基于期权和基本面分析的银行危机预警模型研究
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摘要
商业银行是金融系统的核心组成部分,其稳定性对整个系统乃至资本市场的稳定具有重要意义。全球性金融危机事件表明,实施银行危机预警是预防银行危机发生与蔓延、维护经济与社会秩序稳定、避免金融危机等实践工作的根本需求与重要保证。
本研究基于期权定价原理,对经典的信用风险模型进行改进,构建了中国商业银行的危机预警模型。本研究的设计思路源于经典的基本面分析方法,即从上至下的三步分析法(Top-down analysis),把影响商业银行宏观因素、行业因素和银行自身因素考虑到模型构建过程中去。其次,按照基本面分析的程序进行研究设计,重新定义了一个新的参数—困境距离；最后,采用中国14家上市银行2007年9月至2010年4月的630个交易日数据进行了实证检验。通过预警模型的实证与分析表明,中国上市银行的危机状况都比较乐观,而国有控股商业银行状况最好,城市商业银行的状况要比股份制银行的状况要好。随后,研究中通过方差分析证明困境距离比违约距离更敏感,从而得出困境距离可为中国上市银行危机预警提供依据的结论。
本文的研究思想和一般的信用风险模型正相反,是把银行作为研究对象,从银行管理者视角总结了影响银行危机的宏观因素、行业因素和银行自身因素,然后以改进的信用风险模型对银行自身进行危机预警。研究中结合了期权定价模型和基本面分析各自的优点,通过模型构建强调了银行作为金融中介的地位,弥补了已有研究把银行和一般企业的地位等同的不足。同时,考虑到行业划分,通过引入行业风险系数和资本充足率等指标,解决了已有模型不能识别不同行业样本、及其适用性的问题。
The commercial banks are core parts of modern financial system. The global financial crisis shows that, the implementation of the bank crisis warning is important for preventing the bank crisis and its spreading, maintaining economic and social stability, even avoiding financial crisis. It is a fundamental and necessary backup for this reason.
Using an option-based approach, this paper constructs a distress warning model for Chinese listed commercial banks and analyzes the distress situations the banks with the samples from 2007 to 2010.This study of ideas from classic fundamental analysis method, namely the three-step process (Top-down analysis), through the influence of commercial bank macroscopical factors, the industry factor and the banks specific factors into consideration, in a system under the framework of the model to construct.This paper defines a new parameters-distance-to-distress, and involves he capital adequacy ratio. Also, considering the industry separation, the concept of industry risk factor is introduced. The study results show that China's 14 listed commercial banks all appear to be safe because of their positive values of distance-to-distress and the state-owned banks have the best distress situations. Second, the parameter, distance to distress, is more sensitive to interest rate than the distance to default.
This study through the model building emphasizes the bank as a financial intermediary status, combined with an option pricing model and fundamental analysis of their advantages. Also, considering the industry division, through the introduction of industry risk coefficient and capital adequacy ratio index, the paper solved the existing model can't identify different samples, and its applicability regarding the industry.
本研究基于期权定价原理,对经典的信用风险模型进行改进,构建了中国商业银行的危机预警模型。本研究的设计思路源于经典的基本面分析方法,即从上至下的三步分析法(Top-down analysis),把影响商业银行宏观因素、行业因素和银行自身因素考虑到模型构建过程中去。其次,按照基本面分析的程序进行研究设计,重新定义了一个新的参数—困境距离；最后,采用中国14家上市银行2007年9月至2010年4月的630个交易日数据进行了实证检验。通过预警模型的实证与分析表明,中国上市银行的危机状况都比较乐观,而国有控股商业银行状况最好,城市商业银行的状况要比股份制银行的状况要好。随后,研究中通过方差分析证明困境距离比违约距离更敏感,从而得出困境距离可为中国上市银行危机预警提供依据的结论。
本文的研究思想和一般的信用风险模型正相反,是把银行作为研究对象,从银行管理者视角总结了影响银行危机的宏观因素、行业因素和银行自身因素,然后以改进的信用风险模型对银行自身进行危机预警。研究中结合了期权定价模型和基本面分析各自的优点,通过模型构建强调了银行作为金融中介的地位,弥补了已有研究把银行和一般企业的地位等同的不足。同时,考虑到行业划分,通过引入行业风险系数和资本充足率等指标,解决了已有模型不能识别不同行业样本、及其适用性的问题。
The commercial banks are core parts of modern financial system. The global financial crisis shows that, the implementation of the bank crisis warning is important for preventing the bank crisis and its spreading, maintaining economic and social stability, even avoiding financial crisis. It is a fundamental and necessary backup for this reason.
