主题Topic:Countercyclical Capital Buffer Options (反周期资本缓冲选择)
主讲人Speaker:李诗政,台湾中央大学金融系博士,台湾元智大学管理学院教授
主持人Chair:帅杰,副教授,中南财经政法大学2024欧洲杯投注官网
时间Time:2015年11月10日(周二)8:00 am-9:30 am
地点Venue:南湖校区 文波楼204
主讲人简介:
李诗政,台湾中央大学金融系博士,台湾元智大学管理学院教授,主要讲授风险管理金融监理与统计学。他曾担任管理学院金融系系主任,目前为澳大利亚阿德雷德大学(The University of Adelaide)客座研究员及澳大利亚Deakin大学访问教授,法国系统风险研究中心专家,澳大利亚银行与金融稳性研究中心专家,美国巴赛尔资本委员会成员,EvriBody?Innovations Pty.Ltd顾问,Journal of Accounting,Finance& Management Strategy副主编,Greater China Professional Risk Managers Service Center顾问。
Shih-Cheng Lee:Professor and Director, Department of Finance, Yuan Ze University, Taiwan. Professor Lee got his PhD degree in Finance from National Central University, Taiwan. He is currently serving as visiting research fellow in The University of Adelaide, Australia and visiting professor in Deakin University, Australia. His academic positions include Deputy Editor of Journal of Accounting, Finance & Management Strategy.
Research Interests: Financial Risk Management, Accounting
内容提要(Abstract):
Countercyclical capital buffer (CCB) schemes of Basel III require banks to build up equity capital during periods of high credit growth against potential losses in subsequent economic downturns. This presents a regulatory risk to banks in the form of higher cost of capital and/or reduced lending activities. We develop CCB options to facilitate banks to hedge against this regulatory risk. We demonstrate that when CCB regimes are triggered in credit expansionary phases, the options provide additional capital to meet the Basel capital standards two to five years prior to financial crisis. In the process, CCB options mitigate the procyclical effect of Basel II capital requirements that tend to amplify each phase of boom and bust over a financial cycle. From macro-prudential regulatory perspective, CCB options can act as a countervailing force towards excessive risk-taking behaviors in the banking sector.