【摘要】：我國長期以來實行的計劃經(jīng)濟(jì)體制使得利率和匯率水平較為穩(wěn)定,因而大多數(shù)商業(yè)銀行對市場風(fēng)險沒有給予足夠的重視。隨著金融改革進(jìn)程的推進(jìn),我國商業(yè)銀行所面對的市場風(fēng)險不斷增大。與國有銀行和股份制商業(yè)銀行相比,城市商業(yè)銀行的規(guī)模小、資源少、公司治理不成熟,其風(fēng)險管理意識不足,風(fēng)險管理方法落后,管理體制和管理水平已經(jīng)不足以應(yīng)對日漸增大的市場風(fēng)險。為了更好的應(yīng)對激烈的同業(yè)競爭,城市商業(yè)銀行有必要借鑒先進(jìn)的國際經(jīng)驗,加強(qiáng)對市場風(fēng)險的管理意識,并采用更加先進(jìn)和完備的市場風(fēng)險管理方法。 VaR模型是西方國家已應(yīng)用數(shù)年的先進(jìn)的市場風(fēng)險管理模型,由于我國理論研究和實踐工作起步較晚,VaR模型暫時未得到有效推廣。通過調(diào)整市場風(fēng)險計量方法和管理理念,以VaR模型為基礎(chǔ)建成更高效完善的風(fēng)險管理體系,可以顯著提升城市商業(yè)銀行的市場風(fēng)險管理水平,以與巴塞爾協(xié)議的要求和國際慣例接軌。因此,研究并引入VaR模型來管理我國城市商業(yè)銀行的市場風(fēng)險具有重要的意義和作用。 本文從商業(yè)銀行的市場風(fēng)險理論出發(fā),首先在第一章提出對城市商業(yè)銀行進(jìn)行市場風(fēng)險管理研究的意義,總結(jié)了以往的研究成果。接著在第二章論述了我國城市商業(yè)銀行的發(fā)展現(xiàn)狀和其在現(xiàn)階段面臨的市場風(fēng)險現(xiàn)狀,之后在第三章分析了城市商業(yè)銀行市場風(fēng)險管理中存在的各項問題和其原因,具體包括計量模型不適應(yīng)當(dāng)前需求、管理意識薄弱、組織結(jié)構(gòu)不完善、信息系統(tǒng)落后、人才匱乏和外部環(huán)境不完善。然后在第四章介紹了幾種常用的市場風(fēng)險計量模型,以我國外匯管理局公布的美元對人民幣的中間價數(shù)據(jù)為基礎(chǔ),運用VaR模型中的GARCH算法對我國城市商業(yè)銀行面臨的市場風(fēng)險水平進(jìn)行了簡要的實證分析,實證結(jié)果通過了KuPiec檢驗。最后在第五章針對我國城市商業(yè)銀行市場風(fēng)險管理的薄弱環(huán)節(jié),從計量體系、管理理念、組織結(jié)構(gòu)、信息系統(tǒng)、人才培養(yǎng)五方面提出了改善其市場風(fēng)險管理體系的對策建議。
[Abstract]:The planned economy system in our country for a long time makes the level of interest rate and exchange rate more stable, so most commercial banks do not pay enough attention to the market risk. With the development of financial reform, the market risks faced by Chinese commercial banks are increasing. Compared with state-owned banks and joint-stock commercial banks, urban commercial banks are small in scale, few in resources, immature in corporate governance, lack of awareness of risk management, and backward in risk management methods. The management system and management level are not enough to cope with the increasing market risk. In order to deal with the fierce competition, it is necessary for the city commercial banks to learn from the advanced international experience and strengthen their awareness of the management of market risks. The VaR model is an advanced market risk management model that has been applied in western countries for several years. The VaR model has not been popularized effectively because of the late start of theoretical research and practice in China. By adjusting the market risk measurement methods and management concepts, and building a more efficient and perfect risk management system based on VaR model, the market risk management level of urban commercial banks can be significantly improved. In line with the requirements of the Basel Accord and international practice. Therefore, it is of great significance and function to study and introduce VaR model to manage the market risk of urban commercial banks in China. Based on the market risk theory of commercial banks, this paper first puts forward the significance of market risk management research on urban commercial banks in the first chapter, and summarizes the previous research results. Then in the second chapter, it discusses the current situation of the development and the market risk of the city commercial bank in our country. Then, in the third chapter, it analyzes the existing problems and the reasons of the market risk management of the city commercial bank. The metrological model is not suitable for the current demand, the management consciousness is weak, the organization structure is not perfect, the information system is backward, the talent is scarce and the external environment is not perfect. Then, in the fourth chapter, we introduce several commonly used market risk measurement models, which are based on the median value of US dollar to RMB published by the Administration of Foreign Exchange of China. Using the GARCH algorithm in the VaR model, this paper makes a brief empirical analysis of the market risk level faced by the city commercial banks in China, and the empirical results pass the KuPiec test. Finally, in the fifth chapter, aiming at the weak links of the market risk management of the city commercial banks of our country, this paper puts forward the countermeasures and suggestions to improve the market risk management system of the city commercial banks from five aspects: measurement system, management idea, organization structure, information system and talent training.
【學(xué)位授予單位】：東北財經(jīng)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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