本文關(guān)鍵詞：我國(guó)商業(yè)銀行市場(chǎng)風(fēng)險(xiǎn)管理實(shí)證研究　出處：《東北農(nóng)業(yè)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：市場(chǎng)風(fēng)險(xiǎn)管理能力關(guān)系到商業(yè)銀行的核心競(jìng)爭(zhēng)力，商業(yè)銀行能否妥善的承擔(dān)并管理風(fēng)險(xiǎn)將直接影響到商業(yè)銀行的生存與發(fā)展。20世紀(jì)80年代以后隨著商業(yè)銀行發(fā)生了不可逆轉(zhuǎn)的混業(yè)經(jīng)營(yíng)變革及業(yè)務(wù)經(jīng)營(yíng)管制的放松，商業(yè)銀行經(jīng)歷了一場(chǎng)利率管制不斷放松，存款利率不斷攀升，金融競(jìng)爭(zhēng)加劇的危機(jī)。商業(yè)銀行的市場(chǎng)風(fēng)險(xiǎn)日益顯現(xiàn)出來(lái)，商業(yè)銀行也逐漸意識(shí)到市場(chǎng)風(fēng)險(xiǎn)對(duì)其經(jīng)營(yíng)帶來(lái)的危害性以及進(jìn)行風(fēng)險(xiǎn)管理的重要性。2006年，我國(guó)加入WTO，隨著全球金融一體化的發(fā)展，我國(guó)商業(yè)銀行越來(lái)越多的參與到國(guó)際銀行業(yè)的競(jìng)爭(zhēng)中，帶來(lái)更多盈利機(jī)會(huì)的同時(shí)也遇到了更多前所未有的挑戰(zhàn)。首先，隨著我國(guó)匯率與利率市場(chǎng)化進(jìn)程的加快、資產(chǎn)證券化試點(diǎn)工作在各大商業(yè)銀行中的逐步推進(jìn)以及中間業(yè)務(wù)中特別是表外業(yè)務(wù)規(guī)模的不斷擴(kuò)大使得商業(yè)銀行面臨著越來(lái)越大的市場(chǎng)風(fēng)險(xiǎn)；商業(yè)銀行持有的交易性資產(chǎn)逐年增加，商業(yè)銀行的非傳統(tǒng)類(lèi)賬戶(hù)也面臨著越來(lái)越大的市場(chǎng)風(fēng)險(xiǎn)。其次，傳統(tǒng)的分業(yè)經(jīng)營(yíng)界限越來(lái)越模糊，商業(yè)銀行混業(yè)經(jīng)營(yíng)必將成為未來(lái)金融市場(chǎng)發(fā)展的趨勢(shì)。金融衍生工具的不斷創(chuàng)新以及與銀行自身業(yè)務(wù)的不斷融合，給銀行利潤(rùn)增值保值的同時(shí)，也引發(fā)了重大的金融風(fēng)險(xiǎn)。在目前的金融形勢(shì)下，全面分析商業(yè)銀行所面臨的市場(chǎng)風(fēng)險(xiǎn)，找出引起市場(chǎng)風(fēng)險(xiǎn)的原因，并建立完善的管理市場(chǎng)風(fēng)險(xiǎn)的機(jī)制，提升商業(yè)銀行自身的抗風(fēng)險(xiǎn)能力，增強(qiáng)銀行在金融市場(chǎng)的核心競(jìng)爭(zhēng)力，成為商業(yè)銀行一個(gè)亟待解決的課題。 本文以閱讀大量相關(guān)文獻(xiàn)，總結(jié)前人研究成果為基礎(chǔ)，從經(jīng)濟(jì)學(xué)、金融學(xué)和計(jì)量經(jīng)濟(jì)學(xué)等專(zhuān)業(yè)知識(shí)的角度出發(fā)。采用文獻(xiàn)分析和比較分析相結(jié)合，定性與定量分析相結(jié)合以及實(shí)證分析的方法，以我國(guó)商業(yè)銀行在現(xiàn)階段經(jīng)營(yíng)中面臨的主要市場(chǎng)風(fēng)險(xiǎn)為切入點(diǎn)進(jìn)行研究，對(duì)加強(qiáng)我國(guó)商業(yè)銀行的的市場(chǎng)風(fēng)險(xiǎn)管理，提升商業(yè)銀行的核心競(jìng)爭(zhēng)力，保證我國(guó)金融體系平穩(wěn)，健康的運(yùn)行有著非常重要的理論指導(dǎo)和現(xiàn)實(shí)意義。具體而言： 首先闡述了商業(yè)銀行市場(chǎng)風(fēng)險(xiǎn)的相關(guān)概念以及理論基礎(chǔ)，分析了我國(guó)商業(yè)銀行市場(chǎng)風(fēng)險(xiǎn)的成因以及商業(yè)銀行現(xiàn)階段風(fēng)險(xiǎn)管理存在的主要問(wèn)題，其次，使用Eviews以利率風(fēng)險(xiǎn)為對(duì)象運(yùn)用VaR的半?yún)?shù)方法對(duì)上海銀行間同業(yè)拆借利率(SHIBOR)的800個(gè)樣本進(jìn)行量化分析；運(yùn)用歷史模擬法對(duì)2010年1月4日至2012年12月31日期間共730個(gè)交易日，美元、歐元和日元對(duì)人民幣的匯率作為樣本數(shù)據(jù)進(jìn)行實(shí)證分析。最后，在總結(jié)實(shí)證分析的結(jié)果以及借鑒西方國(guó)家商業(yè)銀行市場(chǎng)風(fēng)險(xiǎn)管理的先進(jìn)管理經(jīng)驗(yàn)基礎(chǔ)上，，探討并提出完善現(xiàn)階段我國(guó)商業(yè)銀行市場(chǎng)風(fēng)險(xiǎn)管理的建議與對(duì)策。
[Abstract]:Market risk management ability is related to the core competitiveness of commercial banks. Whether commercial banks can undertake and manage risks properly will directly affect the survival and development of commercial banks. After 80s of the 20th century, with the development of commercial banks, there has been irreversible mixed operation reform and business management control. Relax. Commercial banks have experienced a crisis of interest rate deregulation, deposit interest rate rising and financial competition intensifying. The market risks of commercial banks are becoming more and more obvious. Commercial banks are also gradually aware of the harm of market risks to their operations and the importance of risk management. In 