【摘要】：當(dāng)今世界的市場(chǎng)經(jīng)濟(jì)中,支付系統(tǒng)從誕生到現(xiàn)在都是一國(guó)或者某一地區(qū)在金融基礎(chǔ)設(shè)施方面最為重要的部分。它的構(gòu)成主要包括三個(gè)方面,即轉(zhuǎn)移資金的相關(guān)規(guī)則、能夠使支付指令傳送并完成結(jié)算的手段以及提供支付清結(jié)算服務(wù)的相關(guān)金融機(jī)構(gòu)。換而言之,支付系統(tǒng)是在金融制度上對(duì)清償?shù)膫鶆?wù)和資金的轉(zhuǎn)移所進(jìn)行的一種宏觀的安排。在金融體系中,所有的金融交易或金融活動(dòng)都可以被歸納為資金在不同的機(jī)構(gòu)之間或者部門(mén)之間進(jìn)行流動(dòng)。支付系統(tǒng)能夠幫助金融機(jī)構(gòu)償還其債務(wù)、完成支付資金的結(jié)算,它是整個(gè)金融體系正常運(yùn)行的“血液循環(huán)系統(tǒng)”,是金融服務(wù)的核心要素,是金融核心設(shè)施的主心骨。 從上個(gè)世紀(jì)七八十年代開(kāi)始,越來(lái)越多的國(guó)家或地區(qū)逐漸意識(shí)到了建設(shè)支付系統(tǒng)、維護(hù)支付系統(tǒng)安全與穩(wěn)定的重要性。很多國(guó)家的中央銀行、貨幣監(jiān)管當(dāng)局甚至各類(lèi)金融服務(wù)機(jī)構(gòu)對(duì)支付系統(tǒng)的重視和認(rèn)識(shí)程度不斷提高,他們都非常重視支付系統(tǒng)的穩(wěn)定及建設(shè)。如果說(shuō)金融是現(xiàn)代經(jīng)濟(jì)的支柱,那么支付系統(tǒng)就可以說(shuō)是現(xiàn)代市場(chǎng)經(jīng)濟(jì)中金融體系的“血脈”,它可以為整個(gè)金融體系甚至社會(huì)經(jīng)濟(jì)輸送“血液”。在國(guó)民經(jīng)濟(jì)運(yùn)行中金融一直都處于重要的核心地位,支付系統(tǒng)面臨風(fēng)險(xiǎn)就意味著金融體系面臨風(fēng)險(xiǎn),支付系統(tǒng)安全與穩(wěn)定發(fā)展就更顯重要。 支付系統(tǒng)風(fēng)險(xiǎn)是指支付系統(tǒng)由于各方面的因素可能導(dǎo)致系統(tǒng)出現(xiàn)損失或者無(wú)法正常運(yùn)行的不確定性。支付系統(tǒng)風(fēng)險(xiǎn)可能產(chǎn)生與支付系統(tǒng)的每個(gè)方面,可能是支付系統(tǒng)參與者引起或造成的,也可能是支付系統(tǒng)自身運(yùn)作模式所附帶的,還有可能是支付系統(tǒng)的周邊環(huán)境、相關(guān)市場(chǎng)所帶來(lái)的。不管這些風(fēng)險(xiǎn)來(lái)源于何處,風(fēng)險(xiǎn)的表現(xiàn)及傳播都會(huì)對(duì)支付系統(tǒng)的正常運(yùn)行造成不可忽視的損失,并通過(guò)支付系統(tǒng)的網(wǎng)絡(luò)波及到經(jīng)濟(jì)、社會(huì)中的各類(lèi)交易活動(dòng)。要想對(duì)支付系統(tǒng)風(fēng)險(xiǎn)進(jìn)行有效的控制和防范,必須針對(duì)其不同的表現(xiàn)形式進(jìn)行風(fēng)險(xiǎn)細(xì)分,在風(fēng)險(xiǎn)分類(lèi)的基礎(chǔ)上,找出風(fēng)險(xiǎn)的源頭,制定針對(duì)性的防范對(duì)策。 在我國(guó)學(xué)術(shù)界,不同的學(xué)者對(duì)支付系統(tǒng)風(fēng)險(xiǎn)進(jìn)行研究的方法或切入點(diǎn)不同,其分類(lèi)方法也存在不同的差別,因而支付系統(tǒng)風(fēng)險(xiǎn)被細(xì)分為很多不同的種類(lèi)。