本文關(guān)鍵詞： 金融 信息化 資本監(jiān)管 風(fēng)險(xiǎn)防范 行為分析　出處：《天津大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：在市場(chǎng)經(jīng)濟(jì)體系之中，金融體系是一個(gè)非常重要的環(huán)節(jié)，現(xiàn)在的商業(yè)銀行管理也已經(jīng)開(kāi)始從傳統(tǒng)管理向全面管理轉(zhuǎn)變，不僅要強(qiáng)調(diào)其負(fù)債比例，還重視風(fēng)險(xiǎn)管理。為此，本文采用模型分析，在期權(quán)定價(jià)方法下，假設(shè)商業(yè)銀行所產(chǎn)生的資產(chǎn)水平的變化與幾何布朗運(yùn)動(dòng)相符合。同時(shí)通過(guò)ITO積分，將股權(quán)價(jià)值之類(lèi)的內(nèi)容都當(dāng)做衍生品，建立了基本微分方程，并在適當(dāng)?shù)倪吔鐥l件下，對(duì)個(gè)參數(shù)的解進(jìn)行了討論，分析了銀行可以采取的最優(yōu)策略。在此基礎(chǔ)上設(shè)計(jì)和實(shí)現(xiàn)了基于監(jiān)管標(biāo)準(zhǔn)的商業(yè)銀行行為追蹤和管理系統(tǒng)，該系統(tǒng)包括三個(gè)部分:資產(chǎn)與負(fù)債信息統(tǒng)計(jì)子系統(tǒng)；資產(chǎn)風(fēng)險(xiǎn)管理子系統(tǒng);運(yùn)行時(shí)控制子系統(tǒng)。結(jié)合該系統(tǒng)的統(tǒng)計(jì)功能與銀行的歷史資料，研究了債務(wù)利息支付、資產(chǎn)風(fēng)險(xiǎn)、檢查監(jiān)管等對(duì)銀行承擔(dān)風(fēng)險(xiǎn)帶來(lái)的影響。文章最后得出這樣的結(jié)論，資本的監(jiān)管標(biāo)準(zhǔn)以及監(jiān)管檢查將會(huì)影響到商業(yè)銀行風(fēng)險(xiǎn)承擔(dān)。風(fēng)險(xiǎn)調(diào)整要求充足的資本，而過(guò)去所采用的資本比率的方法能夠促使傾向于低風(fēng)險(xiǎn)資產(chǎn)狀態(tài)；而且如果監(jiān)管當(dāng)局對(duì)銀行實(shí)施的監(jiān)管如果非常嚴(yán)格，那么銀行也會(huì)傾向于低風(fēng)險(xiǎn)資產(chǎn)狀態(tài)。 但是不得不承認(rèn)的是，文章最后所得到的結(jié)論也必須在特定假設(shè)條件下進(jìn)行討論。其中最重要的假設(shè)條件是銀行的股東和管理者之間不存在代理成本，也就是說(shuō)二者利益是相吻合的。與實(shí)際的操作相比，這還存在一定差距，尤其是在我國(guó)當(dāng)前還沒(méi)有形成健全的企業(yè)制度的背景下。所以，今后重要的研究方向，，將是放松論文模型假定。
[Abstract]:In the market economy system, the financial system is a very important link, now the commercial bank management has already begun to change from the traditional management to the overall management, not only to emphasize its debt ratio, but also to attach importance to the risk management. This paper uses model analysis, under the option pricing method, assumes that the change of the level of assets produced by commercial banks is consistent with the geometric Brownian motion. At the same time, through the ITO integral, the value of equity is treated as a derivative. In this paper, the basic differential equations are established, and the solutions of some parameters are discussed under the proper boundary conditions. Based on the analysis of the optimal strategies that banks can take, a commercial bank behavior tracking and management system based on supervision standards is designed and implemented. The system consists of three parts: asset and liability information statistics subsystem; Asset risk management subsystem; runtime control subsystem. Combining the statistical function of the system and the historical data of the bank, the paper studies the debt interest payment, asset risk, Finally, the paper draws such a conclusion that capital supervision standards and supervision and inspection will affect commercial banks' risk-taking. Risk adjustment requires sufficient capital. The capital-to-capital ratio approach used in the past has led to a preference for low-risk asset conditions, and banks tend to be low-risk if regulators are very strict with banks. But we have to admit that the conclusion of this paper must also be discussed under certain assumptions, the most important of which is that there is no agency cost between the shareholders and managers of the bank. That is to say, the interests of the two are consistent. Compared with the actual operation, there is still a certain gap, especially under the background that our country has not yet formed a sound enterprise system. Therefore, the important research direction in the future, It will be a relaxation of the paper model assumptions.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F831.1

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