本文關(guān)鍵詞： 流動(dòng)性風(fēng)險(xiǎn) 壓力測(cè)試 流動(dòng)性壓力測(cè)試 因子分析法　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：借短貸長(zhǎng)是傳統(tǒng)商業(yè)銀行的主要盈利來(lái)源,其業(yè)務(wù)本質(zhì)也決定了商業(yè)銀行的高風(fēng)險(xiǎn)特征。美國(guó)金融危機(jī)之后,全球的注意力集中于銀行業(yè)的流動(dòng)性風(fēng)險(xiǎn)監(jiān)控上。針對(duì)流動(dòng)性風(fēng)險(xiǎn)“小概率”和“破壞強(qiáng)”的特點(diǎn),壓力測(cè)試技術(shù)的適用性得到了多方肯定并且正在嶄露頭角。近年來(lái),國(guó)內(nèi)銀行業(yè)開(kāi)放程度不斷增加、銀行系統(tǒng)的不確定性正逐步提高,并不能排除國(guó)內(nèi)流動(dòng)性出現(xiàn)短缺的可能。通過(guò)壓力測(cè)試為代表的風(fēng)險(xiǎn)監(jiān)管手段來(lái)提前預(yù)防潛在事件對(duì)銀行的影響、保證我國(guó)金融系統(tǒng)的穩(wěn)定性,是必要的,也是必須的。 本文在總結(jié)現(xiàn)階段我國(guó)銀行業(yè)壓力測(cè)試實(shí)施現(xiàn)狀的基礎(chǔ)上,分析了各代表性銀行流動(dòng)性風(fēng)險(xiǎn)壓力測(cè)試實(shí)務(wù),在闡述流動(dòng)性風(fēng)險(xiǎn)執(zhí)行步驟的同時(shí),具體探討在每一步驟下可選取的分析方法,最終構(gòu)建起既符合理論邏輯又可供我國(guó)銀行發(fā)揮創(chuàng)造性的流動(dòng)性風(fēng)險(xiǎn)壓力測(cè)試應(yīng)用框架。文中對(duì)現(xiàn)階段學(xué)術(shù)界通常采用的壓力測(cè)試建模方法也進(jìn)行了較為全面的介紹,對(duì)各種方法的優(yōu)缺點(diǎn)總結(jié)的基礎(chǔ)上,引出采用因子分析法的創(chuàng)新性。 在實(shí)證部分,本文選擇四大國(guó)有控股銀行和除平安銀行外的全國(guó)性上市股份制銀行分別組成四行樣本和股份制銀行樣本,由對(duì)流動(dòng)性風(fēng)險(xiǎn)成因的分析導(dǎo)出不良貸款率等11個(gè)指標(biāo)作為風(fēng)險(xiǎn)因子原始變量,通過(guò)因子分析方法分別構(gòu)建壓力測(cè)試模型、提取公因子變量、得出流動(dòng)性綜合得分評(píng)判式。將歷史情景法和假設(shè)情景法結(jié)合后,設(shè)定三個(gè)壓力等級(jí),通過(guò)參照美國(guó)金融危機(jī)下的銀行業(yè)表現(xiàn)和我國(guó)銀監(jiān)會(huì)的相關(guān)規(guī)定模擬出未來(lái)流動(dòng)性危機(jī)產(chǎn)生時(shí)風(fēng)險(xiǎn)因子們的表現(xiàn)來(lái)量化沖擊,代入模型之后,最終得出不同壓力等級(jí)下的流動(dòng)性評(píng)分。 通過(guò)觀察四個(gè)公因子的賦權(quán)和在不同壓力等級(jí)下的表現(xiàn)可以對(duì)影響兩樣本流動(dòng)性的因素進(jìn)行深層次分析,由標(biāo)準(zhǔn)化后的總得分和標(biāo)準(zhǔn)化總得分的變動(dòng)值可以對(duì)兩樣本銀行在不用壓力情境下的風(fēng)險(xiǎn)承受力進(jìn)行評(píng)價(jià)。本文實(shí)證得出的主要結(jié)論為：經(jīng)濟(jì)環(huán)境變動(dòng)是影響股份制銀行流動(dòng)性的首要因素,而四大國(guó)有控股銀行流動(dòng)性則主要受政策性經(jīng)濟(jì)變量的影響；2012年年末我國(guó)銀行體系流動(dòng)性充裕；在假設(shè)的危機(jī)情境下,系統(tǒng)重要性銀行的流動(dòng)性風(fēng)險(xiǎn)更突出；宏觀經(jīng)濟(jì)下行對(duì)中小股份制銀行的流動(dòng)性沖擊更嚴(yán)重；銀行自身因素對(duì)流動(dòng)性影響弱,但仍需注意隱藏的不確定性。由此便完成了對(duì)多指標(biāo)壓力測(cè)試模型的構(gòu)建和我國(guó)不同規(guī)模銀行流動(dòng)性風(fēng)險(xiǎn)影響因素、抗風(fēng)險(xiǎn)能力的對(duì)比分析。 此外,文章還對(duì)目前我國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)壓力測(cè)試運(yùn)用中存在的問(wèn)題進(jìn)行了探討,針對(duì)這些問(wèn)題對(duì)商業(yè)銀行和監(jiān)管機(jī)構(gòu)的改進(jìn)方向提出了一些建議。最后,在總結(jié)本文不足之處的基礎(chǔ)上,提出了未來(lái)的研究方向。
[Abstract]:The short loan length is the main profit source of the traditional commercial bank, its business essence also determines the high risk characteristic of the commercial bank. After the American financial crisis. Global attention has been focused on liquidity risk monitoring in the banking sector, targeting the "small probability" and "destructive" characteristics of liquidity risk. The applicability of stress testing technology has been affirmed by many parties and is emerging. In recent years, the degree of opening up of domestic banking is increasing, and the uncertainty of the banking system is gradually increasing. It is necessary to prevent the impact of potential events on banks in advance and to ensure the stability of our financial system by means of risk supervision represented by stress tests. It is also necessary. On the basis of summarizing the present situation of the implementation of the banking stress test in China, this paper analyzes the practice of the liquidity risk stress test of the representative banks, and