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歐債危機(jī)根源在銀行

歐債危機(jī)根源在銀行

Sheila Bair 2011-11-04
在歐洲的監(jiān)管框架下,風(fēng)險評估已變成由銀行家們自己說了算。

????歐洲主權(quán)債務(wù)危機(jī)正在慢慢地將全球經(jīng)濟(jì)推回谷底。解決這場危機(jī)為什么這么苦難?答案再次歸結(jié)為銀行業(yè)過度承擔(dān)的風(fēng)險和它們所采取的杠杠率。10月末歐洲領(lǐng)導(dǎo)人終于說服銀行業(yè)將手中的希臘債務(wù)減免50%,雖然希臘近期倡議的全民公決可能阻礙這一方案的實施。但債務(wù)重組也就只能進(jìn)行到這個程度,因為歐洲銀行業(yè)沒有足夠的資本金來消化未來的損失,國際貨幣基金組織(IMF)估計損失將達(dá)到2,800億美元或更高。那么,為什么歐洲銀行業(yè)的資本金會如此單???責(zé)任完全在歐洲銀行業(yè)和它們的監(jiān)管機(jī)構(gòu)身上。

????銀行業(yè)監(jiān)管機(jī)構(gòu)評估一家銀行的資本金是否足以應(yīng)對其貸款、投資和其他資產(chǎn)的損失時會考慮這些資產(chǎn)的風(fēng)險水平。比方說,美國國債的風(fēng)險低于無擔(dān)保信用卡貸款額度(我們希望如此)。但實際操作有很大的靈活性,而且歐洲監(jiān)管機(jī)構(gòu)在這方面給予銀行的空間也遠(yuǎn)大于美國。因此,從上世紀(jì)90年代中期開始,歐洲銀行業(yè)就一直在下調(diào)潛在資產(chǎn)損失的估算值,如今依然聲稱它們的資產(chǎn)安全性是美國銀行的兩倍。

????歐洲采用復(fù)雜的巴塞爾協(xié)議II(Basel II),進(jìn)一步激化了這個問題——巴塞爾協(xié)議II事實上是讓銀行高管自己來確定資產(chǎn)的風(fēng)險水平。簡直是幼稚。聲稱資產(chǎn)風(fēng)險低符合銀行高管的利益,因為這樣銀行就能實現(xiàn)杠桿率和凈資產(chǎn)回報率最大化,進(jìn)而提高高管的報酬和分紅。事實上,即使是在大蕭條時期,債務(wù)拖欠和違約增加,大多數(shù)歐洲銀行仍然聲稱它們資產(chǎn)的安全正在提高。

????有美國聯(lián)邦存款保險公司(FDIC)擔(dān)保的美國銀行業(yè)在如何確定資產(chǎn)風(fēng)險水平方面受到更為嚴(yán)格的監(jiān)管規(guī)范,同時資本金充足的銀行須持有至少相當(dāng)于資產(chǎn)總額5%的資本金,無論它們自認(rèn)資產(chǎn)風(fēng)險水平如何。因此,對于任何資產(chǎn),無論是現(xiàn)金、美國國債、還是據(jù)稱安全的按揭貸款,銀行都必須至少持有相當(dāng)于資產(chǎn)額5%的資本金。歐洲銀行業(yè)沒有此類“杠杠率”,而且巴塞爾協(xié)議II也允許它們將主權(quán)債券視為零風(fēng)險資產(chǎn)。這就是它們累積了近3萬億美元主權(quán)債券的原因之一。

????去年,巴塞爾銀行監(jiān)管委員會(Basel Committee on Banking Supervision)終于批準(zhǔn)了的3%國際杠桿率,盡管這一比例仍然過低。即便是這么低的要求,該委員會的研究發(fā)現(xiàn)全球仍有超過 40%的大銀行都需要補(bǔ)充資本金。與此同時,歐洲銀行管理局(European Banking Authority)正在將歐洲銀行業(yè)的普通股權(quán)益資本比率提高到9%,大大高于巴塞爾協(xié)議II的2%標(biāo)準(zhǔn),基本相當(dāng)于新的巴塞爾協(xié)議III的標(biāo)準(zhǔn)。但即便是采用9%的標(biāo)準(zhǔn),眾多歐洲銀行仍將保持極端的杠桿率,因為它們對風(fēng)險所持的觀點仍然相當(dāng)樂觀。

