本文選題：城市商業(yè)銀行 + 流動性風險��； 參考：《中國海洋大學》2012年碩士論文

【摘要】：2007年9月美國爆發(fā)的次貸危機，使美國部分銀行出現(xiàn)巨額虧損甚至倒閉，迅速波及全球其他國家，并最終演變成了一場全球性的金融風暴。在危機沖擊下，全球金融市場陷入流動性短缺困境，給全球金融穩(wěn)定和經(jīng)濟可持續(xù)發(fā)展帶來了嚴峻挑戰(zhàn)。同時，2010年以來，在通貨膨脹壓力居高不下、歐美日實施量化寬松貨幣政策的背景下，我國中央銀行開始實施穩(wěn)健貨幣政策，我國商業(yè)銀行流動性風險管理能力受到嚴峻考驗，面臨的外部宏觀和內(nèi)部微觀環(huán)境日益嚴峻和復雜。在這種背景下，國內(nèi)外學者研究商業(yè)銀行流動性風險管理的問題再次迅速升溫，如何加強商業(yè)銀行的流動性風險管理，也是仁者見仁、智者見智。 本文采用理論與實證相結(jié)合的研究方法，對商業(yè)銀行流動性風險管理從理論依據(jù)上進行詳細闡述，，對當前城市商業(yè)銀行潛在的流動性風險進行識別，對商業(yè)銀行流動性風險進行評估和計量，并結(jié)合實證結(jié)論提出加強城市商業(yè)銀行流動性風險管理的相關(guān)結(jié)論。實證部分，選取一家樣本城市商業(yè)銀行—LS銀行，利用聚類分析法和因子分析法，通過對搜集的流動性風險指標時間序列數(shù)據(jù)處理，與部分上市銀行流動性風險進行橫向比較，對其自身2008年以來流動性風險狀況進行縱向比較分析，進一步驗證城市商業(yè)銀行潛在的流動性風險及管理不足。論文中大量的數(shù)據(jù)資料均根據(jù)權(quán)威統(tǒng)計資料進行計算，增強了論文的嚴謹度和可信度，提高了文章的說服力。 本文可能的創(chuàng)新之處在于在研究過程中采用聚類分析和因子分析方法對目前極具代表性的城市商業(yè)銀行的流動性風險管理實踐進行實證分析，具有較強的理論價值和現(xiàn)實應用價值，為商業(yè)銀行流動性風險管理理論提供了一個較好的實證案例；同時，運用大量數(shù)據(jù)，通過計量分析，對比了當前我國城市商業(yè)銀行與其他銀行流動性風險的現(xiàn)狀，較為全面地提出了完善城市商業(yè)銀行流動性風險管理的政策建議。 本文共六部分：第一部分是導論，介紹論文的選題背景和研究意義、相關(guān)問題的國內(nèi)外研究現(xiàn)狀、本文的結(jié)構(gòu)框架及創(chuàng)新和不足之處等；第二部分為商業(yè)銀行流動性風險管理綜述，主要介紹流動性風險管理的相關(guān)概念，分析流動性風險的成因、分類，闡述流動性風險管理主要理論，介紹了衡量流動性風險主要評價方法等；第三部分是風險識別部分，以山東省城市商業(yè)銀行數(shù)據(jù)為例，對當前城市商業(yè)銀行潛在的流動性風險進行識別和分析，并對當前城市商業(yè)銀行流動性風險成因從管理角度進行探討；第四部分為城市商業(yè)銀行流動性風險的實證計量部分，利用多家銀行時間序列數(shù)據(jù)，通過計量分析模型，對城市商業(yè)銀行流動性風險進行實證評價；結(jié)合前面的論述和分析，第五部分給出了加強城市商業(yè)銀行流動性風險管理的政策建議；第六部分是結(jié)論和展望部分，為下一步延伸研究提供思路。
[Abstract]:In September 2007, the subprime crisis broke out in the United States, which made some American banks lose huge losses and even bankrupt, quickly spread to other countries in the world, and eventually turned into a global financial storm. Under the impact of the crisis, the global financial market fell into a dilemma of liquidity shortage, which brought serious financial stability and sustainable economic development. At the same time, since 2010, in the context of high inflation pressure and the implementation of quantitative easing monetary policy in Europe and the United States and Japan, the Central Bank of China began to implement robust monetary policy. The liquidity risk management ability of commercial banks in our country is severely tested, and the external macro and internal micro environment is increasingly severe and complicated. Under the background, the domestic and foreign scholars study the liquidity risk management of commercial banks again rapidly. How to strengthen the liquidity risk management of commercial banks is also different from different people.
Based on the theoretical and empirical research methods, this paper expounds the liquidity risk management of commercial banks in detail, identifies the potential liquidity risks of the current urban commercial banks, evaluates and measures the liquidity risk of commercial banks, and puts forward the empirical conclusions to strengthen the flow of urban commercial banks. The empirical part, empirical part, selected a sample City Commercial Bank - LS bank, using cluster analysis and factor analysis method, through the collection of the liquidity risk index time series data processing, and some listed banks liquidity risk horizontal comparison, to its own liquidity risk situation since 2008. Longitudinal comparative analysis is carried out to further verify the potential liquidity risk and lack of management of urban commercial banks. A large number of data in this paper are calculated according to authoritative statistics, which enhances the degree of rigor and credibility of the paper, and improves the persuasiveness of the article.
The possible innovation of this paper is to use cluster analysis and factor analysis in the research process to carry out empirical analysis on the liquidity risk management practice of the most representative city commercial banks, which has strong theoretical value and practical application value, and provides a better theory for the liquidity risk management theory of commercial banks. At the same time, by using a large amount of data, the current situation of the liquidity risk of urban commercial banks and other banks in China is compared through a large amount of data, and the policy suggestions for improving the liquidity risk management of urban commercial banks are put forward in a more comprehensive way.
This article consists of six parts: the first part is the introduction, which introduces the background and significance of the topic, the status of domestic and foreign research, the structure of this paper, the innovation and inadequacies, and the second part is a summary of the liquidity risk management of commercial banks, mainly introducing the related concepts of liquidity risk management, and analyzing the liquidity risk. The main theory of liquidity risk management is introduced, and the main evaluation method of liquidity risk is introduced. The third part is the risk identification part. Taking the data of Shandong City Commercial Bank as an example, the potential liquidity risk of the current urban commercial banks is identified and analyzed, and the current urban commercial banks are flowing. The fourth part is the empirical measurement of the liquidity risk of urban commercial banks, the empirical evaluation of the liquidity risk of urban commercial banks through the econometric analysis model, and the fifth part of the city commercial bank's liquidity risk. The policy recommendations of liquidity risk management for commercial banks; the sixth part is the conclusion and outlook part, providing ideas for further research.

【學位授予單位】：中國海洋大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.2

【引證文獻】

相關(guān)碩士學位論文 前1條

1 楊敏;北京銀行流動性風險研究[D];江西農(nóng)業(yè)大學;2013年

本文編號：1825760