现在就对此案中的对与错作出评判还为时尚早。尽管如此,还是有必要针对现代金融体系中存在的风险的本质谈上几点。首先,与德银的资本金相比,120亿美元可是一笔巨额资金,相当于该行2007年净股本的四分之一。还要注意的是,德银当时的资产负债表杠杆率非常高,净股本相对于总资产的比例略低于2%。不客气地讲,当时总资产价值若下跌2%,足以“抹掉这家银行。但按照巴塞尔加权资本充足率制度,德银的一级核心资本比率为8.6%,这种漂亮的假象掩盖了当时危机四伏的局面。2008年末雷曼兄弟(Lehman Brothers)破产后,上述两个指标发生了背离,杠杆率降至1.4%,一级资本比率升至10.1%。
That Basel is situated in cloud cuckoo land is underlined by the fact that there is substantial discretion in the calculation of risk weights and a longstanding suspicion that in a capital-stretched German banking system discretion prettifies the ratio.
这种巴塞尔资本充足率制度完全不切实际,凸显出这一点的是:风险权重的计算上存在很大的自由度,而且人们长期以来一直怀疑,在资本金吃紧的德国银行业体系中,这种自由度对资本充足率起到了粉饰的作用。
This serves to underline an iron law of financial markets that states that leverage always turns out to have been greater than was assumed before a financial crisis erupts. It has also become more opaque because leverage is built into the structure of complex financial instruments, in the sense that small market movements can bring large swings in value. This does not show up in accounts as straight borrowing does.
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2020-09-15
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