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  本文關(guān)鍵詞：論巴塞爾資本協(xié)議Ⅲ下我國商業(yè)銀行流動性風(fēng)險管理　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 流動性覆蓋率 凈穩(wěn)定資金比例 流動性風(fēng)險

【摘要】：商業(yè)銀行的流動性風(fēng)險具有極強的傳染力、破壞力，是銀行最致命的風(fēng)險之一。尤其是在2008年全球金融危機爆發(fā),使得商業(yè)銀行流動性監(jiān)管存在的問題凸顯。巴塞爾資本協(xié)議Ⅲ是此次金融危機之后巴塞爾委員會出臺的新一輪金融監(jiān)管改革舉措，此次改革將流動性監(jiān)管提升到與資本監(jiān)管同樣重要的位置，提出了流動性覆蓋率和凈穩(wěn)定資金比例兩個全球統(tǒng)一的監(jiān)管指標(biāo)，引領(lǐng)全球商業(yè)銀行實施更為嚴(yán)格、更為精細(xì)的監(jiān)管。在我國，商業(yè)銀行流動性一直處于較為充足的狀態(tài)，但近年來由于我國銀行業(yè)對外開放程度的加大、資本跨國流動更加自由，一些潛藏的流動性風(fēng)險開始顯現(xiàn)，國家隱性擔(dān)保的作用漸漸開始淡出，因此我國商業(yè)銀行加強流動性風(fēng)險管理成為當(dāng)務(wù)之急。為此，我國銀監(jiān)會在2011年10月起草了《商業(yè)銀行流動性風(fēng)險管理辦法（試行）》（征求意見稿），旨在構(gòu)建更為精細(xì)化、專業(yè)化的流動性風(fēng)險管理體系。在此國內(nèi)外新形勢下，我國商業(yè)銀行流動性風(fēng)險管理值得關(guān)注和研究。本文共分為五個部分： 第一章分析了的選題意義及研究背景，回顧了國內(nèi)外學(xué)者對商業(yè)銀行流動性風(fēng)險管理的相關(guān)研究成果，同時指出本文的創(chuàng)新之處及不足。 第二章介紹了巴塞爾資本協(xié)議Ⅲ中流動性風(fēng)險管理的相關(guān)概念及監(jiān)管革新之處。本章首先提出了商業(yè)銀行流動性風(fēng)險的定義及流動性風(fēng)險監(jiān)管歷史演進的四個階段；其次分析了后危機時代流動性風(fēng)險監(jiān)管原則、兩個新監(jiān)管指標(biāo)及五個監(jiān)管工具；最后分析流動性風(fēng)險監(jiān)管新框架的特點及其在長期和短期對銀行業(yè)的影響。 第三章通過我國商業(yè)銀行相關(guān)數(shù)據(jù)分析出目前商業(yè)銀行存在的流動性風(fēng)險隱患，指出宏觀經(jīng)濟政策對銀行流動性的影響以及目前我國銀行業(yè)流動性風(fēng)險監(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性風(fēng)險隱患；其次分析了貨幣政策、政府隱性擔(dān)保、金融市場如何影響商業(yè)銀行流動性；最后指出我國商業(yè)銀行流動性監(jiān)管存在的三個問題：銀行內(nèi)部管理動力不足、流動性指標(biāo)體系存在局限、對現(xiàn)金流關(guān)注不夠。 第四章通過分析國際上流動性風(fēng)險監(jiān)管的優(yōu)秀經(jīng)驗，指出我國商業(yè)銀行可以借鑒之處，同時也提出了國際上流動性監(jiān)管的改革趨勢及展望。本章先是分析了英國的差別化監(jiān)管、德意志銀行“工具箱”管理方式對優(yōu)化我國商業(yè)銀行流動性風(fēng)險管理帶來的啟示；后又指出了國際上流動性風(fēng)險監(jiān)管重視擴大監(jiān)管范圍、強化單體金融機構(gòu)監(jiān)管、加強監(jiān)管的國際合作、注重事前監(jiān)管這些改革趨勢。 最后一章指出我國銀行業(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)清流動性覆蓋率和凈穩(wěn)定資金比例在我國的適用情況，在流動性監(jiān)管指標(biāo)的選擇上應(yīng)更加重視動態(tài)監(jiān)管指標(biāo)的引入、更加關(guān)注宏觀經(jīng)濟政策的影響、關(guān)注國際金融業(yè)務(wù)中的流動性風(fēng)險、設(shè)計更為靈活的監(jiān)管指標(biāo)等；通過引導(dǎo)銀行拓展融資渠道、實施分類監(jiān)管、加強期限錯配及現(xiàn)金流管理、頒布流動性風(fēng)險指導(dǎo)性限額這四個方面分析監(jiān)管部門應(yīng)逐步改善并推動監(jiān)管理念；更為重要的是,商業(yè)銀行應(yīng)通過管理意識的增強、風(fēng)險內(nèi)控體系的完善、專門的流動性風(fēng)險管理部門的設(shè)置等方式來提高自身控制流動性風(fēng)險的能力。
[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)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.33

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