Using an option-based approach, this paper constructs a distress warning model for Chinese listed commercial banks and analyzes the distress situations the banks with the samples from 2007 to 2010.This study of ideas from classic fundamental analysis method, namely the three-step process (Top-down analysis), through the influence of commercial bank macroscopical factors, the industry factor and the banks specific factors into consideration, in a system under the framework of the model to construct.This paper defines a new parameters-distance-to-distress, and involves he capital adequacy ratio. Also, considering the industry separation, the concept of industry risk factor is introduced. The study results show that China's 14 listed commercial banks all appear to be safe because of their positive values of distance-to-distress and the state-owned banks have the best distress situations. Second, the parameter, distance to distress, is more sensitive to interest rate than the distance to default.
This study through the model building emphasizes the bank as a financial intermediary status, combined with an option pricing model and fundamental analysis of their advantages. Also, considering the industry division, through the introduction of industry risk coefficient and capital adequacy ratio index, the paper solved the existing model can't identify different samples, and its applicability regarding the industry.
引文
[1]Demirguc-Kunt A, Detragiache E. The Determinants of Banking Crisesin Developing and Developed Countries [D]. IMF Staff papers,1998,45(1):81-109.
[2]Wong J, Wong TC, Leung P. Predicting banking distress in the EMEAP economies[J]. Journal of Financial Stability, In Press, Corrected Proof, Available online 15 January 2010.
[3]Bongini P, Claessens S, Ferri G. The Political Economy of Distress in East Asian Financial Institutions [J]. Journal of Financial Services Research,2001, 19(1):5-25.
[4]李浩.股份制商业银行发展战略研究[J].金融研究,2004,(1)：82-90.
[5]Iftekhar Hasan, Michael Koetter, Michael Wedowd. Regional growth and finance in Europe:Is there a quality effect of bank efficiency? [J]. Journal of Banking and Finance,2009,33:446-453.
[6]朱建武.中小银行规模扩张的动因与行为逻辑分析[J].财经理论与实践.2007,(1)：73-79.
[7]邹潮飞.我国城市商业银行规模扩张的动机与效应研究[J].南方金融理论研究,2008.
[8]骆月.我国商业银行规模扩张的效用分析[J].商业研究,2004
[9]Demirguc-Kunt A, Detragiache E. The Determinants of Banking Crisesin Developing and Developed Countries [D]. IMF Staff papers,1998,45(1):81-109.
[10]Daley J, Matthews K, Whitf ield K. Too-big-to-fail:Bank failure and banking policy in Jamaica[J]. Journal of International Financial Markets, Institutions and Money, 2008,18(3):290-303.
[11]D. Gray and James P. Walsh, Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System, IMF Working Paper, No.89,2008.
[12]M. Arena. Bank failures and bank fundamentals:A comparative analysis of Latin America and East Asia during the nineties using bank-level data[J]. Journal of Banking and Finance,2008,32(2):299-310
[13]Curry T J, Elmer P J, Fissel G S. Equity market data, bank failures and market efficiency [J]. Journal of Economics and Business,2007,59(6):536-559.
[14]Diego Romero. Finance and growth in the EU:New evidence from the harmonization of the banking industry [J]. Journal of Banking and Finance,2010,31:937-960.
[15]蒋庆洋,田传战.俄罗斯商业银行体系的发展状况及存在的问题[J].国际金融研究,1996,(10)：19-20.
[16]Sahminan S. Effects of exchange rate depreciation on commercial bank failures in Indonesia[J]. Journal of Financial Stability,2007,3 (2):175-193.
[17]刘莉亚,任若恩.银行危机与货币危机共生性关系的实证研究[J].经济研究,2003(10)
[18]Anastasia Koutsomanoli-Filippaki,Dimitris Margaritis, Christos Staikouras. Efficiency and productivity growth in the banking industry of Central and Eastern Europe [J]. Journal of Banking and Finance,2009,33:557-579.
[19]李涛.商业银行监管的国际比较：模式及影响——兼论中国的商业银行监管模式选择[J].经济研究,2003,(12)：43-43.
[20]江曙霞,任婕茹.资本充足率监管压力下资本与风险的调整—基于美国商业银行数据的实证分析[J].厦门大学学报(哲学社会科学版),2009,(4)：79-85.
[21]Akhigbe A, Madura J. Why do contagion effects vary among bank failures?[J]. Journal of Banking & Finance,2001,25(4):657-680.