2006, China joined WTO, along with the development of global financial integration. More and more Chinese commercial banks participate in the competition of international banking, which brings more profit opportunities, but also meets more unprecedented challenges. Firstly, with the acceleration of the process of marketization of exchange rate and interest rate in China. With the gradual promotion of asset securitization in commercial banks and the expansion of intermediary business, especially the scale of off-balance sheet business, commercial banks are facing more and more market risks. Commercial banks hold more and more transactional assets year by year, and the non-traditional accounts of commercial banks are also facing more and more market risks. Secondly, the boundaries of traditional separation are becoming more and more blurred. Commercial bank mixed operation will become the trend of financial market development in the future. The continuous innovation of financial derivatives and the continuous integration with the bank's own business at the same time to maintain the bank profits. In the current financial situation, the comprehensive analysis of the market risks faced by commercial banks, to find out the causes of market risks, and to establish a sound management mechanism of market risks. It is an urgent task for commercial banks to enhance their ability to resist risks and enhance their core competitiveness in the financial market. Based on reading a large number of relevant documents and summarizing the previous research results, this paper combines literature analysis with comparative analysis from the perspective of economics, finance and econometrics. Combining qualitative and quantitative analysis and empirical analysis, this paper studies the main market risks faced by Chinese commercial banks at the present stage, and strengthens the market risk management of Chinese commercial banks. To improve the core competitiveness of commercial banks, to ensure the smooth and healthy operation of our financial system has very important theoretical guidance and practical significance. First of all, it expounds the related concepts and theoretical basis of commercial bank market risk, analyzes the causes of commercial bank market risk and the main problems of commercial bank risk management at the present stage. Secondly. Using the semi-parametric method of Eviews to analyze the interest rate risk, 800 samples of Shanghai Interbank offered rate (IBOR) were analyzed quantitatively. The historical simulation method is used for 730 trading days from January 4th 2010 to December 31st 2012 in US dollars. Finally, on the basis of summarizing the results of empirical analysis and drawing lessons from the advanced management experience of market risk management of commercial banks in western countries. This paper probes into and puts forward some suggestions and countermeasures for perfecting the market risk management of commercial banks in our country at present.
【學(xué)位授予單位】：東北農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.33

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