目前而言,國(guó)內(nèi)出現(xiàn)較多的分類(lèi)方法是,將支付系統(tǒng)風(fēng)險(xiǎn)細(xì)分為流動(dòng)性風(fēng)險(xiǎn)、運(yùn)行風(fēng)險(xiǎn)、法律風(fēng)險(xiǎn)、系統(tǒng)風(fēng)險(xiǎn)、信用風(fēng)險(xiǎn)五種類(lèi)型,也有學(xué)者認(rèn)為應(yīng)該在這五類(lèi)的基礎(chǔ)上加入道德風(fēng)險(xiǎn)和外匯風(fēng)險(xiǎn),還有學(xué)者認(rèn)為應(yīng)該加入新的風(fēng)險(xiǎn)類(lèi)型。 在這些不同的風(fēng)險(xiǎn)類(lèi)別中,流動(dòng)性風(fēng)險(xiǎn)是最為常見(jiàn)也最為基礎(chǔ)的一類(lèi)風(fēng)險(xiǎn),它是指支付系統(tǒng)參與者在系統(tǒng)的規(guī)定時(shí)限內(nèi)無(wú)法擁有足夠的資金用于結(jié)算其在支付系統(tǒng)內(nèi)的相關(guān)債務(wù)、從而對(duì)相關(guān)各方造成損失的可能性或不確定性。從支付系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)的概念出發(fā),可以深入地研究支付系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)的表現(xiàn)特點(diǎn)、產(chǎn)生原因及其造成的后果影響。要想對(duì)支付系統(tǒng)的流動(dòng)性風(fēng)險(xiǎn)進(jìn)行有效的控制防范、實(shí)施風(fēng)險(xiǎn)管理的措施及對(duì)策,必須首先了解和分析流動(dòng)性風(fēng)險(xiǎn)產(chǎn)生的原因。一般而言,流動(dòng)性風(fēng)險(xiǎn)產(chǎn)生的原因可以分為外因和內(nèi)因,外因是指來(lái)自于支付系統(tǒng)自身流動(dòng)性設(shè)計(jì)機(jī)制方面的原因,而內(nèi)因是支付系統(tǒng)參與者自身流動(dòng)性方面的原因。 從外因來(lái)看,流動(dòng)性風(fēng)險(xiǎn)主要表現(xiàn)在大額支付系統(tǒng)的流動(dòng)性機(jī)制設(shè)計(jì)以及流動(dòng)性風(fēng)險(xiǎn)控制上的不完善。因而,我國(guó)應(yīng)該借鑒和學(xué)習(xí)國(guó)際上一些先進(jìn)支付系統(tǒng)在流動(dòng)性風(fēng)險(xiǎn)管理控制方面的經(jīng)驗(yàn),例如美國(guó)的聯(lián)邦儲(chǔ)備體系資金轉(zhuǎn)賬系統(tǒng)FEDWIRE、美國(guó)紐約清算所私營(yíng)的銀行同業(yè)支付系統(tǒng)CHIPS、瑞士跨行清算系統(tǒng)SIC,它們都在流動(dòng)性風(fēng)險(xiǎn)管理方面有著國(guó)際領(lǐng)先的技術(shù)或機(jī)制。FEDWIRE允許日間流動(dòng)性透支、設(shè)置透支上限及期限、為證券記賬憑證抵押擔(dān)保;CHIPS為系統(tǒng)參與者提供一定信貸限額,并要求支付指令發(fā)送方在支付結(jié)算前在賬戶(hù)上預(yù)存一定備付金,成立董事會(huì)對(duì)申請(qǐng)加入系統(tǒng)的機(jī)構(gòu)進(jìn)行資質(zhì)審核；SIC采用無(wú)透支機(jī)制,對(duì)不足以結(jié)算的支付進(jìn)行排隊(duì)等待,對(duì)由于流動(dòng)性不充足而造成支付延遲的指令發(fā)送方加收利息。這些先進(jìn)的經(jīng)驗(yàn)都值得我國(guó)現(xiàn)代化支付系統(tǒng)CNAPS學(xué)習(xí)和借鑒。 從內(nèi)因來(lái)看,是由于系統(tǒng)參與者的自身原因造成流動(dòng)性的不充足,從而蔓延引發(fā)系統(tǒng)的流動(dòng)性風(fēng)險(xiǎn)。系統(tǒng)參與者的相關(guān)財(cái)務(wù)指標(biāo)能夠反映出參與者的經(jīng)營(yíng)狀況及流動(dòng)性管理能力,這些指標(biāo)在影響機(jī)構(gòu)自身短期償債能力的同時(shí),也會(huì)對(duì)系統(tǒng)造成潛在的流動(dòng)性風(fēng)險(xiǎn)概率。