【摘要】：通過合理的流動性風(fēng)險管理來保持適度的流動性，控制流動性風(fēng)險一直是商業(yè)銀行流動性風(fēng)險管理的熱點與重點。巴塞爾委員會也曾指出測度與管理其流動性是商業(yè)銀行最為重要的業(yè)務(wù)之一。但是因為大部分人認(rèn)為銀行即使出現(xiàn)流動性危機(jī)，政府也會進(jìn)行救助，，致使流動性風(fēng)險曾一度被國內(nèi)外學(xué)者忽視。然而，近年來，銀行業(yè)不斷出現(xiàn)流動性風(fēng)險問題，使加強(qiáng)流動性風(fēng)險管理再次成為商業(yè)銀行的關(guān)注熱點。因此，準(zhǔn)確測度商業(yè)銀行流動性風(fēng)險，并深入研究流動性風(fēng)險影響因素，對我國銀行業(yè)甚至金融業(yè)的良性發(fā)展有重要意義，鑒于此，本文圍繞這些問題針對我國商業(yè)銀行展開研究，具體包括以下五部分： 首先，界定流動性、流動性風(fēng)險的定義，梳理商業(yè)銀行流動性風(fēng)險管理的相關(guān)理論，并介紹本文運(yùn)用的分析方法及其原理。 其次，回顧我國商業(yè)銀行流動性風(fēng)險發(fā)展歷程與現(xiàn)狀，并全方位、深入分析當(dāng)前我國商業(yè)銀行流動性風(fēng)險管理中存在的問題。 然后，運(yùn)用靜態(tài)、動態(tài)流動性風(fēng)險衡量方法對我國商業(yè)銀行流動性風(fēng)險進(jìn)行衡量，并在我國現(xiàn)有的商業(yè)銀行流動性風(fēng)險衡量指標(biāo)的基礎(chǔ)之上，懫用主成分分析方法，構(gòu)造出一個衡量商業(yè)銀行流動性綜合水平的指標(biāo)。 再次，以構(gòu)造的流動性綜合水平為被解釋變量，從銀行內(nèi)外部選取解釋變量對我國不同規(guī)模上市商業(yè)銀行建立面板數(shù)據(jù)模型進(jìn)行實證分析，以探求我國商業(yè)銀行流動性風(fēng)險的影響因素。 最后，在流動性風(fēng)險現(xiàn)狀及問題分析的基礎(chǔ)上、結(jié)合影響因素的實證分析結(jié)果，從銀行自身層面、宏觀政策層面以及第三方監(jiān)督層面對我國商業(yè)銀行流動性管理提出相應(yīng)對策建議。
[Abstract]:Through reasonable liquidity risk management to maintain appropriate liquidity, liquidity risk control has been the focus of commercial banks liquidity risk management. The Basel Committee has also pointed out that measuring and managing its liquidity is one of the most important business of commercial banks. But because most people believe that even if banks have a liquidity crisis, the government will also rescue, resulting in liquidity risk was once ignored by domestic and foreign scholars. However, in recent years, the liquidity risk has appeared continuously in the banking industry, which makes the strengthening of liquidity risk management become the focus of commercial banks again. Therefore, it is of great significance to measure the liquidity risk of commercial banks accurately and to study the influencing factors of liquidity risk for the benign development of banking and even financial industry in China. This paper focuses on these problems in China's commercial banks, including the following five parts: first, define liquidity, liquidity risk definition, combing the commercial banks liquidity risk management theory, The analysis method and principle used in this paper are also introduced. Secondly, the paper reviews the development course and present situation of liquidity risk of commercial banks in China, and analyzes the existing problems in liquidity risk management of commercial banks in China. Then, using the static and dynamic liquidity risk measurement method to measure the liquidity risk of commercial banks in China, and on the basis of the existing liquidity risk measurement indicators of commercial banks in China, the principal component analysis method is used. This paper constructs an index to measure the comprehensive level of liquidity of commercial banks. Thirdly, taking the synthetic level of liquidity as the explanatory variable, the paper analyzes the panel data model of China's listed commercial banks with different sizes by selecting the explanatory variables from the inside and outside of the banks. In order to explore the liquidity risk of commercial banks in China. Finally, on the basis of the analysis of the current situation and problems of liquidity risk, combined with the empirical analysis results of influencing factors, from the bank's own level, The macroscopic policy level and the third party supervision level put forward the corresponding countermeasure suggestion to our country commercial bank liquidity management.
【學(xué)位授予單位】：燕山大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.33

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