商業(yè)銀行影子銀行業(yè)務(wù)風(fēng)險(xiǎn)管理研究
發(fā)布時(shí)間：2019-06-09 20:27
【摘要】：全球金融危機(jī)爆發(fā)后，影子銀行的概念浮出水面。我國商業(yè)銀行在進(jìn)行金融業(yè)務(wù)創(chuàng)新的同時(shí)，影子銀行業(yè)務(wù)也不斷得到發(fā)展。這些影子銀行業(yè)務(wù)將傳統(tǒng)的表內(nèi)資產(chǎn)轉(zhuǎn)到表外，具有監(jiān)管套利的性質(zhì)，給銀行的運(yùn)營帶來了巨大的潛在風(fēng)險(xiǎn)，同時(shí)也加大了政府進(jìn)行宏觀調(diào)控的難度。本文立足于我國商業(yè)銀行影子業(yè)務(wù)的發(fā)展現(xiàn)狀，結(jié)合管理學(xué)和金融學(xué)相關(guān)知識，對商業(yè)銀行影子銀行業(yè)務(wù)風(fēng)險(xiǎn)管理問題進(jìn)行研究。 本文所做的主要研究工作有如下幾點(diǎn)： 第一，綜述了我國商業(yè)銀行內(nèi)部所開展的各類影子銀行業(yè)務(wù)的發(fā)展現(xiàn)狀，對銀信合作理財(cái)產(chǎn)品、委托貸款等影子銀行業(yè)務(wù)進(jìn)行逐一分析，探究其運(yùn)行過程中出現(xiàn)的問題以及可能遇到的風(fēng)險(xiǎn)。 第二，根據(jù)風(fēng)險(xiǎn)評價(jià)指標(biāo)的選取的四個(gè)基本原則和影子銀行業(yè)務(wù)的實(shí)際現(xiàn)狀，共選取了對商業(yè)銀行影子銀行業(yè)務(wù)風(fēng)險(xiǎn)影響較大的29個(gè)評價(jià)指標(biāo)，從外部環(huán)境和內(nèi)部運(yùn)營兩方面分別建立了二層風(fēng)險(xiǎn)指標(biāo)評價(jià)體系。 第三，選取了2005-2012年我國商業(yè)銀行影子銀行業(yè)務(wù)的相關(guān)實(shí)際數(shù)據(jù)，采用熵權(quán)法和層次分析法設(shè)定權(quán)重，分別對外部環(huán)境和內(nèi)部運(yùn)營風(fēng)險(xiǎn)進(jìn)行評價(jià)研究，作出風(fēng)險(xiǎn)評級，并對結(jié)果進(jìn)行分析評價(jià)。 第四，根據(jù)評分研究所得出的結(jié)果，采用logit模型進(jìn)行回歸估計(jì)與判別結(jié)果分析，從中選出關(guān)鍵性指標(biāo)，進(jìn)而構(gòu)建外部環(huán)境和內(nèi)部運(yùn)營的風(fēng)險(xiǎn)預(yù)警模型。最后針對我國商業(yè)銀行影子銀行業(yè)務(wù)的特殊性，為我國影子銀行業(yè)務(wù)更健康地發(fā)展提出合理化建議。 通過研究，獲得了以下研究成果與研究結(jié)論。 第一，通過2005到2012年影子銀行業(yè)務(wù)外部環(huán)境風(fēng)險(xiǎn)評價(jià)研究可以看出，最終造成E的總分之間的差距的主要原因來自宏觀經(jīng)濟(jì)金融風(fēng)險(xiǎn)，而其中，造成分?jǐn)?shù)過低的原因來自于社會融資規(guī)模增長率E13、存款增長率E14和貸款增長率E15這三個(gè)指標(biāo)。其它指標(biāo)的變化趨勢也可以看出我國近幾年金融市場波動(dòng)較大，社會融資規(guī)模和信貸的不斷擴(kuò)張帶來的潛在的金融風(fēng)險(xiǎn)積累不容忽視，商業(yè)銀行影子銀行業(yè)務(wù)抵抗外部環(huán)境風(fēng)險(xiǎn)的能力也應(yīng)進(jìn)一步提高。 第二，，通過2006年到2012年內(nèi)部運(yùn)營風(fēng)險(xiǎn)評價(jià)研究結(jié)果可以看出，近三年的影子銀行業(yè)務(wù)的內(nèi)部運(yùn)營風(fēng)險(xiǎn)狀況整體好于2006年到2009年，表明監(jiān)管當(dāng)局近幾年已經(jīng)開始重視對于影子銀行業(yè)務(wù)內(nèi)部運(yùn)營的風(fēng)險(xiǎn)控制。對評分結(jié)果進(jìn)行進(jìn)一步分析顯示，總分的增長趨勢和信用風(fēng)險(xiǎn)得分的變化趨勢基本相同，所以最終造成總分之間的差距的主要原因來自信用風(fēng)險(xiǎn)。其中，資本充足率、不良資產(chǎn)比率和撥備覆蓋率都呈逐年較好的趨勢，說明影子銀行業(yè)務(wù)信用風(fēng)險(xiǎn)指標(biāo)整體樂觀，信用風(fēng)險(xiǎn)轉(zhuǎn)移風(fēng)險(xiǎn)目前也在可控的范圍內(nèi)。 第三，根據(jù)影子銀行業(yè)務(wù)外部環(huán)境風(fēng)險(xiǎn)評分研究結(jié)果進(jìn)行l(wèi)ogit回歸分析，選取了居民消費(fèi)價(jià)格指數(shù)增長率、社會融資規(guī)模增長率、存款增長率、貸款增長率和固定資產(chǎn)投資增長率這五個(gè)與外部環(huán)境脆弱性具有較高的相關(guān)性的指標(biāo)，在中央財(cái)政金融風(fēng)險(xiǎn)中選取中央財(cái)政赤字比率，構(gòu)建商業(yè)銀行影子銀行業(yè)務(wù)的外部環(huán)境風(fēng)險(xiǎn)預(yù)警模型，并且作了擬合效果圖和曲線預(yù)測圖。結(jié)果顯示實(shí)際值和估計(jì)值的結(jié)果差距比較小，預(yù)測準(zhǔn)確率接近90%，也進(jìn)一步說明本文所選元素對構(gòu)建外部環(huán)境的風(fēng)險(xiǎn)預(yù)警模型有顯著效果，符合我們的預(yù)期。 第四，根據(jù)影子銀行業(yè)務(wù)內(nèi)部運(yùn)營風(fēng)險(xiǎn)評分研究結(jié)果進(jìn)行l(wèi)ogit回歸分析，選取了資本充足率O11、表外融資規(guī)模占比O14、表外融資規(guī)模增長率O15、銀信合作理財(cái)產(chǎn)品占比O16、資產(chǎn)流動(dòng)性比例O21、存貸款比率O22、人民幣超額備付金率O25和資本收益率O33幾個(gè)對內(nèi)部運(yùn)營的風(fēng)險(xiǎn)影響較為顯著的因素，剔除其余的指標(biāo)，進(jìn)行回歸分析構(gòu)建風(fēng)險(xiǎn)預(yù)警模型。結(jié)果顯示，雖然殘差值的曲線仍有小部分震蕩較大，但是從數(shù)據(jù)顯示誤差率為0.1837，也就是說預(yù)警模型的預(yù)測準(zhǔn)確率在80%以上，所構(gòu)建的風(fēng)險(xiǎn)預(yù)警模型基本符合我們的預(yù)期。
[Abstract]:After the global financial crisis, the concept of shadow banking emerged. At the same time, the commercial bank of our country is in the process of financial business innovation, and the shadow banking business is also continuously developed. These shadow banking transfers the traditional intra-table assets to the outside of the table, and has the property of supervising the arbitrage, which brings great potential risks to the operation of the bank, and also increases the difficulty of the government to control the macro-control. Based on the present situation of the development of the