本文選題：銀行集團(tuán) + 交叉風(fēng)險(xiǎn)��； 參考：《清華大學(xué)》2013年博士論文

【摘要】：20世紀(jì)70年代以來，隨著經(jīng)濟(jì)全球化、金融自由化程度的不斷加深，銀行集團(tuán)以其在一國經(jīng)濟(jì)中舉足輕重的地位和其風(fēng)險(xiǎn)的獨(dú)有特征，使得一國乃至世界經(jīng)濟(jì)變得更為脆弱。本研究力圖填補(bǔ)目前我國學(xué)術(shù)界、業(yè)內(nèi)以及監(jiān)管當(dāng)局對(duì)于銀行集團(tuán)交叉風(fēng)險(xiǎn)識(shí)別、計(jì)量、監(jiān)管等方面的空白，對(duì)銀行集團(tuán)的交叉風(fēng)險(xiǎn)種類、特征、生成機(jī)制進(jìn)行了深入分析，提出我國銀行集團(tuán)交叉風(fēng)險(xiǎn)的監(jiān)管措施，構(gòu)建重在交叉風(fēng)險(xiǎn)的銀行集團(tuán)并表監(jiān)管框架。 本文提出我國銀行集團(tuán)的交叉風(fēng)險(xiǎn)包括基于集團(tuán)內(nèi)部治理結(jié)構(gòu)復(fù)雜性而產(chǎn)生的風(fēng)險(xiǎn)以及由于業(yè)務(wù)交叉而帶來的混合金融風(fēng)險(xiǎn)。對(duì)于基于銀行集團(tuán)組織結(jié)構(gòu)的復(fù)雜性而產(chǎn)生的交叉風(fēng)險(xiǎn)，本文借助耗散結(jié)構(gòu)理論和管理熵概念對(duì)組織結(jié)構(gòu)的復(fù)雜性進(jìn)行了測(cè)度，從而對(duì)組織結(jié)構(gòu)交叉風(fēng)險(xiǎn)進(jìn)行量化評(píng)估。對(duì)于基于銀行集團(tuán)業(yè)務(wù)往來而形成的交叉風(fēng)險(xiǎn)，本文從我國經(jīng)濟(jì)環(huán)境下特有的外部觸發(fā)源入手，，借助博弈模型分析了集團(tuán)內(nèi)部銀行與信托的風(fēng)險(xiǎn)傳染機(jī)制、構(gòu)筑了基于CoVaR模型銀行與證券的風(fēng)險(xiǎn)傳染機(jī)制，通過模擬仿真數(shù)據(jù)構(gòu)建了集團(tuán)內(nèi)部銀行與影子銀行風(fēng)險(xiǎn)傳染的定量分析模型框架，并探討了銀行集團(tuán)的跨境風(fēng)險(xiǎn)傳染。在此基礎(chǔ)上，本文嘗試將集團(tuán)內(nèi)各類風(fēng)險(xiǎn)水平進(jìn)行綜合或加總，對(duì)集團(tuán)整體并表風(fēng)險(xiǎn)進(jìn)行了計(jì)量與評(píng)估。針對(duì)銀行集團(tuán)交叉風(fēng)險(xiǎn)的分析，借鑒國際經(jīng)驗(yàn)，本文提出了重在交叉風(fēng)險(xiǎn)監(jiān)管的六大思路和具體方案，分別是針對(duì)各類交叉風(fēng)險(xiǎn)的不同特征，建立差異化的銀行集團(tuán)并表范圍；針對(duì)銀行集團(tuán)復(fù)雜的組織架構(gòu)，建立銀行集團(tuán)的公司治理監(jiān)管；針對(duì)集團(tuán)內(nèi)部利益沖突風(fēng)險(xiǎn)，完善銀行集團(tuán)的內(nèi)部交易監(jiān)管；針對(duì)集團(tuán)的并表風(fēng)險(xiǎn)，完善銀行集團(tuán)的資本監(jiān)管；針對(duì)集團(tuán)的風(fēng)險(xiǎn)傳染構(gòu)建銀行集團(tuán)的風(fēng)險(xiǎn)隔離監(jiān)管；針對(duì)跨境風(fēng)險(xiǎn)完善銀行集團(tuán)的跨境監(jiān)管。 本文的創(chuàng)新點(diǎn)在于：一是系統(tǒng)提出銀行集團(tuán)交叉風(fēng)險(xiǎn)的概念及理論分析框架。二是構(gòu)建模型，對(duì)我國銀行集團(tuán)交叉風(fēng)險(xiǎn)的傳染機(jī)制進(jìn)行分析、計(jì)量和評(píng)估。三是對(duì)國際金融組織、世界主要國家對(duì)銀行集團(tuán)的監(jiān)管政策歷史沿革、現(xiàn)行做法特別是美國次貸危機(jī)引發(fā)全球金融危機(jī)以后各國的最新監(jiān)管改革進(jìn)行了梳理。四是有針對(duì)性地提出我國對(duì)銀行集團(tuán)交叉風(fēng)險(xiǎn)監(jiān)管對(duì)策。
[Abstract]:Since 1970s, with the economic globalization and the deepening of financial liberalization, the banking group has become more vulnerable because of its pivotal position in a country's economy and its unique characteristics of risk. This study tries to fill the gaps in the current academic, industry and regulatory authorities of banking group cross risk identification, measurement, supervision and other aspects of the banking group cross-risk types, characteristics, generation mechanism for in-depth analysis. This paper puts forward the supervision measures of cross risk of banking group in our country, and constructs the regulatory framework of bank group and bank group with emphasis on cross risk. This paper puts forward that the cross risk of Chinese banking group includes the risk caused by the complexity of the internal governance structure of the group and the mixed financial risk caused by the business crossing. Based on the complexity of the organizational structure of the banking group, this paper measures the complexity of the organizational structure with the aid of the dissipative structure theory and the concept of management entropy, so as to quantitatively evaluate the cross-risk of the organizational structure. For cross risk based on banking group business transaction, this paper analyzes the risk contagion mechanism between bank and trust within the group with the help of game model, starting with the unique external trigger source under the economic environment of our country. This paper constructs the risk contagion mechanism of banks and securities based on CoVaR model, constructs the quantitative analysis model framework of risk contagion between banks and shadow banks through simulation data, and probes into the cross-border risk contagion of banking groups. On this basis, this paper attempts to synthesize or add all kinds of risk levels in the group, and measure and evaluate the risk of the whole group. Based on the analysis of cross risk of banking group and drawing lessons from international experience, this paper puts forward six main ideas and specific schemes for supervision of cross risk, which is to establish different bank group merger scope according to different characteristics of cross risk. In view of the complex organizational structure of the banking group, we should establish the corporate governance supervision of the banking group; perfect the internal transaction supervision of the banking group for the risk of internal conflicts of interest within the group; Risk contagion against the group to build a banking group risk isolation regulation; cross-border risk improvement of cross-border banking group regulation. The innovations of this paper are as follows: first, the concept and theoretical analysis framework of cross risk of banking group are put forward systematically. The second is to build a model to analyze, measure and evaluate the contagion mechanism of cross-risk of banking groups in China. Third, the history of the supervision policies of international financial organizations and major countries to the banking group, especially the latest regulatory reform of countries after the global financial crisis triggered by the subprime mortgage crisis in the United States. Fourth, put forward our country to the bank group cross-risk supervision countermeasure pertinently.
【學(xué)位授予單位】：清華大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.33

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