[22]马君潞,范小云,曹元涛.中国银行间市场双边传染的风险估测及其系统性特征分析[J].经济研究,2007,(1)：69-79.
[23]Blum J. Do capital adequacy requirement s reduce risks in banking?[J]. Journal of Banking & Finance 1999,23(5):755-771.
[24]Calem P S, Rob R. The impact of capital based regulation on bank risk taking [J]. Journal of Financial Intermediation,1999,8(4):317～352.
[25]Beverly Hirtle. The impact of network size on bank branch performance[J]. Journal of Banking and Finance,2007,31:782-805.
[26]Nachane D M, Ghosh S. An empirical analysis of the off-balance sheet activities of Indian banks[J]. Journal of Emerging Market Finance,2007,6(1):39-59.
[27]王海霞.银行风险、收益与客户贷款集中度—基于城市商业银行的实证分析[J].金融理论与实践,2009(11)：71-74.
[28]Kalotychou E and Stalkouras S K. An Empirical Investigation of the Loan Concentration Risk in Latin America[J]. Journal of Multinational Financial Management,2006,16(4):363-384.
[29]Bongini P, Claessens S, Ferri G. The Political Economy of Distress in East Asian Financial Institutions [J]. Journal of Financial Services Research,2001,19:5-25
[30]Carlos D. Ramirez. Bank fragility, money under the mattress, and long-run growth [J]. Journal of Banking and Finance,2009,33:185-198.
[31]Andre Uhde, Ulrich Heimeshoff. Consolidation in banking and financial stability in Europe[J]. Journal of Banking and Finance,2009,33:289-311.
[32]Hsing-Chin Hsiao, Hsihui Chang, Anna M. Cianci, Li-Hua Huang. First Financial Restructuring and operating efficiency-Evidence from Taiwanese commercial banks[J]. Journal of Banking and Finance,2010,34,146-171.
[33]Allen N. Berger, Iftekhar Hasan, Mingming Zhou. The effects of focus versus diversification on bank performance- Evidence from Chinese banks [J]. Journal of Banking and Finance,2010,34:417-435
[34]梁世栋.商业银行风险计量理论与实务：《巴塞尔资本协议》核心技术[M].中国金融出版社,2010.
[35]谢赤,罗长青.财务困境预测的参数方法与非参数方法及其比较[J].当代财经,2007,(7)：113-117.
[36]S. Sahminan. Effects of exchange rate depreciation on commercial bank failures in Indonesia[J]. Journal of Financial Stability,2007,3 (2):175-193.
[37]D.Martin. Early warning of bank failure:A logit regression approach [J]. Journal of Banking and Finance,1977,1(3):249-276
[38]K. Y. Tam, M. Y. Kiang. Managerial applications of neural networks:The case of bank failure predictions [J]. Management Science,1992,38 (7):926-947. neural-fuzzy based early warning system for predicting bank failure [J]. Neural Networks,2004, 17(4):567-587.
[39]Tung W L, Quek C, Cheng P. GenSo-EWS:a novel neural-fuzzy based early warning system for predicting bank failure [J]. Neural Networks,2004,17(4):567-587.
[40]Ng G S, Quek C, Jiang H. FCMAC-EMS:A bank failure early warning system based on a novel localized pattern learning and semantically associative fuzzy neural network[J].Expert Systems with Applications,2008,34(2):989-1003.
[41]Mason J R. A real options approach to bankruptcy costs:evidence from failed commercial banks during the 1990s[J]. Journal of Business,2005,78(4):1523-1553.
[42]J. A. McQuown. A Comment on Market vs. Accounting-Based Measures of Default Risk. Moody's KMV,1993.
[43]M. Kurbat, I.Korablev. Methodology for testing the level of the EDFTM credit measure. Moody's KMV,2002
[44]鲁炜,赵恒珩,刘冀云.KMV模型关系函数推测及其在中国股市的验证[J].运筹与管理.2003,06：43-48.
[45]夏红芳,马俊海.基于KMV模型的上市公司信用风险预测[J].预测.2008,06：39-43.
[46]孙小琰,沈悦,罗璐琦.基于KMV模型的我国上市公司价值评估实证研究[J].管理工程学报.2008,022：102-108.
[47]R. Gropp, J. Vesala, G. Vuleps. Euity and market signals as leading indicators of bank fragility.European central bank working paper. No.150,2002.