shadow business of commercial banks in China, this paper studies the risk management of the shadow banking of commercial banks in the light of the related knowledge of management and finance. The main research work in this paper is as follows Point: First, the present situation of the development of various types of shadow banking in China's commercial banks is reviewed, and the shadow banking, such as the silver-letter cooperative financial product and the entrusted loan, is carried out on a by-by-case basis. an analysis that explores the problems that arise during its operation and may be encountered Second, according to the four basic principles of the risk evaluation index and the actual situation of the shadow banking, the influence of the risk of the shadow banking of the commercial bank is selected. The two-layer risk refers to the two aspects of external environment and internal operation. In the third part, we selected the relevant practical data of the shadow banking of our commercial bank in 2005-2012, using the entropy method and the analytic hierarchy process to set the weight, and conduct the evaluation and research on the external environment and the internal operation risk, and make the risk rating, and the knot 4, according to the results obtained from the scoring institute, the regression estimation and the discrimination result analysis are carried out by using the logit model, the key indexes are selected, and the external environment and the internal environment are further constructed. The risk pre-warning model of operation is to be more healthy for the shadow banking of our country in view of the particularity of the shadow banking of our commercial bank. The development of rationalization proposals. The following research results and research conclusions. First, through the analysis of the external environment risk of the shadow banking from 2005 to 2012, it can be seen that the main reason for the difference between the total score of E and the total score of E comes from the macro-economic financial risk, and the reason that the score is too low is from the macro-economic financial risk. in that social finance scale growth rate E13, the deposit growth rate E14 and The change trend of the other indexes can not be ignored, and the external ring of the shadow banking of the commercial bank can not be ignored. The ability of the risk of the environment should also be further improved. Secondly, through the results of the internal operational risk evaluation of the period from 2006 to 2012, it can be seen that the internal operational risk of the shadow banking in the last three years is better than that of 2006 to 2009, indicating that the regulatory authorities have started to pay attention in recent years The risk control of the internal operation of the shadow banking. Further analysis of the result of the scoring shows that the trend of the total score and the trend of the credit risk score are basically the same, so the total score is finally caused. The main causes of the gap between the capital adequacy ratio, the ratio of the non-performing assets and the provision coverage show a good trend year by year, indicating the overall optimism of the credit risk index of the shadow banking and the credit wind. The risk of risk transfer is also in the controllable scope. Third, according to the study result of the external environment risk score of the shadow banking, the logit regression analysis is carried out, and the growth of the consumer price index is selected. The five indexes, such as the rate, the growth rate of social financing, the