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Empirical research on capital under the supervision of our country commercial bank capital adjustment and asset risk

Author: WangWenJia
Tutor: ZhangZongXin
School: Fudan University
Course: Finance
Keywords: Commercial Bank Capital Regulation Capital Adjustment Ratio of risk-weighted assets to total assets
CLC: F832.33
Type: Master's thesis
Year: 2012
Downloads: 237
Quote: 0
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The2007financial crisis forced the Basel Committee to review the existing regulatory standards. In2010November the Basel III framework was endorsed by the G20leaders in South Korea. The new accord which raises capital requirement and introduces the leverage ratio and global liquidity standard (Liquidity Coverage Ratio, Net Stable Funding Ratio) aims at rebuilding the global regulatory system. In May2011CBRC released’Guidelines on the Implementation of New Regulation Standards for Commercial Banks’. After the implementation of new standard, the capital adequacy ratio (CAR) of systemically important banks is not less than11.5%, whereas that of non-systemically important banks not less than10.5%. The capital regulation limits the risk-taking of the banks. Banks reduced risk through the choice of assets by the capital regulation. It is worthy of studying whether the raising of CAR could reduce the banks’assets’risk.This paper uses panel data for13domestic banks as study sample and ratio of risk-weighted assets to total assets (RWATA) as the definition of banks’assets’risk and improves Shrieves and Dahl’s simultaneous equations to empirically research relationship of CAR and assets’risk. It discusses factors which affect variations of capital and RWATA to find how capital regulation influences variations of capital and RWATA. Empirical results indicate that lowering growth rate of RWATA would accelerate increase of CAR, not vice versa. Regulation pressure has a significantly positive impact on banks which just reach the regulation standard, but no impact on those which are far away from the regulation standard.Finally the paper makes suggestions from the point of views of both banks and regulators considering the research results and China banks’CAR. Banks are supposed to widen and improve profitability to reduce the risk and enhance the capital management and obtain capital from various channels, especially internally. Regulatory authorities are supposed to improve capital regulation, regulate strictly and promote the market constraints to disclose transparently.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial organizations, banks > Commercial banks ( specialized banks )
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