设定时的考虑因素</font></span></span></span></b></p> <p class="18"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">&nbsp; &nbsp;需要注意的是，整体现金流出的历史最差时点未必与某内部管理指标的历史最差时点一致，比如在某</font>A指标的历史最差时点，由于其他几个重要风险因素的相关指标处于较为良好的水平，使得该时点的整体现金流出金额不是历史最差。因此，对于该指标的行内限额和预警值的评估，除了考虑整体现金流出金额的历史较差时点下该指标的数值之外，还需考虑该指标自身的历史波动和历史较差时点。其他还有一些技术方面的问题</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">需要注意</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">，如在进行这类</font>24个时点的分析时，是否假设优质流动资产不发生变化。</span></span></p> <p class="18">&nbsp;</p> <p align="right" class="18" style="text-align:right"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（责任编辑：</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">冉鑫</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">）</font></span></span></p> <p align="right" class="18" style="text-align:right"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">来源：</font>2021年高级研讨会</span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">：资产负债管理与流动性风险管理</font></span></span></p> <p align="right" class="18" style="text-align:right"><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">高级研讨会</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">（</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">8</font></span></span><span style="font-size:12.0000pt"><span style="font-family:宋体"><font face="宋体">月）</font></span></span></p> <p align="right" class="18" style="text-align:right">&nbsp;</p> <p class="18" style="text-align:left">&nbsp;</p> <p align="justify" class="18" 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