發(fā)布時(shí)間：2019-01-17 09:43

【摘要】：一直以來,商業(yè)銀行在國民經(jīng)濟(jì)發(fā)展過程中扮演著重要的角色,尤其是隨著國際金融市場開放程度的提高和金融產(chǎn)品的不斷創(chuàng)新,為我國商業(yè)銀行提供了巨大發(fā)展機(jī)遇的同時(shí),也提出了重大的挑戰(zhàn),2008年爆發(fā)的金融危機(jī)更是歷史性地改變了美國金融市場的格局。我國上市商業(yè)銀行作為一個(gè)獨(dú)立的板塊,注定要發(fā)揮著更重要的作用,也面臨著更嚴(yán)峻的挑戰(zhàn),這些挑戰(zhàn)來自國際銀行的競爭、銀行自身內(nèi)部機(jī)制的完善、信息披露的完整度及銀行自身價(jià)值提升等問題。在這樣一個(gè)背景下,我國上市商業(yè)銀行的風(fēng)險(xiǎn)管理也日益重要,研究這些風(fēng)險(xiǎn)產(chǎn)生的原因及補(bǔ)救措施也順應(yīng)了現(xiàn)實(shí)的需要。 因此,本文在積極吸收國內(nèi)外關(guān)于銀行風(fēng)險(xiǎn)管理理論的基礎(chǔ)上,運(yùn)用比較分析和歷史分析的方法,參照巴塞爾新協(xié)議的內(nèi)容,結(jié)合我國上市商業(yè)銀行抗風(fēng)險(xiǎn)管理的特點(diǎn),重點(diǎn)對我國上市商業(yè)銀行當(dāng)前存在的信用風(fēng)險(xiǎn)、市場風(fēng)險(xiǎn)、操作風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析,并以此作為我國上市商業(yè)銀行抗風(fēng)險(xiǎn)管理能力的重要指標(biāo),研究發(fā)現(xiàn)： 首先,當(dāng)前我國商業(yè)銀行的風(fēng)險(xiǎn)主要以信用風(fēng)險(xiǎn)為主,并選用不良貸款率對我國上市商業(yè)銀行2005-2011年間的信用風(fēng)險(xiǎn)進(jìn)行了實(shí)證分析,結(jié)果發(fā)現(xiàn)我國上市商業(yè)銀行整體的不良貸款率呈逐年下降的趨勢,說明各上市商業(yè)銀行在經(jīng)過股份制改革之后總體抗信用風(fēng)險(xiǎn)能力有了較大的提升；其次,本文選用資本充足率和利率風(fēng)險(xiǎn)來衡量市場風(fēng)險(xiǎn)的大小。從分析結(jié)果來看,當(dāng)前我國上市商業(yè)銀行的資本充足率比較平穩(wěn),但這一結(jié)果的計(jì)算公式與巴塞爾新資本協(xié)議中的計(jì)算公式有出入,否則結(jié)果可能會被放大。而利率市場存在很大的不確定性,大起后往往伴隨著大落；最后,由于操作風(fēng)險(xiǎn)的數(shù)據(jù)較難獲得且這是一個(gè)小概率但影響大的事件,因此對上市商業(yè)銀行的操作風(fēng)險(xiǎn)進(jìn)行度量比較困難,當(dāng)前主要采用指標(biāo)法和回歸分析對進(jìn)行衡量,本文重點(diǎn)對浦發(fā)銀行和民生銀行進(jìn)行了分析,結(jié)果是指標(biāo)法更適用于規(guī)模較小的銀行,而VaR模型更適合操作系統(tǒng)更為復(fù)雜、規(guī)模更大的銀行。 針對上述研究結(jié)論,總結(jié)出當(dāng)前我國上市商業(yè)銀行的風(fēng)險(xiǎn)管理過程中普遍存在產(chǎn)權(quán)制度和管理體制不健全、風(fēng)險(xiǎn)意識不強(qiáng)、管理人才缺失、管理技術(shù)落后好風(fēng)險(xiǎn)數(shù)據(jù)缺失等問題,并分別從整體戰(zhàn)略管理和交叉管理、強(qiáng)化風(fēng)險(xiǎn)意識、改善風(fēng)控體制,完善風(fēng)險(xiǎn)管理方法和技術(shù)等方面提出了相應(yīng)的對策建議。
[Abstract]:The commercial bank has always played an important role in the development of the national economy, especially with the improvement of the opening degree of the international financial market and the continuous innovation of the financial products. The financial crisis, which broke out in 2008, has also changed the pattern of the financial market in the United States in a historic way. As an independent block, China's listed commercial banks are bound to play a more important role and face a more serious challenge. These challenges come from the competition of the international banks, the perfection of the internal mechanism of the bank itself, the complete degree of information disclosure and the improvement of the value of the bank itself. In such a background, the risk management of China's listed commercial banks is also becoming more and more important, and the causes and remedies to study these risks are also in line with the needs of the reality. Therefore, on the basis of actively absorbing the domestic and foreign bank risk management theories, this paper makes use of the methods of comparative analysis and historical analysis, referring to the contents of the Basel new agreement, and combining with our country's listed commercial bank's anti-risk management. The paper makes an empirical analysis on the current credit risk, market risk and operational risk of the listed commercial bank in China, and this is the important index of the anti-risk management ability of the listed commercial bank in China, and the research is made. Now: First, the current risk of commercial banks in China is mainly the credit risk, and the non-performing loan ratio is used to analyze the credit risk of the listed commercial bank in 2005-2011. The result shows that the total non-performing loan rate of the listed commercial bank in China is decreasing year by year. The trend of capital adequacy ratio and interest rate risk is used to measure the market risk. From the analysis result, the capital adequacy ratio of China's listed commercial banks is relatively stable, but the calculation formula of this result is different from the calculation formula in the Basel new capital agreement, or the result may be As a result, the data of operation risk is difficult to obtain and it is a small probability but has a large impact, so the operation risk of the listed commercial bank is measured. It is more difficult to use the index method and the regression analysis to measure. The paper focuses on the analysis of the Pudong Development Bank and the Minsheng Bank, and the result is that the index method is more suitable for smaller banks, and the VaR model is more complex and larger in scale. In view of the above-mentioned research conclusion, it is concluded that the system of property right system and management system in the risk management process of listed commercial banks in our country are not sound, the consciousness of management is not strong, the management personnel are missing, and the management technology is behind the risk data The problems such as missing and so on are put forward from the aspects of overall strategy management and cross-management, strengthening consciousness of consciousness, improving wind control system, improving risk management method and technology, etc.
【學(xué)位授予單位】：中南林業(yè)科技大學(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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