本文選題：表外業(yè)務(wù)　切入點：銀行績效　出處：《山東大學(xué)》2017年碩士論文

【摘要】：隨著我國利率市場化的完成和傳統(tǒng)信貸業(yè)務(wù)競爭的加劇,商業(yè)銀行努力轉(zhuǎn)換盈利模式,大力發(fā)展表外業(yè)務(wù)。但是表外業(yè)務(wù)的迅猛發(fā)展也給銀行業(yè)帶來了風(fēng)險隱憂。表外業(yè)務(wù)發(fā)展對商業(yè)銀行運營表現(xiàn)的影響成為政府、業(yè)界和學(xué)界關(guān)注的研究熱點。本文主要從商業(yè)銀行的經(jīng)營績效與風(fēng)險水平兩個方面,探討表外業(yè)務(wù)對銀行業(yè)運營表現(xiàn)的影響。全文分為五章,前兩章介紹研究背景、研究意義以及文獻綜述。近幾年商業(yè)銀行為了規(guī)避監(jiān)管和獲取額外收益,大力發(fā)展表外業(yè)務(wù),不僅在規(guī)模上日益激增,而且在種類上推陳出新。與之伴隨的表外業(yè)務(wù)風(fēng)險也引起了監(jiān)管當(dāng)局的高度關(guān)注,并且出臺了一系列的監(jiān)管文件。第二章的文獻綜述是從表外業(yè)務(wù)對銀行運營風(fēng)險的影響以及對銀行經(jīng)營績效兩個方面來整理匯總,發(fā)現(xiàn)對表外業(yè)務(wù)發(fā)展的利弊這一問題并沒有達成一致的結(jié)論。一方面,由于不同國家、不同背景、不同歷史下,所選取的樣本銀行表外業(yè)務(wù)發(fā)展程度有很大的區(qū)別,針對同一假設(shè)問題得出不同的結(jié)論;另一方面,由于表外業(yè)務(wù)的快速發(fā)展,其在會計信息披露、風(fēng)險暴露方面存在一定的滯后性,加大了研究結(jié)論統(tǒng)一的難度。第三章是對表外業(yè)務(wù)發(fā)展做一個較為全面的闡述。主要包括表外業(yè)務(wù)的最新定義與業(yè)務(wù)種類、表外業(yè)務(wù)的發(fā)展歷史以及表外業(yè)務(wù)所涉及的風(fēng)險類型。我國銀監(jiān)會根據(jù)國際通用的《巴塞爾協(xié)議3》以及國內(nèi)表外業(yè)務(wù)實際發(fā)展情況,對表外業(yè)務(wù)的發(fā)展和風(fēng)險管理,做出明確的指引。表外業(yè)務(wù)發(fā)展的歷史其實是商業(yè)銀行不斷創(chuàng)新的過程。表外業(yè)務(wù)的發(fā)展不僅改變了其原有的盈利模式與經(jīng)營方向,同時也帶來了表外業(yè)務(wù)風(fēng)險,因此我國商業(yè)銀行應(yīng)該對表外業(yè)務(wù)有一個全面綜合的認識。第四章是實證部分。首先是商業(yè)銀行樣本選取,按照類型全面、數(shù)據(jù)可靠的原則,本文選用了 34家商業(yè)銀行2008年到2016年的經(jīng)營數(shù)據(jù),構(gòu)建了銀行經(jīng)營績效以及破產(chǎn)風(fēng)險的多元回歸模型,來探究表外業(yè)務(wù)的發(fā)展與銀行的盈利能力、風(fēng)險水平之間是否存在非線性關(guān)系。本文從表外業(yè)務(wù)資產(chǎn)規(guī)模、表外業(yè)務(wù)收入結(jié)構(gòu)兩個角度,選取了表外業(yè)務(wù)資產(chǎn)對數(shù)值、非利息收入占比、手續(xù)費及傭金收入占比三個衡量表外業(yè)務(wù)發(fā)展水平的指標。本文利用常用的績效指標ROAA(平均資本回報率)、ROAE (平均股權(quán)回報率)以及破產(chǎn)風(fēng)險指標Z-score,作為回歸模型的被解釋變量,進行實證回歸。實證結(jié)果分析發(fā)現(xiàn),表外業(yè)務(wù)的發(fā)展對我國商業(yè)銀行的經(jīng)營績效有顯著影響。另外表外業(yè)務(wù)資產(chǎn)規(guī)模對ROAA (平均資產(chǎn)回報率)與ROAE (平均股權(quán)回報率)的影響呈現(xiàn)明顯的U型特征,而應(yīng)非利息收入占比對ROAA的影響是顯著呈現(xiàn)倒U型特征,表外業(yè)務(wù)的發(fā)展對我國商業(yè)銀行的破產(chǎn)風(fēng)險影響不顯著。最后,本文提出應(yīng)該要完善表外業(yè)務(wù)相關(guān)的法律法規(guī),合理適度地開展表外業(yè)務(wù),加強表外業(yè)務(wù)風(fēng)控機制,監(jiān)管當(dāng)局與商業(yè)銀行要相互合作,確保銀行市場穩(wěn)定健康發(fā)展。
[Abstract]:With China's interest rate marketization and the completion of the traditional credit business competition, the commercial banks to transfer profit model, vigorously develop OBSA. The rapid development of OBSA but also brings risks to the banking sector. Table worries affect the performance of other business development operations of commercial banks has become the government, industry and academia concern the focus of research. This article mainly from the two aspects of business performance and risk level of commercial banks, to explore the influence of OBSA to bank operation performance. The thesis is divided into five chapters, the two chapter introduces the research background, research significance and literature review. In recent years, commercial banks in order to avoid regulation and obtain additional benefits, vigorously the development of OBSA, not only in scale soaring, and new species. Along with the risk of OBSA has also attracted the attention of the regulatory authorities, and issued a Series of regulatory documents. The second chapter is from the impact of the operation of the bank balance sheet business risk as well as the two aspects of the operating performance of the bank to collect and find the pros and cons of off