本文選題：利率市場(chǎng)化　切入點(diǎn)：商業(yè)銀行　出處：《天津財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著金融全球化的發(fā)展和金融市場(chǎng)的劇烈波動(dòng),信用風(fēng)險(xiǎn)變得越來(lái)越突出和嚴(yán)重。盡管金融創(chuàng)新領(lǐng)域有了一些進(jìn)步,對(duì)于大多數(shù)銀行來(lái)說(shuō),信用風(fēng)險(xiǎn)仍是引起銀行破產(chǎn)的主要原因。二十世紀(jì)八十年代以來(lái),西方銀行開(kāi)始漸漸重視信用風(fēng)險(xiǎn)問(wèn)題,不僅專注于信用風(fēng)險(xiǎn)的原因、量化和管理,還將信用風(fēng)險(xiǎn)管理納入銀行運(yùn)營(yíng)績(jī)效的考核標(biāo)準(zhǔn)之一。在我國(guó),由于傳統(tǒng)的經(jīng)營(yíng)模式和管理體制使得信用風(fēng)險(xiǎn)成為商業(yè)銀行所面臨的最重大、最復(fù)雜的風(fēng)險(xiǎn)種類之一,那么對(duì)商業(yè)銀行的信用風(fēng)險(xiǎn)研究就顯得極為重要。近年來(lái),央行頻繁的利率調(diào)整預(yù)示著利率市場(chǎng)化的逐步逼近。利率市場(chǎng)化必將使商業(yè)銀行面臨更為復(fù)雜的經(jīng)濟(jì)狀況,更為激烈的競(jìng)爭(zhēng)局面。我們不禁開(kāi)始思考,利率市場(chǎng)化對(duì)我國(guó)商業(yè)銀行的信用風(fēng)險(xiǎn)會(huì)產(chǎn)生怎樣的影響。 本文首先從信息不對(duì)稱理論出發(fā),分析了利率市場(chǎng)化下商業(yè)銀行所面臨的道德風(fēng)險(xiǎn)和逆向選擇風(fēng)險(xiǎn),然后結(jié)合我國(guó)特殊的二元經(jīng)濟(jì)結(jié)構(gòu)分析了國(guó)有企業(yè)道德風(fēng)險(xiǎn)所引致的利率非敏感性及利率市場(chǎng)化下的利率上升趨勢(shì),最后在此基礎(chǔ)上討論了利率市場(chǎng)化下我國(guó)商業(yè)銀行所面臨的逆向選擇問(wèn)題,由此推出我國(guó)商業(yè)銀行信用風(fēng)險(xiǎn)加劇�；诖死碚摶A(chǔ),采用宏觀壓力測(cè)試來(lái)分析我國(guó)商業(yè)銀行的信用風(fēng)險(xiǎn)與宏觀經(jīng)濟(jì)變量之間的關(guān)系。實(shí)證分析結(jié)果表明,我國(guó)商業(yè)銀行的信用風(fēng)險(xiǎn)與銀行間同業(yè)拆借利率、GDP增長(zhǎng)率及貨幣供應(yīng)量增長(zhǎng)率等三個(gè)宏觀因子有關(guān)。通過(guò)壓力情景設(shè)置銀行間同業(yè)拆借利率驟升的情況來(lái)模擬利率市場(chǎng)化下利率上升的狀況,由此發(fā)現(xiàn)商業(yè)銀行的信用風(fēng)險(xiǎn)顯示出不斷加劇的傾向。通過(guò)實(shí)證分析證實(shí)了利率市場(chǎng)化下我國(guó)商業(yè)銀行的信用風(fēng)險(xiǎn)增加的推論。最后針對(duì)信用風(fēng)險(xiǎn)產(chǎn)生的原因,提出了一些管理我國(guó)商業(yè)銀行信用風(fēng)險(xiǎn)的措施建議。
[Abstract]:With the development of financial globalization and the violent fluctuation of financial market, credit risk becomes more and more prominent and serious. Although there has been some progress in the field of financial innovation, for most banks, Credit risk is still the main cause of bank bankruptcy. Since 1980s, Western banks have begun to pay more and more attention to the problem of credit risk, focusing not only on the causes of credit risk, but also on quantification and management. In our country, because of the traditional management mode and management system, credit risk has become one of the most important and complex kinds of risks faced by commercial banks. In recent years, the frequent interest rate adjustment by the central bank indicates the gradual approach of interest rate marketization. The marketization of interest rate will make commercial banks face more complicated economic conditions. In a more competitive situation, we can not help thinking about the impact of interest rate marketization on the credit risk of commercial banks in China. Based on the theory of asymmetric information, this paper first analyzes the moral hazard and adverse selection risk faced by commercial banks under the interest rate marketization. Then it analyzes the insensitivity of interest rate caused by moral hazard of state-owned enterprises and the rising trend of interest rate under the marketization of interest rate combined with the special dual economic structure of our country. Finally, the paper discusses the problem of adverse selection faced by Chinese commercial banks under the interest rate marketization, and concludes that the credit risk of Chinese commercial banks is aggravated. The relationship between credit risk and macroeconomic variables of commercial banks in China is analyzed by means of macro stress test. The credit risk of commercial banks in China is related to three macro factors, I. E. interbank lending rate, GDP growth rate and money supply growth rate. The situation of interest rate rising under the marketization of interest rate, It is found that the credit risk of commercial banks shows an increasing tendency. Through empirical analysis, the corollary of the increase of credit risk of commercial banks in China under the interest rate marketization is confirmed. Finally, the causes of credit risk are pointed out. Some measures to manage the credit risk of commercial banks in China are put forward.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F822.0;F832.3;F224

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