發(fā)布時(shí)間：2018-03-23 11:13

  本文選題：商業(yè)銀行　切入點(diǎn)：個(gè)體流動(dòng)性風(fēng)險(xiǎn)　出處：《山西財(cái)經(jīng)大學(xué)》2017年碩士論文

【摘要】：杠桿化是現(xiàn)代經(jīng)濟(jì)發(fā)展的主要特征之一。隨著經(jīng)濟(jì)發(fā)展杠桿化的不斷加深,流動(dòng)性問題已經(jīng)逐漸超越了信用問題,處在了風(fēng)險(xiǎn)管理的核心位置。無論是出于盈利性還是安全性,商業(yè)銀行都需要在流動(dòng)性風(fēng)險(xiǎn)方面進(jìn)行更加嚴(yán)格的理論創(chuàng)新和量化管理。本文對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的分析著眼于將商業(yè)銀行個(gè)體流動(dòng)性風(fēng)險(xiǎn)和系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)放在同一個(gè)框架內(nèi)進(jìn)行研究。在理論上從三個(gè)方面展開,首先是以Shibor為基礎(chǔ),對(duì)流動(dòng)性風(fēng)險(xiǎn)度量指標(biāo)進(jìn)行理論研究和分析;其次是商業(yè)銀行系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)及其影響因素的理論分析,充實(shí)了我國(guó)在系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)分析方面的理論內(nèi)容;再次,沿著巴塞爾協(xié)議對(duì)于流動(dòng)性風(fēng)險(xiǎn)監(jiān)管的新指標(biāo),對(duì)商業(yè)銀行的個(gè)體流動(dòng)性風(fēng)險(xiǎn)進(jìn)行了理論分析;最后,采用靜態(tài)面板模型,將Shibor為基礎(chǔ)的流動(dòng)性度量指標(biāo)、個(gè)體流動(dòng)性風(fēng)險(xiǎn)和系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)納入同一個(gè)模型中進(jìn)行實(shí)證分析。理論分析與實(shí)證分析結(jié)果表明,系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)對(duì)我國(guó)商業(yè)銀行的影響最為顯著,人民幣匯率與宏觀經(jīng)濟(jì)杠桿率這兩個(gè)系統(tǒng)因素需要重點(diǎn)關(guān)注。個(gè)體流動(dòng)性風(fēng)險(xiǎn)中的資本充足率與融資結(jié)構(gòu)指標(biāo)對(duì)于流動(dòng)性風(fēng)險(xiǎn)也有顯著的影響。另外,通過對(duì)不同種類銀行的進(jìn)一步實(shí)證分析發(fā)現(xiàn),國(guó)有銀行的融資結(jié)構(gòu)對(duì)于其流動(dòng)性風(fēng)險(xiǎn)影響并不顯著,而股份制銀行的融資結(jié)構(gòu)對(duì)于流動(dòng)性風(fēng)險(xiǎn)影響顯著;資本充足率指標(biāo)雖然不作為流動(dòng)性風(fēng)險(xiǎn)的監(jiān)管指標(biāo),但是其對(duì)緩解流動(dòng)性風(fēng)險(xiǎn)仍然有重要的作用。
[Abstract]:Leverage is one of the main characteristics of modern economic development. With the deepening of economic leverage, the liquidity problem has gradually gone beyond the credit problem and is at the core of risk management. Commercial banks need to carry out more strict theoretical innovation and quantitative management of liquidity risk. The analysis of liquidity risk of commercial bank focuses on individual liquidity risk and systemic liquidity risk of commercial bank. To carry out research within the same framework. Theoretically, in three ways, Firstly, based on Shibor, the paper makes a theoretical study and analysis on the liquidity risk measurement index, and secondly, the theoretical analysis of the liquidity risk and its influencing factors in the commercial bank system. It enriches the theoretical content of systemic liquidity risk analysis in China. Thirdly, it makes a theoretical analysis of individual liquidity risk of commercial banks along with the new indicators of Basel Accord on liquidity risk regulation. Finally, The static panel model is used to analyze the liquidity index based on Shibor, the individual liquidity risk and the systemic liquidity risk in the same model. The impact of systemic liquidity risk on Chinese commercial banks is most significant. Two systemic factors, RMB exchange rate and macroeconomic leverage ratio, need to be paid more attention to. Capital adequacy ratio and financing structure index in individual liquidity risk also have significant influence on liquidity risk. Through further empirical analysis of different kinds of banks, it is found that the financing structure of state-owned banks has no significant effect on liquidity risk, while the financing structure of joint-stock banks has a significant impact on liquidity risk. Although the capital adequacy index is not regarded as the supervision index of liquidity risk, it still plays an important role in mitigating liquidity risk.
【學(xué)位授予單位】：山西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33

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本文編號(hào)：1653211