本文選題：非利息收入 + 破產(chǎn)風(fēng)險(xiǎn)�。� 參考：《復(fù)旦大學(xué)》2013年碩士論文

【摘要】：近年來(lái),我國(guó)商業(yè)銀行營(yíng)業(yè)收入結(jié)構(gòu)中非利息收入占比呈現(xiàn)日益上升的趨勢(shì)。原因在于隨著金融市場(chǎng)改革和銀行業(yè)競(jìng)爭(zhēng)程度的加劇,我國(guó)商業(yè)銀行更加重視經(jīng)營(yíng)結(jié)構(gòu)的分散化,逐步改變以利息收入為主導(dǎo)的傳統(tǒng)盈利模式。由于非利息收入對(duì)應(yīng)的各種業(yè)務(wù)風(fēng)險(xiǎn)特征差異較大,增加非利息業(yè)務(wù)的比重是否有利于我國(guó)商業(yè)銀行的穩(wěn)健經(jīng)營(yíng)尚不確定。此外,由差異化經(jīng)營(yíng)和業(yè)務(wù)關(guān)聯(lián)帶來(lái)的系統(tǒng)性風(fēng)險(xiǎn)問(wèn)題也成為金融危機(jī)以后監(jiān)管機(jī)構(gòu)重點(diǎn)關(guān)注的問(wèn)題。因此本文將利用股票市場(chǎng)數(shù)據(jù)及銀行財(cái)務(wù)報(bào)表數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn),首先考察非利息收入占比和單家商業(yè)銀行穩(wěn)定水平之間的影響關(guān)系,然后通過(guò)考察非利息收入占比的增加對(duì)銀行系統(tǒng)性風(fēng)險(xiǎn)的影響,分析非利息收入占比的增加對(duì)銀行體系穩(wěn)健性的影響關(guān)系,為銀行的內(nèi)部風(fēng)險(xiǎn)管理及監(jiān)管機(jī)構(gòu)的審慎監(jiān)管提供參考。 本文首先對(duì)銀行非利息收入以及衡量銀行和銀行體系穩(wěn)定性的指標(biāo)進(jìn)行概念界定,然后對(duì)我國(guó)商業(yè)銀行非利息收入占比的發(fā)展歷程和現(xiàn)狀予以分析�？紤]到非利息收入的不同組成部分風(fēng)險(xiǎn)特征差異較大,本文對(duì)非利息收入進(jìn)行了分類(lèi)考察,將非利息收入劃分為傭金型收入和投資型收入兩類(lèi)。在此基礎(chǔ)之上,本文通過(guò)z值方法測(cè)量了商業(yè)銀行的破產(chǎn)風(fēng)險(xiǎn),以2008-2012年我國(guó)14家主要上市商業(yè)銀行為研究對(duì)象,實(shí)證檢驗(yàn)非利息收入的不同組成部分與銀行穩(wěn)定水平之間的關(guān)系。接著,通過(guò)對(duì)z值指標(biāo)進(jìn)行分解,本文對(duì)非利息收入的不同組成部分影響商業(yè)銀行穩(wěn)定的成因與機(jī)制進(jìn)行討論與分析。最后,本文分析了非利息業(yè)務(wù)增加對(duì)銀行體系脆弱性的影響機(jī)制,并通過(guò)邊際期望損失(MES)方法度量了商業(yè)銀行對(duì)銀行業(yè)整體的系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)度,利用2008-2012年我國(guó)14家主要商業(yè)銀行的數(shù)據(jù),實(shí)證檢驗(yàn)了非利息收入的不同組成部分與銀行系統(tǒng)性風(fēng)險(xiǎn)之間的關(guān)系。 本文主要結(jié)論如下： (1)傭金型非利息收入占比對(duì)商業(yè)銀行穩(wěn)定水平有顯著的正的影響,手續(xù)費(fèi)和傭金收入的提高會(huì)增加商業(yè)銀行的穩(wěn)定水平。同時(shí),投資型非利息收入對(duì)商業(yè)銀行穩(wěn)定水平有負(fù)的影響,但并不顯著,現(xiàn)階段我國(guó)商業(yè)銀行投資型活動(dòng)并未顯著降低商業(yè)銀行的穩(wěn)定性。 (2)非利息收入占比的提高會(huì)增加銀行的資產(chǎn)收益率(ROA)、資本充足率(E/A)和資產(chǎn)收益率的波動(dòng)率(σ),非利息收入對(duì)銀行穩(wěn)定水平的提升主要在于增加了銀行的盈利水平和利用資本金抵御風(fēng)險(xiǎn)的水平。銀行分散化經(jīng)營(yíng)會(huì)帶來(lái)盈利性的提升。同時(shí)應(yīng)注意的是,非利息收入對(duì)銀行收益的波動(dòng)程度有正向的影響,但在目前階段,這種風(fēng)險(xiǎn)的提高影響力度有限。 (3)商業(yè)銀行非利息收入的組成部分均對(duì)系統(tǒng)性風(fēng)險(xiǎn)的影響不顯著。同時(shí),資產(chǎn)規(guī)模較小、杠桿率較高、不良資產(chǎn)率較高的銀行對(duì)系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)度更高。
[Abstract]:In recent years, the proportion of non-interest income in the structure of operating income of commercial banks in China is increasing day by day. The reason is that with the reform of financial market and the aggravation of banking competition, Chinese commercial banks pay more attention to the decentralization of management structure, and gradually change the traditional profit model dominated by interest income. Due to the different risk characteristics of non-interest income, it is uncertain whether increasing the proportion of non-interest business is beneficial to the steady operation of commercial banks in China. In addition, the systemic risk caused by differentiated management and business association has become the focus of attention of regulators after the financial crisis. Therefore, this paper will use stock market data and bank financial statement data for empirical testing, first of all, we will examine the relationship between the non-interest income ratio and the stable level of a single commercial bank. Then, by examining the influence of the increase of non-interest