growth rate of deposit, the growth rate of the loan and the growth rate of fixed assets investment, have a high correlation with the vulnerability of the external environment. External environment risk early-warning mode of shadow banking The results show that the difference between the actual value and the estimated value is small, the accuracy of the prediction is close to 90%, and the risk of the selected element in this paper on the construction of the external environment is further explained. The early warning model has a remarkable effect and is in accordance with our expectations. Fourth, according to the study result of the internal operation risk score of the shadow banking business, the logit regression analysis is carried out, the capital adequacy ratio O11 is selected, the external financing scale of the table is the ratio of O14, the growth rate of the external financing scale O15 and the silver letter cooperation are selected. The ratio of the financial products to the O16, the proportion of the asset liquidity O21, the loan-to-deposit ratio O22, the excess reserve rate of the RMB O25 and the capital rate of return O33 is a significant factor for the risk of internal operations, and it is excluded. The result shows that although the curve of the residual value is still small, the error rate is 0.1837, that is, the prediction accuracy of the early-warning model is above 80%.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.2
本文編號：2495877
[Abstract]:After the global financial crisis, the concept of shadow banking emerged. At the same time, the commercial bank of our country is in the process of financial business innovation, and the shadow banking business is also continuously developed. These shadow banking transfers the traditional intra-table assets to the outside of the table, and has the property of supervising the arbitrage, which brings great potential risks to the operation of the bank, and also increases the difficulty of the government to control the macro-control. Based on the present situation of the development of the shadow business of commercial banks in China, this paper studies the risk management of the shadow banking of commercial banks in the light of the related knowledge of management and finance. The main research work in this paper is as follows Point: First, the present situation of the development of various types of shadow banking in China's commercial banks is reviewed, and the shadow banking, such as the silver-letter cooperative financial product and the entrusted loan, is carried out on a by-by-case basis. an analysis that explores the problems that arise during its operation and may be encountered Second, according to the four basic principles of the risk evaluation index and the actual situation of the shadow banking, the influence of the risk of the shadow banking of the commercial bank is selected. The two-layer risk refers to the two aspects of external environment and internal operation. In the third part, we selected the relevant practical data of the shadow banking of our commercial bank in 2005-2012, using the entropy method and the analytic hierarchy process to set the weight, and conduct the evaluation and research on the external environment and the internal operation risk, and make the risk rating, and the knot 4, according to the results obtained from the scoring institute, the regression estimation and the discrimination result analysis are carried out by using the logit model, the key indexes are selected, and the external environment and the internal environment are further constructed. The risk