expounds the implementation steps of the liquidity risk at the same time. The analysis methods that can be selected under each step are discussed in detail. Finally, the application framework of liquidity risk stress testing, which conforms to the theoretical logic and can be used by Chinese banks to play a creative role, is constructed. In this paper, a more comprehensive modeling method of stress test is also presented, which is usually used in the academic circles at the present stage. Introduction. On the basis of summarizing the advantages and disadvantages of various methods, the innovation of using factor analysis method is introduced. In the empirical part, this paper chooses four state-owned holding banks and national listed joint-stock banks except Ping an Bank to form four bank samples and stock bank samples respectively. By analyzing the causes of liquidity risk, 11 indicators, such as non-performing loan ratio, are derived as the original variables of risk factors. The stress test model is constructed by factor analysis method, and the common factor variables are extracted. After combining the historical scenario method with the hypothetical scenario method, three stress levels were established. By referring to the banking performance under the US financial crisis and the relevant regulations of China Banking Regulatory Commission to simulate the performance of risk factors when the future liquidity crisis arises to quantify the impact and replace it with the model. Finally, the liquidity score under different pressure grades is obtained. By observing the weights of the four common factors and the performance of the two samples under different pressure levels, the factors affecting the liquidity of the two samples can be analyzed at a deep level. From the changes of standardized total score and standardized total score, the risk tolerance of the two sample banks can be evaluated under the condition of no stress. The main conclusions of this paper are as follows:. The change of economic environment is the primary factor that affects the liquidity of joint-stock banks. The liquidity of the four state-owned holding banks is mainly influenced by the policy economic variables. At the end of 2012, China's banking system was full of liquidity; Under the hypothetical crisis situation, the liquidity risk of systemically important banks is more prominent. The impact of the macroeconomic downturn on the liquidity of small and medium-sized joint-stock banks is more serious; The influence of bank's own factors on liquidity is weak, but it still needs to pay attention to the hidden uncertainty. Thus, the construction of multi-index stress test model and the influencing factors of liquidity risk of different scale banks in China are completed. Contrastive analysis of risk resistance. In addition, the paper also discusses the problems existing in the application of liquidity risk stress testing in commercial banks in China. In view of these problems, some suggestions are put forward to improve the direction of commercial banks and regulators. Finally, on the basis of summarizing the shortcomings of this paper, the future research direction is proposed.
【學(xué)位授予單位】：東北財(cái)經(jīng)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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