income on the systemic risk of banks, the paper analyzes the influence of the increase of non-interest income on the stability of the banking system, and then analyzes the relationship between the increase of non-interest income and the stability of the banking system. Provide reference for internal risk management of banks and prudential supervision of regulators. This paper first defines the non-interest income of banks and the indicators to measure the stability of banks and banking system, and then analyzes the development process and present situation of non-interest income of commercial banks in China. Considering that the risk characteristics of different components of non-interest income are quite different, this paper classifies non-interest income into commission income and investment income. On this basis, this paper measures the bankruptcy risk of commercial banks by z value method, taking 14 main listed commercial banks in China from 2008 to 2012 as the research object. The relationship between the different components of non-interest income and the level of bank stability is tested empirically. Then, through the decomposition of z value index, this paper discusses and analyzes the causes and mechanism of the different components of non-interest income affecting the stability of commercial banks. Finally, this paper analyzes the influence mechanism of the increase of non-interest business on the vulnerability of banking system, and measures the contribution of commercial banks to the whole banking system through the method of marginal expected loss (MES). Based on the data of 14 major commercial banks in China from 2008 to 2012, this paper empirically examines the relationship between the different components of non-interest income and the systemic risk of banks. The main conclusions of this paper are as follows: (1) the proportion of non-interest income of commission type has a significant positive effect on the stable level of commercial banks, and the increase of commission and commission income will increase the stable level of commercial banks. At the same time, investment non-interest income has a negative impact on the stability of commercial banks, but it is not significant. At this stage, the investment activities of commercial banks in China have not significantly reduced the stability of commercial banks. (2) the increase in the proportion of non-interest income will increase the rate of return on assets of banks, capital adequacy ratio (E / A) and the wave of return on assets. The increase of non-interest income to the stable level of banks mainly lies in increasing the profit level of banks and the level of using capital to resist risks. The diversification of banks will lead to higher profitability. At the same time, it should be noted that non-interest income has a positive impact on the degree of volatility of bank earnings, but at this stage, The impact of this kind of risk is limited. 3) the components of non-interest income of commercial banks have no significant impact on systemic risk. Meanwhile, banks with smaller assets, higher leverage and higher non-performing assets contribute more to systemic risk.
【學(xué)位授予單位】：復(fù)旦大學(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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本文編號(hào)：2028266