本文關(guān)鍵詞：論巴塞爾資本協(xié)議Ⅲ下我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理　出處：《吉林大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 巴塞爾資本協(xié)議Ⅲ 流動(dòng)性覆蓋率 凈穩(wěn)定資金比例 流動(dòng)性風(fēng)險(xiǎn)

【摘要】：商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)具有極強(qiáng)的傳染力、破壞力，是銀行最致命的風(fēng)險(xiǎn)之一。尤其是在2008年全球金融危機(jī)爆發(fā),使得商業(yè)銀行流動(dòng)性監(jiān)管存在的問題凸顯。巴塞爾資本協(xié)議Ⅲ是此次金融危機(jī)之后巴塞爾委員會(huì)出臺(tái)的新一輪金融監(jiān)管改革舉措，此次改革將流動(dòng)性監(jiān)管提升到與資本監(jiān)管同樣重要的位置，提出了流動(dòng)性覆蓋率和凈穩(wěn)定資金比例兩個(gè)全球統(tǒng)一的監(jiān)管指標(biāo)，引領(lǐng)全球商業(yè)銀行實(shí)施更為嚴(yán)格、更為精細(xì)的監(jiān)管。在我國(guó)，商業(yè)銀行流動(dòng)性一直處于較為充足的狀態(tài)，但近年來由于我國(guó)銀行業(yè)對(duì)外開放程度的加大、資本跨國(guó)流動(dòng)更加自由，一些潛藏的流動(dòng)性風(fēng)險(xiǎn)開始顯現(xiàn)，國(guó)家隱性擔(dān)保的作用漸漸開始淡出，因此我國(guó)商業(yè)銀行加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)管理成為當(dāng)務(wù)之急。為此，我國(guó)銀監(jiān)會(huì)在2011年10月起草了《商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理辦法（試行）》（征求意見稿），旨在構(gòu)建更為精細(xì)化、專業(yè)化的流動(dòng)性風(fēng)險(xiǎn)管理體系。在此國(guó)內(nèi)外新形勢(shì)下，我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理值得關(guān)注和研究。本文共分為五個(gè)部分： 第一章分析了的選題意義及研究背景，回顧了國(guó)內(nèi)外學(xué)者對(duì)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理的相關(guān)研究成果，同時(shí)指出本文的創(chuàng)新之處及不足。 第二章介紹了巴塞爾資本協(xié)議Ⅲ中流動(dòng)性風(fēng)險(xiǎn)管理的相關(guān)概念及監(jiān)管革新之處。本章首先提出了商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的定義及流動(dòng)性風(fēng)險(xiǎn)監(jiān)管歷史演進(jìn)的四個(gè)階段；其次分析了后危機(jī)時(shí)代流動(dòng)性風(fēng)險(xiǎn)監(jiān)管原則、兩個(gè)新監(jiān)管指標(biāo)及五個(gè)監(jiān)管工具；最后分析流動(dòng)性風(fēng)險(xiǎn)監(jiān)管新框架的特點(diǎn)及其在長(zhǎng)期和短期對(duì)銀行業(yè)的影響。 第三章通過我國(guó)商業(yè)銀行相關(guān)數(shù)據(jù)分析出目前商業(yè)銀行存在的流動(dòng)性風(fēng)險(xiǎn)隱患，指出宏觀經(jīng)濟(jì)政策對(duì)銀行流動(dòng)性的影響以及目前我國(guó)銀行業(yè)流動(dòng)性風(fēng)險(xiǎn)監(jiān)管存在的缺陷。本章首先指出由不良貸款、資產(chǎn)負(fù)債期限錯(cuò)配、過高的貸款比重、銀行業(yè)的全面開放等因素帶來的流動(dòng)性風(fēng)險(xiǎn)隱患；其次分析了貨幣政策、政府隱性擔(dān)保、金融市場(chǎng)如何影響商業(yè)銀行流動(dòng)性；最后指出我國(guó)商業(yè)銀行流動(dòng)性監(jiān)管存在的三個(gè)問題：銀行內(nèi)部管理動(dòng)力不足、流動(dòng)性指標(biāo)體系存在局限、對(duì)現(xiàn)金流關(guān)注不夠。 第四章通過分析國(guó)際上流動(dòng)性風(fēng)險(xiǎn)監(jiān)管的優(yōu)秀經(jīng)驗(yàn)，指出我國(guó)商業(yè)銀行可以借鑒之處，同時(shí)也提出了國(guó)際上流動(dòng)性監(jiān)管的改革趨勢(shì)及展望。本章先是分析了英國(guó)的差別化監(jiān)管、德意志銀行“工具箱”管理方式對(duì)優(yōu)化我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理帶來的啟示；后又指出了國(guó)際上流動(dòng)性風(fēng)險(xiǎn)監(jiān)管重視擴(kuò)大監(jiān)管范圍、強(qiáng)化單體金融機(jī)構(gòu)監(jiān)管、加強(qiáng)監(jiān)管的國(guó)際合作、注重事前監(jiān)管這些改革趨勢(shì)。 最后一章指出我國(guó)銀行業(yè)監(jiān)管部門應(yīng)該在巴塞爾資本協(xié)議Ⅲ的指導(dǎo)下，認(rèn)清流動(dòng)性覆蓋率和凈穩(wěn)定資金比例在我國(guó)的適用情況，在流動(dòng)性監(jiān)管指標(biāo)的選擇上應(yīng)更加重視動(dòng)態(tài)監(jiān)管指標(biāo)的引入、更加關(guān)注宏觀經(jīng)濟(jì)政策的影響、關(guān)注國(guó)際金融業(yè)務(wù)中的流動(dòng)性風(fēng)險(xiǎn)、設(shè)計(jì)更為靈活的監(jiān)管指標(biāo)等；通過引導(dǎo)銀行拓展融資渠道、實(shí)施分類監(jiān)管、加強(qiáng)期限錯(cuò)配及現(xiàn)金流管理、頒布流動(dòng)性風(fēng)險(xiǎn)指導(dǎo)性限額這四個(gè)方面分析監(jiān)管部門應(yīng)逐步改善并推動(dòng)監(jiān)管理念；更為重要的是,商業(yè)銀行應(yīng)通過管理意識(shí)的增強(qiáng)、風(fēng)險(xiǎn)內(nèi)控體系的完善、專門的流動(dòng)性風(fēng)險(xiǎn)管理部門的設(shè)置等方式來提高自身控制流動(dòng)性風(fēng)險(xiǎn)的能力。
[Abstract]:The liquidity risk of commercial banks is extremely contagious and destructive, is one of the most deadly bank risk. Especially the outbreak of the global financial crisis in 2008, which highlights the supervision of commercial bank liquidity problems. Basel Capital Accord is after the financial crisis the Basel Committee issued a new round of financial regulatory reform initiatives this reform, the liquidity regulation as important as regulatory capital position, put forward the liquidity coverage ratio and net stable funding ratio of the two global regulatory indicators, the world's leading commercial banks implement more stringent, more fine regulation. In our country, the liquidity of commercial banks has been in a more adequate the state, but in recent years due to the increase in the openness of China's banking industry, cross-border capital flows more freely, some potential liquidity risks began to appear, the country hidden The guarantee function gradually began to fade out, so China's commercial banks to strengthen liquidity risk management has become a pressing matter of the moment. Therefore, China Banking Regulatory Commission in October 2011 drafted the "commercial bank liquidity risk management measures (Trial)" (Draft), aims to build a more sophisticated system of liquidity risk management professional. In this new situation at home and abroad, China's commercial bank liquidity risk management is worthy of attention and research. This paper is divided into five parts:
