本文選題：股份制商業(yè)銀行 + 流動性��； 參考：《浙江大學(xué)》2013年碩士論文

【摘要】：流動性風(fēng)險是商業(yè)銀行面臨的重要風(fēng)險。2010年新巴塞爾協(xié)議(III)明確了流動性風(fēng)計量、監(jiān)控和管理的重要性,并要求每家商業(yè)銀行將其作為關(guān)鍵的一項日常管理項目。近年來,我國商業(yè)銀行面臨較為嚴(yán)峻的流動性風(fēng)險隱患,通脹的同時也面臨資金緊缺,信貸緊張的問題。 股份制商業(yè)銀行作為我國銀行業(yè)的重要組成部分,其發(fā)展迅速并日漸壯大,為經(jīng)濟實體的發(fā)展提供了有利的金融支撐,特別是在支持中小企業(yè)和民營經(jīng)濟的發(fā)展中作用顯著。其流動性風(fēng)險問題和事件也隨著發(fā)展壯大的過程凸顯：金融風(fēng)險暴露,不良貸款率上升,資產(chǎn)負(fù)債結(jié)構(gòu)失衡,資本充足情況下降,流動性狀況變差,對宏觀環(huán)境的應(yīng)變能力不足等問題也逐漸暴露。股份制商業(yè)銀行的流動性問題值得深究。 本文基于此考慮,分為五個部分對股份制商業(yè)銀行流動性風(fēng)險進行研究： 第一、二部分,本文通過對現(xiàn)有問題的初步闡述,討論了股份制商業(yè)銀行流動性風(fēng)險的研究背景和研究意義,并全面的歸納總結(jié)了國內(nèi)外現(xiàn)有的研究文獻,闡明該問題的研究現(xiàn)狀并指出本文的研究方法和研究框架。 第三部分,本文利用4家國有商業(yè)銀行、9家股份制商業(yè)銀行和5家城商行等其他銀行的歷年數(shù)據(jù),采用描述性統(tǒng)計分析的方式,用橫向和縱向?qū)Ρ鹊哪Ｊ?剖析股份制商業(yè)銀行的資本充足情況、資產(chǎn)流動性狀況和負(fù)債流動性狀況,挖掘股份制商業(yè)銀行存在的流動性風(fēng)險問題。 第四部分,本文理論分析了我國股份制商業(yè)銀行的流動性風(fēng)險成因及流動性的影響因素并以此為基礎(chǔ),結(jié)合股份制商業(yè)銀行的季度數(shù)據(jù),建立VAR向量自回歸模型，，通過各種檢驗、脈沖響應(yīng)分析和方差分析等方法,對我國股份制商業(yè)銀行的流動性風(fēng)險影響因素進行了實證分析。 第五部分,在前幾個部分的基礎(chǔ)上本文提出了相應(yīng)的政策建議。
[Abstract]:Liquidity risk is an important risk faced by commercial banks. In 2010, Basel II II) made clear the importance of liquidity wind measurement, monitoring and management, and required each commercial bank to regard it as a key daily management project. In recent years, China's commercial banks are faced with more severe liquidity risks, inflation, but also facing a shortage of funds, credit is tight. As an important part of China's banking industry, joint-stock commercial banks have developed rapidly and gradually, providing favorable financial support for the development of economic entities, especially in supporting the development of small and medium-sized enterprises and private economy. Its liquidity risk problems and events also become prominent along with the development process: financial risk exposure, non-performing loan ratio rising, balance of assets and liabilities structure imbalance, capital adequacy situation declining, liquidity condition becoming worse, Problems such as inadequate response capacity to macro-environment are also gradually exposed. The liquidity of joint-stock commercial banks is worth studying. Based on this consideration, this paper is divided into five parts to study the liquidity risk of joint-stock commercial banks. The first and second parts, this paper discusses the background and significance of the research on liquidity risk of joint-stock commercial banks through the preliminary elaboration of the existing problems, and summarizes the existing research literature at home and abroad. The present research situation of this problem and the research method and framework of this paper are pointed out. In the third part, using the data of 4 state-owned commercial banks and 9 joint-stock commercial banks and other banks such as five city commercial banks, this paper uses the descriptive statistical analysis method, using horizontal and vertical comparison model. This paper analyzes the situation of capital adequacy, asset liquidity and liability liquidity of joint-stock commercial banks, and explores the liquidity risk problems existing in joint-stock commercial banks. In the fourth part, this paper theoretically analyzes the causes of liquidity risk and the influencing factors of liquidity of China's joint-stock commercial banks. On the basis of this, combined with the quarterly data of joint-stock commercial banks, a VAR vector autoregressive model is established. By means of various tests, impulse response analysis and variance analysis, this paper makes an empirical analysis on the influencing factors of liquidity risk of joint-stock commercial banks in China. The fifth part, on the basis of the previous several parts, this paper puts forward the corresponding policy recommendations.
【學(xué)位授予單位】：浙江大學(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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