pre-warning model of operation is to be more healthy for the shadow banking of our country in view of the particularity of the shadow banking of our commercial bank. The development of rationalization proposals. The following research results and research conclusions. First, through the analysis of the external environment risk of the shadow banking from 2005 to 2012, it can be seen that the main reason for the difference between the total score of E and the total score of E comes from the macro-economic financial risk, and the reason that the score is too low is from the macro-economic financial risk. in that social finance scale growth rate E13, the deposit growth rate E14 and The change trend of the other indexes can not be ignored, and the external ring of the shadow banking of the commercial bank can not be ignored. The ability of the risk of the environment should also be further improved. Secondly, through the results of the internal operational risk evaluation of the period from 2006 to 2012, it can be seen that the internal operational risk of the shadow banking in the last three years is better than that of 2006 to 2009, indicating that the regulatory authorities have started to pay attention in recent years The risk control of the internal operation of the shadow banking. Further analysis of the result of the scoring shows that the trend of the total score and the trend of the credit risk score are basically the same, so the total score is finally caused. The main causes of the gap between the capital adequacy ratio, the ratio of the non-performing assets and the provision coverage show a good trend year by year, indicating the overall optimism of the credit risk index of the shadow banking and the credit wind. The risk of risk transfer is also in the controllable scope. Third, according to the study result of the external environment risk score of the shadow banking, the logit regression analysis is carried out, and the growth of the consumer price index is selected. The five indexes, such as the rate, the growth rate of social financing, the growth rate of deposit, the growth rate of the loan and the growth rate of fixed assets investment, have a high correlation with the vulnerability of the external environment. External environment risk early-warning mode of shadow banking The results show that the difference between the actual value and the estimated value is small, the accuracy of the prediction is close to 90%, and the risk of the selected element in this paper on the construction of the external environment is further explained. The early warning model has a remarkable effect and is in accordance with our expectations. Fourth, according to the study result of the internal operation risk score of the shadow banking business, the logit regression analysis is carried out, the capital adequacy ratio O11 is selected, the external financing scale of the table is the ratio of O14, the growth rate of the external financing scale O15 and the silver letter cooperation are selected. The ratio of the financial products to the O16, the proportion of the asset liquidity O21, the loan-to-deposit ratio O22, the excess reserve rate of the RMB O25 and the capital rate of return O33 is a significant factor for the risk of internal operations, and it is excluded. The result shows that although the curve of the residual value is still small, the error rate is 0.1837, that is, the prediction accuracy of the early-warning model is above 80%.
【學(xué)位授予單位】：中國海洋大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.2
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