balance sheet business development of this issue and did not reach the same conclusion. On the one hand, because of the different countries, different backgrounds, different history. The selected sample of the bank balance sheet business development level there is a big difference for the same problem, assuming different conclusions; on the other hand, due to the rapid development of OBSA, in the disclosure of accounting information, there is a certain lag risk exposure, increasing the difficulty of the unified conclusion. The third chapter is on business development to do a more comprehensive exposition. Mainly includes the definition of new types of business and balance sheet business, risk type development history sheet business and sheet business involved in China's silver. The supervisor will according to the international general "Basel 3> as well as the domestic and external business actual situation, the development of off balance sheet business and risk management, make clear guidelines. OBSA development history is actually a process of commercial bank innovation. The development of OBSA is not only changed its original profit model and business at the same time, also brought a sheet business risk, so China's commercial banks should be off balance sheet business with a comprehensive understanding. The fourth chapter is the empirical part. The first is a commercial bank in accordance with the type of sample selection, comprehensive, reliable data principle, this paper selects the operation data of 34 commercial banks from 2008 to 2016 a regression model was set up, and the performance of bankruptcy risk of banks, and to explore the development of the bank balance sheet business profitability, whether there is nonlinear relationship between the level of risk. From the table outside the business assets, table two aspects of business income structure, select the table outside the business of asset value, the proportion of non interest income, fee and commission income accounted for more than three scale foreign business development level index. The performance index of common ROAA (average rate of return on capital), ROAE (the average rate of equity returns) and bankruptcy risk index Z-score regression model as explanatory variables, the empirical regression. The empirical results show that the development of OBSA has a significant impact on the operating performance of China's commercial banks. The other looks outside the business asset size of the ROAA (the average return on assets (ROAE) and average rate of equity returns) presenting the effects of type U characteristics, and the influence of non interest income ratio of ROAA is significant inverted U type characteristics, influence the development of OBSA of the bankruptcy risk of commercial bank in China is not significant. Finally, this paper proposes that we should improve the relevant laws and regulations of off balance sheet businesses, carry out the off balance sheet business reasonably and moderately, strengthen the risk control mechanism of off balance sheet businesses, and cooperate with the commercial banks to ensure stable and healthy development of the banking market.

【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.2;F830.42

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