????作為補(bǔ)充,歐洲監(jiān)管機(jī)構(gòu)應(yīng)該采用巴塞爾協(xié)議III的3%杠桿率,考慮到會計標(biāo)準(zhǔn)的不同所需要做出的調(diào)整,更好的選擇是采用美國的5%標(biāo)準(zhǔn)。此外,歐洲銀行管理局還應(yīng)該采用更現(xiàn)實的損失估算值,以更接近國際貨幣基金組織和私營部門分析人士給出的數(shù)值。如果銀行不得不接受股本被攤薄或暫時被國有化,那就接受現(xiàn)實吧。

????巴塞爾委員會需要行動迅速一點,采用由監(jiān)管機(jī)構(gòu)(而非銀行)設(shè)立的風(fēng)險衡量標(biāo)準(zhǔn),貫徹于所有銀行。美國監(jiān)管機(jī)構(gòu)犯過很多錯,但由于我們保持了杠桿率要求并暫緩執(zhí)行巴塞爾協(xié)議II ,由聯(lián)邦存款保險公司擔(dān)保的銀行財務(wù)狀況一直比其他金融機(jī)構(gòu)更為穩(wěn)健。銀行的資本金標(biāo)準(zhǔn)不應(yīng)由銀行說了算。公眾需要看到更完善的監(jiān)管。銀行監(jiān)管機(jī)構(gòu)應(yīng)當(dāng)恪盡職守,設(shè)立最低資本金要求就是它們的職責(zé)所在,而不是存在利害關(guān)系的銀行高管們的職責(zé)。

????The European sovereign debt crisis is slowly driving the global economy back into the ditch. Why is this crisis so unresolvable? The answer comes back once again to excess risk taking and leverage in the banking sector. In late October, Europe's leaders finally persuaded the banks to take a 50% cut on the Greek debt they hold, although this agreement could be jeopardized by Greece's recent call for a referendum on its bailout package. But debt restructuring will get you only so far because Europe's banks do not have sufficient capital to absorb future losses, which the IMF estimates will be $280 billion or higher. And why are Europe's banks so thinly capitalized? That responsibility rests squarely with European banks and their regulators.

????When bank regulators assess the adequacy of a bank's capital to handle losses from its loans, investments, and other assets, they take into account the riskiness of those assets. For instance, an investment in U.S. Treasuries carries lower risk (we hope) than an unsecured credit card line. The process, however, is more art than science, and in Europe regulators have given their banks much more leeway in making those determinations than banks have in the U.S. As a result, since the mid-1990s European banks have continually lowered their estimates of likely losses on their assets and now say their assets are twice as safe as those held by U.S. banks.

????The problem has been exacerbated by Europe's adoption of a complex Basel II methodology, which essentially lets bank managers use their own judgment in determining the riskiness of their assets. That is naive. It is in a bank manager's interest to say his assets have low risk, because it enables the bank to maximize leverage and return on equity, which in turn can lead to bigger pay and bonuses. Indeed, even during the Great Recession, as delinquencies and defaults increased, most European banks were saying their assets were becoming safer.

????The U.S., which has tighter rules governing how FDIC-insured banks determine the riskiness of assets, requires well-capitalized banks to hold capital equal to at least 5% of total assets, regardless of how risky they think the assets are. So for any asset, be it cash, U.S. Treasury securities, or supposedly safe mortgages, banks must hold at least 5% capital against it. European banks do not have this kind of "leverage ratio," and Basel II has allowed them to treat sovereign debt as having zero risk. That is one of the main reasons they have loaded up on nearly $3 trillion of it.

????Last year the Basel Committee on Banking Supervision finally approved a still-too-low 3% international leverage ratio. Even at that permissive level, the committee's own research suggests that more than 40% of the world's largest banks would have to raise capital. At the same time, the European Banking Authority (EBA) is raising European banks' common equity capital requirement to 9%, a huge jump from the Basel II standard of 2% and roughly equivalent to the new Basel III standards. But even at 9%, a large number of European banks will continue to operate at extreme levels of leverage because of their rosy views of risk.

????European regulators should supplement this requirement with the Basel III 3% leverage ratio -- or even better, the U.S. 5% requirement, adjusting for accounting differences. The EBA should also use realistic loss estimates more in line with those of the IMF and private analysts. If banks have to accept dilution of their stock or temporary nationalization, so be it.

????The Basel committee needs to move swiftly to adopt standardized measures of risk set by regulators, not banks, and to consistently apply them across all institutions. U.S. regulators made many mistakes, but because we maintained our leverage ratio and delayed Basel II implementation, FDIC-insured banks have remained much more stable than other financial institutions. Bank capital standards should not be an insider's game. The public deserves better. Bank regulators should do their job, and it is their job, not the job of conflicted bank managers, to set minimum capital levels.

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