The first chapter analyzes the significance and background of the topic selection, reviews domestic and foreign scholars' research results on liquidity risk management of commercial banks, and points out the innovations and shortcomings of this paper.
The second chapter introduces the related concepts of risk management and regulatory innovations flow of Basel Capital Accord III. This chapter first puts forward the definition of commercial bank liquidity risk and liquidity risk supervision of the historical evolution of four stages; followed by analysis of the post crisis era of liquidity risk supervision principle, two new regulatory indicators and five a regulatory tool; finally analyzing the characteristics of the new framework for liquidity risk supervision and in the long-term and short-term effects of the banking industry.
The third chapter through the analysis of relevant data of China's commercial banks liquidity risk of commercial banks currently exist, pointed out that macroeconomic policy influence on bank liquidity and deficiencies in China's current banking liquidity risk supervision. This chapter first pointed out by non-performing loans, asset liability maturity mismatches, the high proportion of loans. The liquidity risk caused the banking industry opening and other factors; followed by analysis of the monetary policy, the government implicit guarantee, how financial markets affect the liquidity of commercial banks; finally pointed out three problems of Chinese commercial banks liquidity management: lack of bank internal management, liquidity index system limitations, the cash flow attention is not enough.
The fourth chapter through the analysis of the international experience of liquidity risk supervision, points out that Chinese commercial banks can be used for reference, and puts forward the reform trend and Prospect of international supervision flow. This chapter first analyzes the difference in UK, Deutsche Bank "tool box" management mode to optimize our business to bring bank liquidity risk management; and points out the international liquidity risk supervision to expand the scope of supervision, strengthen the single supervision of financial institutions, strengthen international cooperation on supervision, focus on the trend of the reform of regulation in advance.
The last chapter points out that China's banking supervision department should be in the Basel capital accord under the guidance of recognizing the liquidity coverage ratio and net stable funding ratio is applicable in our country, the liquidity supervision index selection should pay more attention to the introduction of dynamic regulatory indicators, pay more attention to the impact of macroeconomic policies, liquidity concerned about the risk of international financial business, design more flexible regulatory indicators; through guide banks to expand financing channels, strengthen the implementation of the classification regulation, the maturity mismatch and cash flow management, promulgated the liquidity risk guiding limit analysis of the four aspects of supervision departments should gradually improve and promote the concept of supervision is more important; is that commercial banks should be adopted to enhance management consciousness, perfecting the risk control system, setting methods of liquidity risk management departments dedicated to improve their liquidity risk control Ability.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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