因而,利用大額支付系統(tǒng)多個(gè)系統(tǒng)參與者的相關(guān)財(cái)務(wù)指標(biāo)構(gòu)成的面板數(shù)據(jù),對(duì)大額支付系統(tǒng)潛在的流動(dòng)性風(fēng)險(xiǎn)概率進(jìn)行計(jì)量回歸分析,在經(jīng)過(guò)對(duì)模型有效性的檢驗(yàn)之后,運(yùn)用估計(jì)出的模型對(duì)系統(tǒng)整體的潛在風(fēng)險(xiǎn)進(jìn)行評(píng)價(jià),得出我國(guó)系統(tǒng)潛在風(fēng)險(xiǎn)概率逐年略有上升趨勢(shì)、其概率水平該引起重視的結(jié)論。 本文主要分為六章。 第一章是緒論部分,內(nèi)容包括三節(jié)。第一節(jié)介紹本文研究的背景和意義,第二節(jié)介紹論文的研究思路和研究方法,第三節(jié)介紹分析論文的創(chuàng)新點(diǎn)以及存在的不足之處。 第二章將對(duì)國(guó)內(nèi)外在支付系統(tǒng)風(fēng)險(xiǎn)的研究文獻(xiàn)進(jìn)行總結(jié)和梳理,形成文獻(xiàn)綜述。本章將分國(guó)內(nèi)和國(guó)外兩個(gè)方面來(lái)對(duì)前人的研究成果進(jìn)行綜述。由于我國(guó)對(duì)支付系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)的研究成果相對(duì)較少,筆者在對(duì)其進(jìn)行總結(jié)的同時(shí),也搜集整理了一些關(guān)于支付系統(tǒng)風(fēng)險(xiǎn)的研究文獻(xiàn),也將其進(jìn)行了綜述。 第三章將對(duì)大額支付系統(tǒng)的流動(dòng)性風(fēng)險(xiǎn)進(jìn)行理論層面的分析,內(nèi)容分為四節(jié)。第一節(jié)引入支付與支付系統(tǒng)的相關(guān)概念；第二節(jié)分析大額支付系統(tǒng)的系統(tǒng)參與者；第三節(jié)詳細(xì)分析大額支付系統(tǒng)的流動(dòng)性風(fēng)險(xiǎn),包括其定義、特征、成因及后果；第四節(jié)分析流動(dòng)性風(fēng)險(xiǎn)與大額支付系統(tǒng)其他風(fēng)險(xiǎn)之間的聯(lián)系。 第四章將比較國(guó)內(nèi)外幾個(gè)重要的大額支付系統(tǒng)對(duì)流動(dòng)性風(fēng)險(xiǎn)進(jìn)行管理和控制的機(jī)制,分析我國(guó)大額支付系統(tǒng)在流動(dòng)性風(fēng)險(xiǎn)管理方面可以借鑒的地方。第一節(jié)將介紹美國(guó)的聯(lián)邦儲(chǔ)備體系資金轉(zhuǎn)賬系統(tǒng)FEDWIRE,第二節(jié)介紹美國(guó)紐約的清算所銀行同業(yè)支付系統(tǒng)CHIPS,第三節(jié)分析瑞士的跨行清算系統(tǒng)SIC,第四節(jié)在對(duì)比前面三個(gè)支付系統(tǒng)的基礎(chǔ)上介紹我國(guó)的大額支付系統(tǒng)CNAPS。 第五章是本文的實(shí)證部分,將對(duì)我國(guó)大額支付系統(tǒng)的潛在流動(dòng)性風(fēng)險(xiǎn)概率進(jìn)行評(píng)估,從系統(tǒng)參與者——商業(yè)銀行的角度出發(fā),選取了四個(gè)解釋變量構(gòu)建計(jì)量模型,通過(guò)搜集整理的八家銀行從2000年到2010年的面板數(shù)據(jù),運(yùn)用Eviews6.0計(jì)量軟件來(lái)對(duì)系統(tǒng)潛在的流動(dòng)性風(fēng)險(xiǎn)概率進(jìn)行回歸分析,得出相應(yīng)的實(shí)證分析結(jié)果。 第六章將總結(jié)全文,綜合和總結(jié)前四章所得出的主要結(jié)果,得出本文的主要結(jié)論,并對(duì)我國(guó)大額支付系統(tǒng)的流動(dòng)性風(fēng)險(xiǎn)管理提出一些建議。 