本文選題：風險承擔 + 資本監(jiān)管��； 參考：《大連理工大學》2013年碩士論文

【摘要】：始于2007年的全球金融危機,使各國監(jiān)管當局更加審慎銀行業(yè)面臨的各種風險及其風險管理問題。資本監(jiān)管、監(jiān)督檢查和市場約束被視為《巴塞爾協(xié)議Ⅱ》銀行監(jiān)管的三大支柱,而此次金融危機卻暴露出三大監(jiān)管支柱的不足。如何深入剖析三大監(jiān)管支柱對商業(yè)銀行風險承擔行為的作用機理,如何有效的將三者有機結合,提高監(jiān)管的有效性,無疑具有重要的理論和現(xiàn)實意義。 論文采用定性分析與定量分析相結合的方法,運用數(shù)理模型和實證檢驗分析三大監(jiān)管支柱及其組合對于商業(yè)銀行風險承擔行為的影響。具體分析表現(xiàn)在三個方面： 首先,在界定相關概念基礎上,分析影響商業(yè)銀行風險承擔行為的因素,主要分析了三大監(jiān)管支柱影響商業(yè)銀行風險承擔行為的機理和影響商業(yè)銀行風險承擔行為的內在、外在因素。其次,構建數(shù)理模型,分析三大監(jiān)管支柱如何有效共同作用商業(yè)銀行風險承擔行為的機理。借鑒Decamps等人的連續(xù)時間模型,引入隱性擔保制度,依次將資本監(jiān)管、市場約束和監(jiān)督檢查引入模型,分析三大監(jiān)管支柱兩兩之間的關系。得出結論認為：三大監(jiān)管支柱對銀行風險承擔行為具有抑制作用,市場約束起到有益補充作用,資本監(jiān)管和監(jiān)督檢查之間具有替代關系。最后,分別利用中國銀行業(yè)的數(shù)據(jù),進行靜態(tài)回歸和動態(tài)廣義矩估計。構建了表示三大監(jiān)管支柱的資本監(jiān)管壓力REG、官方監(jiān)管能力指數(shù)SRDEX和信息披露指數(shù)INFDEX以及銀行風險承擔的度量指標Z值,在模型中引入三大監(jiān)管支柱的交叉項考察兩兩之間的相互關系。靜態(tài)模型采用了個體固定效應模型,動態(tài)模型采用了廣義矩估計法。結果表明,靜態(tài)模型和動態(tài)模型的回歸結果相似,三大監(jiān)管支柱對銀行的風險承擔行為具有顯著的影響,兩兩之間也確實具有互補或替代的關系。
[Abstract]:The global financial crisis, which began in 2007, has made national regulators more cautious about the risks faced by banks and their risk management problems. Capital supervision, supervision and market regulation are regarded as the three pillars of Basel II banking regulation, but the financial crisis has exposed the shortcomings of the three pillars. It is undoubtedly of great theoretical and practical significance to analyze in depth the action mechanism of the three pillars of supervision on the risk-bearing behavior of commercial banks and how to combine them effectively and improve the effectiveness of supervision. This paper adopts the method of qualitative analysis and quantitative analysis, and uses mathematical model and empirical test to analyze the influence of the three supervision pillars and their combination on the risk-bearing behavior of commercial banks. First of all, on the basis of defining the relevant concepts, the factors that affect the risk-bearing behavior of commercial banks are analyzed. This paper mainly analyzes the mechanism of the three pillars of supervision affecting the risk-bearing behavior of commercial banks and the internal and external factors that affect the risk-taking behavior of commercial banks. Secondly, the mathematical model is constructed to analyze the mechanism of how the three pillars of supervision act together effectively on the risk-bearing behavior of commercial banks. Based on Decamps' continuous time model, the implicit guarantee system is introduced, and the capital supervision, market constraint and supervision inspection are introduced into the model in order to analyze the relationship between the three major regulatory pillars. The conclusions are as follows: the three pillars of supervision can inhibit the risk-bearing behavior of banks, the market constraints play a beneficial complementary role, and there is a substitute relationship between capital supervision and inspection. Finally, static regression and dynamic generalized moment estimation are carried out using Chinese banking data. Capital supervision pressure REGG, SRDEX, INFDEX, and Z, a measure of banks' exposure to risk, are constructed to represent the three pillars of regulation, including the capital regulatory pressure, the official regulatory capability index SRDEX, and the information disclosure index INFDEX. The cross-item of three major regulatory pillars is introduced into the model to examine the relationship between two and two. The static model adopts the individual fixed effect model and the dynamic model adopts the generalized moment estimation method. The results show that the regression results of static model and dynamic model are similar. The three pillars of supervision have significant influence on the risk-bearing behavior of banks.
【學位授予單位】：大連理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.33

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