本文關(guān)鍵詞：基于模糊層次分析法的我國系統(tǒng)重要性銀行判別研究　出處：《中國礦業(yè)大學(xué)》2015年碩士論文　論文類型：學(xué)位論文

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【摘要】：2014年全球經(jīng)濟(jì)動蕩,美國、英國經(jīng)濟(jì)形勢稍有好轉(zhuǎn),歐元區(qū)和日本經(jīng)濟(jì)低迷不振,亞太新興市場發(fā)展風(fēng)險加劇。中國作為新興經(jīng)濟(jì)體,銀行系統(tǒng)在全面金融服務(wù)方面有主導(dǎo)作用�！袄茁值堋钡钠飘a(chǎn)使監(jiān)管機(jī)構(gòu)意識到針對系統(tǒng)重要性銀行監(jiān)管不足的問題,表現(xiàn)在對銀行衍生業(yè)務(wù)風(fēng)險程度沒有充分控制、缺乏應(yīng)對危機(jī)發(fā)生情況下的自救方法和處置程序,致使其風(fēng)險連續(xù)傳導(dǎo)不斷擴(kuò)散放大,給實(shí)體經(jīng)濟(jì)發(fā)展和金融業(yè)都帶來巨額損失。在新的經(jīng)濟(jì)和監(jiān)管環(huán)境下,我們必須建立一套符合我國實(shí)際經(jīng)濟(jì)發(fā)展?fàn)顩r的系統(tǒng)重要性銀行評估體系。本文從國外和國內(nèi)兩個視角研究系統(tǒng)重要性的概念,進(jìn)而初步形成我國系統(tǒng)重要性銀行定義。然后本文在銀監(jiān)會發(fā)布的指標(biāo)體系的基礎(chǔ)上,詳細(xì)研究系統(tǒng)重要性銀行各指標(biāo)的內(nèi)涵并深入明確各二級指標(biāo)。在這種理論與實(shí)踐都迫切需要的背景下,本文結(jié)合我國銀行業(yè)發(fā)展實(shí)際情況,選取規(guī)模、相關(guān)性、可替代性和復(fù)雜性四個一級指標(biāo),詳細(xì)的二級指標(biāo)在文中詳細(xì)闡述。應(yīng)用模糊層次分析法計算各類指標(biāo)的權(quán)重,選取16家上市銀行2010至2013四年的年報數(shù)據(jù),根據(jù)計算結(jié)果對我國上市銀行的系統(tǒng)重要性進(jìn)行排序,另外設(shè)置0.1、0.05、0.02三個閾值標(biāo)準(zhǔn)對系統(tǒng)重要性銀行歸類。研究結(jié)果表明我國一級系統(tǒng)重要性銀行是四大國有商業(yè)銀行,二級系統(tǒng)重要性銀行是交通銀行。三級系統(tǒng)重要性銀行有6家,分別是招商、中信、光大、民生、興業(yè)和浦發(fā),其他銀行則屬于非系統(tǒng)重要性銀行。基于以上研究成果,本文從四個方面提出完善我國系統(tǒng)重要性銀行監(jiān)管的政策建議。一、建立分級額外資本補(bǔ)充機(jī)制,即一級系統(tǒng)重要性銀行額外資本要求為1%,二級系統(tǒng)重要性銀行額外資本要求為0.5%,三級系統(tǒng)重要性銀行額外資本要求為0.25%。二、監(jiān)控我國系統(tǒng)重要性銀行業(yè)務(wù)關(guān)聯(lián)性和復(fù)雜性,控制銀行體系內(nèi)部的風(fēng)險自營業(yè)務(wù),對高風(fēng)險衍生工具交易業(yè)務(wù)進(jìn)行業(yè)務(wù)隔離政策。三、完善我國銀行業(yè)信息披露制度,保證監(jiān)管部門對銀行業(yè)的風(fēng)險有充分認(rèn)識并能及時處理。四、完善系統(tǒng)重要性銀行危機(jī)處置程序,防止風(fēng)險的過度傳導(dǎo)和破產(chǎn)銀行的資產(chǎn)流失。
[Abstract]:In 2014, the global economic turmoil, the United States and Britain's economic situation improved slightly, the euro zone and Japan's economic downturn, Asia-Pacific emerging market development risks increased. China as an emerging economy. The banking system has a leading role in overall financial services. The collapse of Lehman Brothers has made regulators aware of the problem of systemically important banking underregulation. It shows that the risk degree of bank derivative business is not fully controlled, and the self-rescue method and disposal procedure to deal with the crisis are lacking, resulting in the continuous spread and amplification of the risk. Huge losses to both the real economy and the financial sector. In the new economic and regulatory environment. We must set up a set of systematical importance bank evaluation system in accordance with the actual economic development of our country. This paper studies the concept of system importance from two perspectives of foreign and domestic. Then the definition of systemically important bank in China is preliminarily formed. Then this paper based on the index system published by CBRC. In this paper, we study the connotation of systemically important banking indicators and define the secondary indicators in depth. Under the background of the urgent need of this theory and practice, this paper combines the actual situation of banking development in China, select the scale. Correlation, substitutability and complexity of the four first-level indicators, detailed second-level indicators in detail in this paper. The use of fuzzy analytic hierarchy process to calculate the weight of various indicators. Select 16 listed banks from 2010 to 2013 of the annual report data, according to the results of the calculation of listed banks in the order of the importance of the system, in addition to set 0.1% 0.05. 0.02 three threshold standards are classified as systemically important banks. The results show that the primary systemically important banks in China are four state-owned commercial banks. The secondary system-importance bank is the Bank of Communications. There are six three systemically important banks, namely, China Merchants, CITIC, Everbright, people's livelihood, Societe Generale and Pudong Development. Other banks belong to non-systemically important banks. Based on the above research results, this paper puts forward policy recommendations to improve the supervision of systemically important banks in China from four aspects. First, the establishment of graded additional capital supplement mechanism. That is, the additional capital requirement of the first class system-importance bank is 1, the second level system-importance bank's extra capital requirement is 0.5, and the third level system-importance bank's extra capital requirement is 0.25. 2. Monitor the relevance and complexity of systemically important banking business, control the risk proprietary business within the banking system, and carry out business isolation policies for high-risk derivative trading business. Improve our banking information disclosure system to ensure that the regulatory authorities have a full understanding of banking risks and can be dealt with in time. Fourth, improve systemically important banking crisis handling procedures. To prevent excessive transmission of risk and the loss of assets of bankrupt banks.
【學(xué)位授予單位】：中國礦業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2015
【分類號】：F832.33

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