本文的創(chuàng)新之處主要體現(xiàn)在,在綜述國(guó)內(nèi)外先進(jìn)研究成果的基礎(chǔ)上,比較論述了國(guó)際上幾個(gè)著名的支付系統(tǒng)對(duì)流動(dòng)性風(fēng)險(xiǎn)進(jìn)行防范控制的先進(jìn)經(jīng)驗(yàn),并選取了相關(guān)指標(biāo)變量對(duì)我國(guó)大額支付系統(tǒng)的潛在風(fēng)險(xiǎn)概率進(jìn)行回歸分析,對(duì)系統(tǒng)參與者和系統(tǒng)監(jiān)管者提出針對(duì)性的建議。但是由于筆者的學(xué)術(shù)能力有限,理論深度和實(shí)證價(jià)值有所限制,論文仍然存在一定不足,筆者僅希望能以此文對(duì)相關(guān)領(lǐng)域的研究貢獻(xiàn)自己的綿薄之力。
[Abstract]:In today's world market economy, payment system is the most important part of financial infrastructure in a country or a region from its birth to the present. Its composition mainly includes three aspects, namely, the relevant rules of transfer of funds, the means by which payment orders can be transmitted and settled, and the phase by which payment and settlement services can be provided. In other words, the payment system is a macro arrangement for the liquidation of debts and the transfer of funds in the financial system. In the financial system, all financial transactions or financial activities can be summarized as the flow of funds between different institutions or departments. The payment system can help finance. Institutions repay their debts and complete the settlement of payment funds, which is the normal operation of the entire financial system "blood circulation system", is the core elements of financial services, is the backbone of the core financial facilities.
Since the 1970s and 1980s, more and more countries or regions have gradually realized the importance of building payment systems and maintaining the security and stability of payment systems. If finance is the pillar of the modern economy, then the payment system can be said to be the "blood" of the financial system in the modern market economy. It can transport "blood" to the whole financial system and even to the social economy. Facing risks means that the financial system is facing risks, and the security and stability of payment system is more important.
