Research On Regulatory Capital Arbitrage And Countermeasures Of Commercial Banks In China

The outbreak of the US subprime mortgage crisis in 2007 was not only related to the inherent lag of the regulatory system,but also closely related to the financial innovation of the banking industry and the extensive use of financial derivatives.Reflecting on the causes of this crisis,commercial banks tend to benefit and expand the scale of lending,in order to meet the regulatory requirements of regulatory authorities,the use of financial innovation to avoid capital regulation,it can be said that the regulatory capital arbitrage is leading to regulatory failure and crisis One of the important causes of the outbreak.Regulatory capital arbitrage is a commercial bank to use securitization and other financial innovation means to change the composition of assets and reduce the number of risk-weighted assets so that it can raise the capital adequacy ratio or the actual risk increase while the actual risk does not decrease and the capital adequacy ratio Reduce the arbitrage pattern.After the outbreak of the financial crisis,the Basel Committee enacted the third edition of the Basel Accord,which provided stricter demands on capital and paid more attention to the issue of regulatory capital arbitrage.Therefore,the study of commercial banks to regulate capital arbitrage of this issue to enhance the level of bank management,maintenance of financial system stability is of great significance.This paper first combs the concept and mode of capitalization and capitalization of commercial banks,and compares the contents of the provisions of different Basel agreements and China's regulatory agreements to obtain that the regulatory capital arbitrage is born with the regulatory agreement.With incomplete,which will inevitably bring about the problem of regulatory capital arbitrage.Then the use of option pricing method,the economic capital,regulatory capital and the degree of deviation between the two theoretical measures.After discussing the theoretical basis,the data of 16 listed commercial banks in China are taken as the object of study,and the problem of arbitrage of regulatory capital exists in China's commercial banksthrough the comparison of panel joint equation and index.The results show that when the difference between the economic capital held by the commercial bank and the regulatory capital stipulated by the supervisory authority exceeds a certain amount,the commercial bank will produce the regulatory capital arbitrage.In the empirical analysis of China's listed commercial banks,it is found that the capital adequacy ratio of commercial banks in China is higher,partly because of its capital management,and on the other because of the existence of regulatory capital arbitrage activities.After the theoretical research and empirical analysis,this paper puts forward some countermeasures and suggestions on the capital supervision of China's commercial banks,hoping that the supervisory authorities of our country can further improve the supervision system and guide the reasonable arbitrage behavior so as to control the arbitrage of capital While playing its positive role.