[48]Y. Liu, E. Papakirykos, and M. Yuan. Market valuation and risk assessment of Canadian Banks, Bank of Canada Working Paper 2004-34.
[49]Zhiwu Chen, Peng Xiong. Discounts on Illiquid Stocks:Evidence from China,2001 Yale ICF Working Paper No.00-56, September 2001
[50]刘明康在“亚洲金融论坛”上的演讲(全文)-要闻播报-中国金融界网《网络(http://www.zgjrjw.com/news/yywbb/2010120/22211576044.html)》
[51]刘明康：中国银行家们对未来的平衡发展肩负希望《网络(http://www.gov.cn/gzdt/2010一01/21/content_1516197.htm)》
[2]Wong J, Wong TC, Leung P. Predicting banking distress in the EMEAP economies[J]. Journal of Financial Stability, In Press, Corrected Proof, Available online 15 January 2010.
[3]Bongini P, Claessens S, Ferri G. The Political Economy of Distress in East Asian Financial Institutions [J]. Journal of Financial Services Research,2001, 19(1):5-25.
[4]李浩.股份制商业银行发展战略研究[J].金融研究,2004,(1)：82-90.
[5]Iftekhar Hasan, Michael Koetter, Michael Wedowd. Regional growth and finance in Europe:Is there a quality effect of bank efficiency? [J]. Journal of Banking and Finance,2009,33:446-453.
[6]朱建武.中小银行规模扩张的动因与行为逻辑分析[J].财经理论与实践.2007,(1)：73-79.
[7]邹潮飞.我国城市商业银行规模扩张的动机与效应研究[J].南方金融理论研究,2008.
[8]骆月.我国商业银行规模扩张的效用分析[J].商业研究,2004
[9]Demirguc-Kunt A, Detragiache E. The Determinants of Banking Crisesin Developing and Developed Countries [D]. IMF Staff papers,1998,45(1):81-109.
[10]Daley J, Matthews K, Whitf ield K. Too-big-to-fail:Bank failure and banking policy in Jamaica[J]. Journal of International Financial Markets, Institutions and Money, 2008,18(3):290-303.
[11]D. Gray and James P. Walsh, Factor Model for Stress-testing with a Contingent Claims Model of the Chilean Banking System, IMF Working Paper, No.89,2008.
[12]M. Arena. Bank failures and bank fundamentals:A comparative analysis of Latin America and East Asia during the nineties using bank-level data[J]. Journal of Banking and Finance,2008,32(2):299-310
[13]Curry T J, Elmer P J, Fissel G S. Equity market data, bank failures and market efficiency [J]. Journal of Economics and Business,2007,59(6):536-559.
[14]Diego Romero. Finance and growth in the EU:New evidence from the harmonization of the banking industry [J]. Journal of Banking and Finance,2010,31:937-960.
[15]蒋庆洋,田传战.俄罗斯商业银行体系的发展状况及存在的问题[J].国际金融研究,1996,(10)：19-20.
[16]Sahminan S. Effects of exchange rate depreciation on commercial bank failures in Indonesia[J]. Journal of Financial Stability,2007,3 (2):175-193.
[17]刘莉亚,任若恩.银行危机与货币危机共生性关系的实证研究[J].经济研究,2003(10)
[18]Anastasia Koutsomanoli-Filippaki,Dimitris Margaritis, Christos Staikouras. Efficiency and productivity growth in the banking industry of Central and Eastern Europe [J]. Journal of Banking and Finance,2009,33:557-579.
[19]李涛.商业银行监管的国际比较：模式及影响——兼论中国的商业银行监管模式选择[J].经济研究,2003,(12)：43-43.
[20]江曙霞,任婕茹.资本充足率监管压力下资本与风险的调整—基于美国商业银行数据的实证分析[J].厦门大学学报(哲学社会科学版),2009,(4)：79-85.
[21]Akhigbe A, Madura J. Why do contagion effects vary among bank failures?[J]. Journal of Banking & Finance,2001,25(4):657-680.
[22]马君潞,范小云,曹元涛.中国银行间市场双边传染的风险估测及其系统性特征分析[J].经济研究,2007,(1)：69-79.
[23]Blum J. Do capital adequacy requirement s reduce risks in banking?[J]. Journal of Banking & Finance 1999,23(5):755-771.
[24]Calem P S, Rob R. The impact of capital based regulation on bank risk taking [J]. Journal of Financial Intermediation,1999,8(4):317～352.
[25]Beverly Hirtle. The impact of network size on bank branch performance[J]. Journal of Banking and Finance,2007,31:782-805.
