本文選題：宏觀壓力測試 + 流動性風(fēng)險�。� 參考：《湖南大學(xué)》2015年碩士論文

【摘要】：商業(yè)銀行的流動性風(fēng)險成因復(fù)雜,而宏觀經(jīng)濟(jì)發(fā)生變化是導(dǎo)致銀行系統(tǒng)發(fā)生流動性風(fēng)險的關(guān)鍵原因。采用宏觀壓力測試方法,運(yùn)用情景分析法構(gòu)建宏觀經(jīng)濟(jì)發(fā)生極端變化時的壓力情景,利用經(jīng)驗?zāi)B(tài)分解方法獲得具體的壓力沖擊數(shù)值,執(zhí)行壓力測試得到壓力情景下銀行體系存貸比的變化。研究內(nèi)容包括以下幾個方面：首先,對流動性風(fēng)險的相關(guān)文獻(xiàn)進(jìn)行梳理與分析,界定流動性風(fēng)險的內(nèi)涵。在此基礎(chǔ)上,分析商業(yè)銀行系統(tǒng)流動性風(fēng)險的內(nèi)在原因與外在原因,并對銀行流動性風(fēng)險的監(jiān)管思路進(jìn)行了比較,提出以宏觀壓力測試作為監(jiān)測方法。對宏觀壓力測試的相關(guān)研究進(jìn)行梳理與分析后,對比宏觀壓力測試的類型和流程,結(jié)合“新常態(tài)”下中國宏觀經(jīng)濟(jì)的運(yùn)行特征,論述了宏觀壓力測試對商業(yè)銀行系統(tǒng)流動性風(fēng)險監(jiān)測的有效性。其次,結(jié)合現(xiàn)有的流動性監(jiān)管指標(biāo)與《巴塞爾協(xié)議III》中提供的新監(jiān)管思路,將存貸比拆分為短期存款、長期存款、短期貸款和長期貸款四個部分作為壓力測試的承壓指標(biāo),并根據(jù)經(jīng)濟(jì)學(xué)理論用9個相關(guān)的宏觀經(jīng)濟(jì)變量作為壓力指標(biāo),通過逐步回歸法得到壓力測試模型。再次,分析9個宏觀經(jīng)濟(jì)變量間的相關(guān)關(guān)系,以工業(yè)增加值增速作為關(guān)鍵指標(biāo),構(gòu)建壓力情景模型。利用經(jīng)驗?zāi)B(tài)分解,將工業(yè)增加值增速的波形分解為7個本征模態(tài),再合成為長期趨勢、中期沖擊和短期波動三個部分。然后將工業(yè)增加值增速歷史上最大沖擊和波動作用于未來的長期趨勢中,得到三種不同程度的壓力沖擊,并以此設(shè)計極端壓力情景。最后,執(zhí)行壓力測試。結(jié)論是隨著宏觀經(jīng)濟(jì)壓力的增加,中國銀行系統(tǒng)的存貸比率明顯上升,甚至超過了75%的監(jiān)管要求。而長期存款增加是導(dǎo)致存貸比上升的主要原因,這意味著商業(yè)銀行的存貸期限錯配將更為嚴(yán)重,將面臨更嚴(yán)重的流動性風(fēng)險。
[Abstract]:The causes of liquidity risk of commercial banks are complex, and the change of macro economy is the key reason for the liquidity risk in the banking system. Using the method of macroscopical stress test and scenario analysis, the stress scenarios of extreme changes in macro economy are constructed, and the specific pressure shock values are obtained by using empirical mode decomposition method. Performing stress tests results in changes in the deposit-loan ratio of the banking system under stress scenarios. The research includes the following aspects: firstly, the related literature on liquidity risk is combed and analyzed to define the connotation of liquidity risk. On this basis, this paper analyzes the internal and external causes of liquidity risk in commercial bank system, compares the ideas of bank liquidity risk supervision, and puts forward the macro-stress test as the monitoring method. After combing and analyzing the relevant research of macro-stress testing, comparing the types and processes of macro-stress testing, combining with the "new normal" macroeconomic characteristics of China, This paper discusses the effectiveness of macro-stress test in monitoring liquidity risk of commercial bank system. Secondly, combined with the existing liquidity regulatory indicators and the new regulatory ideas provided in Basel III, the deposit-loan ratio is divided into four parts: short-term deposit, long-term deposit, short-term loan and long-term loan. According to the theory of economics, nine relevant macroeconomic variables are used as stress indicators, and the stress test model is obtained by stepwise regression method. Thirdly, the relationship between 9 macroeconomic variables is analyzed, and the stress scenario model is constructed by taking the growth rate of industrial added value as the key index. By means of empirical mode decomposition, the waveform of industrial value-added growth rate is decomposed into seven intrinsic modes, which are composed of three parts: long term trend, medium term shock and short term fluctuation. Then, the biggest shock and fluctuation in the history of industrial value-added growth are applied to the long-term trend in the future, and three kinds of pressure shocks are obtained, and the extreme pressure scenarios are designed. Finally, stress tests are performed. The conclusion is that with the increase of macroeconomic pressure, the deposit and loan ratio of China's banking system has increased significantly, even exceeding the 75% regulatory requirements. The increase in long-term deposits is the main reason for the rise in the loan-to-deposit ratio, which means that the maturity mismatch of commercial banks will be more serious and will face more serious liquidity risk.
【學(xué)位授予單位】：湖南大學(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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