本文選題：系統(tǒng)重要性 + CoVaR��； 參考：《蘇州大學》2015年碩士論文

【摘要】：美國次貸危機的發(fā)生暴露了系統(tǒng)重要性的金融機構(gòu)的監(jiān)管不足。為了維護國民經(jīng)濟、銀行業(yè)和金融體系的穩(wěn)定,我們必須明確識別那些具有系統(tǒng)重要性的機構(gòu),從而控制系統(tǒng)性風險。其次,我們還需要研究影響銀行系統(tǒng)重要性的因素,從而有助于我們及早采取對策,規(guī)避和化解我國經(jīng)濟發(fā)展中的不穩(wěn)定因素,以保持我國經(jīng)濟的穩(wěn)定健康發(fā)展。因此,本文不但實證地對我國具有系統(tǒng)重要性的商業(yè)銀行進行度量,而且從微觀審慎方面對影響銀行系統(tǒng)重要性的因素進行了實證分析,具有較強的現(xiàn)實意義,能夠為監(jiān)管當局與銀行業(yè)自身提供相應的監(jiān)管依據(jù)。在內(nèi)容框架上,第一章為本文的導論部分,主要包括選題背景和選題意義,以及關于系統(tǒng)重要性度量方法方面的國內(nèi)外文獻綜述,并給出了本文的主要內(nèi)容和研究方法。第二章是關于測度銀行系統(tǒng)重要性所用到模型,也就是論文的主體模型Co Va R方法,并概念性的詳述了的分位數(shù)回歸模型和Co Va R的具體推導過程,為下章的實證分析奠定理論基礎。第三章是本文的實證部分,我們運用△Co Va R方法度量了我國商業(yè)銀行的系統(tǒng)重要性,對12家商業(yè)銀行進行了排序,并詳細分析了實證結(jié)果。第四章是本文關于系統(tǒng)重要性影響因素的實證部分,根據(jù)第四章得出的實證結(jié)果,對文章進行進一步的研究。第五章是在對前文的研究做出了總結(jié)梳理,此外,本章還提出了具體的、可操作性的政策方面的建議,最后本文研究主題方面的前景進行了展望。研究結(jié)論方面,本文研究發(fā)現(xiàn)國有大型股份制銀行如中國銀行,建設銀行,工商銀行和交通銀行的系統(tǒng)重要性都是在按資產(chǎn)總量排序中是最大的,這說明國有大型股份制銀行對整個銀行系統(tǒng)的影響是最大的,這幾家銀行是否穩(wěn)健運行是整個銀行系統(tǒng)的能否健康運轉(zhuǎn)的關鍵。其中,在國有大型股份制銀行中,建設銀行的系統(tǒng)重要性值最大。中國銀行略低于建設銀行,也就是說建設銀行的系統(tǒng)重要性程度最高,雖然這與目前國內(nèi)得出的中國銀行是目前國內(nèi)系統(tǒng)重要性程度最高的結(jié)論稍有差異。但考慮到模型選擇,時效性等方面的因素,本文對實證結(jié)果總體滿意。而股份制銀行排在大型國有銀行之后,但是其對整個銀行體系的影響是僅次于大型國有銀行,差距并不明顯,因為股份制銀行對整個銀行體系的影響之大也是符合現(xiàn)實中的實際情況的。城商行是排在三組之末的,代表著城市商業(yè)銀行對整個銀行系統(tǒng)的影響,由于地域及其規(guī)模的限制因素,其對銀行體系的影響不如大型國有銀行和股份制銀行,但是在整個銀行體系中它有著舉足輕重的作用,同樣不容小覷。在影響因素上,研究結(jié)論發(fā)現(xiàn),核心資本充足率、總資產(chǎn)凈回報率、不良資產(chǎn)率這三個因素在影響系統(tǒng)重要性的過程中,起到了至關重要的作用。
[Abstract]:The occurrence of the subprime mortgage crisis in the United States exposed the inadequate supervision of systemically important financial institutions. To maintain the stability of the national economy, banking and financial systems, we must clearly identify systemically important institutions to control systemic risk. Secondly, we also need to study the factors that affect the importance of the banking system, so as to help us to take early measures to avoid and resolve the unstable factors in the economic development of our country, so as to maintain the stable and healthy development of our economy. Therefore, this paper not only measures the systemically important commercial banks in China, but also makes an empirical analysis on the factors affecting the importance of banking system from the microprudential aspect, which is of great practical significance. Can provide the corresponding regulatory basis for the regulatory authorities and the banking industry itself. In the content framework, the first chapter is the introduction of this paper, including the background and significance of the topic, as well as the domestic and foreign literature review on the measurement of the importance of the system, and gives the main content and research methods of this paper. The second chapter is about the model used to measure the importance of the banking system, that is, the main body model, the CoVa-R method, and conceptually details the quantile regression model and the specific derivation process of the CoVa-R. For the next chapter of empirical analysis to lay a theoretical foundation. The third chapter is the empirical part of this paper. We measure the systematical importance of Chinese commercial banks by using the method of CoVa R, rank 12 commercial banks, and analyze the empirical results in detail. The fourth chapter is the empirical part of this paper about the influence factors of system importance, according to the empirical results obtained in the fourth chapter, the paper carries on further research. The fifth chapter is a summary of the previous research, in addition, this chapter also put forward specific, operational policy recommendations, and finally the future of the theme of this paper is prospected. In conclusion, this paper finds that the systematical importance of large state-owned joint-stock banks such as Bank of China, China Construction Bank, Industrial and Commercial Bank and Bank of Communications is the largest in the order of total assets. This shows that large state-owned joint-stock banks have the greatest impact on the banking system as a whole, and whether these banks are running smoothly is the key to the healthy operation of the entire banking system. Among them, in the state-owned large-scale joint-stock banks, the construction bank's system importance value is the biggest. Bank of China is slightly lower than CCB, that is to say, CCB has the highest degree of system-importance, although this is slightly different from the conclusion that Bank of China is the most important in China. However, considering the factors of model selection and timeliness, this paper is satisfied with the empirical results. The joint-stock banks rank behind the large state-owned banks, but their impact on the entire banking system is second only to the large state-owned banks, and the gap is not obvious. This is because the impact of shareholding banks on the whole banking system is also in line with the actual situation. City Commercial Bank is at the end of three groups, representing the influence of city commercial banks on the banking system as a whole. Due to regional and scale constraints, their impact on the banking system is not as good as that of large state-owned banks and joint-stock banks. But it plays an important role in the banking system as a whole. In terms of the influencing factors, it is found that the core capital adequacy ratio, the net return rate of total assets and the non-performing assets ratio play an important role in the process of affecting the system importance.
【學位授予單位】：蘇州大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.33

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