[26]Nachane D M, Ghosh S. An empirical analysis of the off-balance sheet activities of Indian banks[J]. Journal of Emerging Market Finance,2007,6(1):39-59.
[27]王海霞.银行风险、收益与客户贷款集中度—基于城市商业银行的实证分析[J].金融理论与实践,2009(11)：71-74.
[28]Kalotychou E and Stalkouras S K. An Empirical Investigation of the Loan Concentration Risk in Latin America[J]. Journal of Multinational Financial Management,2006,16(4):363-384.
[29]Bongini P, Claessens S, Ferri G. The Political Economy of Distress in East Asian Financial Institutions [J]. Journal of Financial Services Research,2001,19:5-25
[30]Carlos D. Ramirez. Bank fragility, money under the mattress, and long-run growth [J]. Journal of Banking and Finance,2009,33:185-198.
[31]Andre Uhde, Ulrich Heimeshoff. Consolidation in banking and financial stability in Europe[J]. Journal of Banking and Finance,2009,33:289-311.
[32]Hsing-Chin Hsiao, Hsihui Chang, Anna M. Cianci, Li-Hua Huang. First Financial Restructuring and operating efficiency-Evidence from Taiwanese commercial banks[J]. Journal of Banking and Finance,2010,34,146-171.
[33]Allen N. Berger, Iftekhar Hasan, Mingming Zhou. The effects of focus versus diversification on bank performance- Evidence from Chinese banks [J]. Journal of Banking and Finance,2010,34:417-435
[34]梁世栋.商业银行风险计量理论与实务：《巴塞尔资本协议》核心技术[M].中国金融出版社,2010.
[35]谢赤,罗长青.财务困境预测的参数方法与非参数方法及其比较[J].当代财经,2007,(7)：113-117.
[36]S. Sahminan. Effects of exchange rate depreciation on commercial bank failures in Indonesia[J]. Journal of Financial Stability,2007,3 (2):175-193.
[37]D.Martin. Early warning of bank failure:A logit regression approach [J]. Journal of Banking and Finance,1977,1(3):249-276
[38]K. Y. Tam, M. Y. Kiang. Managerial applications of neural networks:The case of bank failure predictions [J]. Management Science,1992,38 (7):926-947. neural-fuzzy based early warning system for predicting bank failure [J]. Neural Networks,2004, 17(4):567-587.
[39]Tung W L, Quek C, Cheng P. GenSo-EWS:a novel neural-fuzzy based early warning system for predicting bank failure [J]. Neural Networks,2004,17(4):567-587.
[40]Ng G S, Quek C, Jiang H. FCMAC-EMS:A bank failure early warning system based on a novel localized pattern learning and semantically associative fuzzy neural network[J].Expert Systems with Applications,2008,34(2):989-1003.
[41]Mason J R. A real options approach to bankruptcy costs:evidence from failed commercial banks during the 1990s[J]. Journal of Business,2005,78(4):1523-1553.
[42]J. A. McQuown. A Comment on Market vs. Accounting-Based Measures of Default Risk. Moody's KMV,1993.
[43]M. Kurbat, I.Korablev. Methodology for testing the level of the EDFTM credit measure. Moody's KMV,2002
[44]鲁炜,赵恒珩,刘冀云.KMV模型关系函数推测及其在中国股市的验证[J].运筹与管理.2003,06：43-48.
[45]夏红芳,马俊海.基于KMV模型的上市公司信用风险预测[J].预测.2008,06：39-43.
[46]孙小琰,沈悦,罗璐琦.基于KMV模型的我国上市公司价值评估实证研究[J].管理工程学报.2008,022：102-108.
[47]R. Gropp, J. Vesala, G. Vuleps. Euity and market signals as leading indicators of bank fragility.European central bank working paper. No.150,2002.
[48]Y. Liu, E. Papakirykos, and M. Yuan. Market valuation and risk assessment of Canadian Banks, Bank of Canada Working Paper 2004-34.
[49]Zhiwu Chen, Peng Xiong. Discounts on Illiquid Stocks:Evidence from China,2001 Yale ICF Working Paper No.00-56, September 2001
[50]刘明康在“亚洲金融论坛”上的演讲(全文)-要闻播报-中国金融界网《网络(http://www.zgjrjw.com/news/yywbb/2010120/22211576044.html)》
[51]刘明康：中国银行家们对未来的平衡发展肩负希望《网络(http://www.gov.cn/gzdt/2010一01/21/content_1516197.htm)》