本文關(guān)鍵詞：我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)監(jiān)管研究　出處：《華南理工大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：流動(dòng)性風(fēng)險(xiǎn)是商業(yè)銀行所面臨的最致命風(fēng)險(xiǎn)，，也是各類風(fēng)險(xiǎn)最終的表現(xiàn)形式。此次全球金融危機(jī)的爆發(fā)表明，商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的隱蔽性、傳染性、疊加性和親周期特征均有所增強(qiáng)。在極端壓力事件下，流動(dòng)性可以從過剩狀態(tài)迅速逆轉(zhuǎn)為全面緊縮，即使是資本充足、各項(xiàng)指標(biāo)均達(dá)到監(jiān)管標(biāo)準(zhǔn)的銀行，也可能發(fā)生嚴(yán)重的流動(dòng)性風(fēng)險(xiǎn)。伴隨此輪危機(jī)不斷深化，國際監(jiān)管組織及主要國家地區(qū)的監(jiān)管當(dāng)局都對商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理與監(jiān)管進(jìn)行了深入反思，出臺了新的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管框架和指標(biāo)要求。 本文從流動(dòng)性風(fēng)險(xiǎn)的基礎(chǔ)理論出發(fā)，概述了商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的成因、分類、主要特征和管理理念變遷，以及國際流動(dòng)性風(fēng)險(xiǎn)監(jiān)管改革動(dòng)向。同時(shí)，對2010年至2012年這3個(gè)年度我國主要商業(yè)銀行、四個(gè)類型銀行機(jī)構(gòu)的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管指標(biāo)進(jìn)行了測算分析，認(rèn)為主要商業(yè)銀行的流動(dòng)性管理總體穩(wěn)健，近期發(fā)生流動(dòng)性風(fēng)險(xiǎn)的幾率不高，但仍存在一些流動(dòng)性風(fēng)險(xiǎn)隱患，由于存款波動(dòng)加劇和“活期化”、“理財(cái)化”趨勢明顯，銀行更多通過資金批發(fā)市場實(shí)施主動(dòng)負(fù)債，負(fù)債穩(wěn)定性有所下降，同時(shí)中長期貸款占比上升，平臺和房地產(chǎn)行業(yè)貸款集中度偏高，存在資產(chǎn)配置過度集中問題。從不同類型銀行看，國有大型銀行、股份制銀行、城市商業(yè)銀行、農(nóng)村商業(yè)銀行由于在經(jīng)營理念、業(yè)務(wù)模式、融資渠道、資產(chǎn)結(jié)構(gòu)等方面存在差異，流動(dòng)性管理水平和風(fēng)險(xiǎn)狀況也有所不同。從監(jiān)管指標(biāo)測算看，國有大型銀行、城市商業(yè)銀行、農(nóng)村商業(yè)銀行的流動(dòng)性風(fēng)險(xiǎn)尚不顯著，而股份制銀行有效管理流動(dòng)性面臨的壓力最大，一旦經(jīng)濟(jì)持續(xù)處于下行區(qū)間，銀行壞賬大面積暴露或市場流動(dòng)性因突發(fā)事件出現(xiàn)嚴(yán)重緊縮，將可能直接觸發(fā)個(gè)別股份制銀行的流動(dòng)性風(fēng)險(xiǎn)暴露。 為提高我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)預(yù)判的敏感度和前瞻性，本文借鑒國際監(jiān)管改革研究成果，進(jìn)一步完善我國流動(dòng)性監(jiān)管指標(biāo)體系。對5個(gè)主要流動(dòng)性風(fēng)險(xiǎn)監(jiān)管指標(biāo)，運(yùn)用主成份分析法，構(gòu)建了“主要商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)監(jiān)管綜合指數(shù)”和“城市商業(yè)銀行流動(dòng)性監(jiān)管綜合指數(shù)”，分別用于評價(jià)我國主要商業(yè)銀行、地方中小法人銀行的總體流動(dòng)性風(fēng)險(xiǎn)狀況。同時(shí)，對我國現(xiàn)行的流動(dòng)性監(jiān)管指標(biāo)體系進(jìn)行補(bǔ)充修正，提出流動(dòng)性監(jiān)管的其它配套政策，以提高流動(dòng)性風(fēng)險(xiǎn)監(jiān)管有效性，具有重要意義。
[Abstract]:Liquidity risk is the most fatal risk faced by commercial banks, and it is also the ultimate manifestation of all kinds of risks. The outbreak of the global financial crisis shows that the liquidity risk of commercial banks is hidden and infectious. In extreme stress events, liquidity can quickly reverse from excess to across-the-board tightening, even if capital is sufficient and all indicators meet regulatory standards. With the deepening of the crisis, international regulatory organizations and regulatory authorities in major countries have made a thorough reflection on the liquidity risk management and supervision of commercial banks. Introduced a new regulatory framework for liquidity risk and indicators requirements. Based on the basic theory of liquidity risk, this paper summarizes the causes, classification, main characteristics and changes of management concepts of liquidity risk of commercial banks, as well as the trend of international liquidity risk supervision reform. From 2010 to 2012, this paper calculates and analyzes the liquidity risk supervision index of the main commercial banks and four types of banking institutions in China. It is considered that the liquidity management of major commercial banks is generally sound and the probability of liquidity risk is not high in the near future, but there are still some hidden risks of liquidity risk, due to the intensification of deposit fluctuation and "demand". "financing" trend is obvious, banks more through the wholesale capital market to implement active debt, debt stability has declined, while the proportion of medium and long-term loans increased, the platform and real estate industry loan concentration is on the high side. From different types of banks, large state-owned banks, joint-stock banks, urban commercial banks, rural commercial banks due to business philosophy, business models, financing channels. There are differences in asset structure, liquidity management level and risk status. From the indicators of supervision, the liquidity risk of large state-owned banks, urban commercial banks and rural commercial banks is not significant. Stock banks face the greatest pressure to manage liquidity effectively. Once the economy continues to be in a downward range, banks' bad loans are exposed in large areas or market liquidity is severely tightened due to unexpected events. It will be possible to directly trigger the exposure to liquidity risk of individual joint-stock banks. In order to improve the sensitivity and foresight of liquidity risk prediction of commercial banks in China, this paper draws lessons from the research results of international regulatory reform. Further improve China's liquidity supervision index system. For the five main liquidity risk monitoring indicators, the principal component analysis method is used. The main commercial banks' liquidity risk supervision index and the city commercial bank liquidity supervision comprehensive index are constructed to evaluate the main commercial banks in China respectively. At the same time, the current liquidity supervision index system of our country is supplemented and revised, and other supporting policies of liquidity supervision are put forward. It is of great significance to improve the effectiveness of liquidity risk supervision.
【學(xué)位授予單位】：華南理工大學(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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