Payment system risk refers to the uncertainty that the payment system may suffer losses or fail to operate normally due to various factors. Payment system risk may occur in every aspect of the payment system, which may be caused or caused by the participants in the payment system, or may be attached to the operation mode of the payment system itself, and No matter where these risks originate, the performance and dissemination of the risks will cause losses that can not be ignored in the normal operation of the payment system, and spread to all kinds of transactions in the economy and society through the network of the payment system. Effective control and prevention must be aimed at its different manifestations of risk segmentation, on the basis of risk classification, identify the source of risk, formulate targeted countermeasures.
In the academic circles of our country, different scholars have different research methods or entry points on the risk of payment system, and their classification methods are also different, so the risk of payment system is divided into many different categories. There are five types of risk: insurance, legal risk, system risk and credit risk. Some scholars believe that moral risk and foreign exchange risk should be added to the five types of risk. Others believe that new types of risk should be added.
Among these different risk categories, liquidity risk is the most common and basic one. It refers to the possibility or uncertainty of loss caused by the participants in the payment system who can not have enough funds to settle their debts within the specified time limit of the system. Starting from the concept of system liquidity risk, we can deeply study the performance characteristics, causes and consequences of liquidity risk in payment system. In order to effectively control and prevent the liquidity risk in payment system, we must first understand and analyze the origin of liquidity risk. Generally speaking, the causes of liquidity risk can be divided into external factors and internal factors. External factors refer to the reasons from the design mechanism of the liquidity of the payment system itself, while internal factors are the reasons for the liquidity of the participants in the payment system itself.
From the external point of view, liquidity risk is mainly manifested in the design of Liquidity Mechanism and the control of liquidity risk in the large-scale payment system. Therefore, China should learn from some advanced international payment systems in the management and control of liquidity risk, such as the Federal Reserve System Fund Transfer System (FEDW) in the United States. IRE, the NYC Private Interbank Payment System (CHIPS) and Swiss Interbank Clearing System (SIC), all have internationally leading technologies or mechanisms for liquidity risk management. Set a credit limit and require the sender of the payment order to deposit a certain amount of reserve money in the account before payment and settlement, and set up a board of directors to examine the qualifications of the institutions applying to join the system; SIC uses a no-overdraft mechanism to queue up payments that are insufficient to settle, and sends instructions that are delayed due to insufficient liquidity. The interest is collected by the side. These advanced experiences are worth learning and drawing lessons from our modern payment system CNAPS.
From the point of view of internal factors, it is the insufficient liquidity caused by the system participants themselves, which spreads and causes the system liquidity risk. The relevant financial indicators of the system participants can reflect the participants'operating conditions and liquidity management ability, and these indicators can affect the short-term solvency of the organization itself, but also pair with each other. Therefore, the potential liquidity risk probability of large-scale payment system is analyzed by econometric regression using panel data composed of multiple system participants'relevant financial indicators. After checking the validity of the model, the potential liquidity risk probability of large-scale payment system is estimated by using the estimated model. In the risk assessment, it is concluded that the probability of system potential risk in China has a slightly increasing trend year by year, and the probability level should be paid attention to.
This article is mainly divided into six chapters.
The first section introduces the background and significance of this study, the second section introduces the research ideas and methods, and the third section introduces the innovation and shortcomings of the analysis paper.
The second chapter will summarize and sort out the domestic and foreign research literature on the risk of payment system, and form a literature review. This chapter will be divided into domestic and foreign two aspects to review the previous research results. Some research literatures on risk of payment system were also reviewed.
The third chapter will analyze the liquidity risk of large-sum payment system from the theoretical level, which is divided into four sections. The first section introduces the related concepts of payment and payment system; the second section analyzes the system participants of large-sum payment system; the third section analyzes the liquidity risk of large-sum payment system in detail, including its definition, characteristics, causes and afterwards. Guo; the fourth section analyzes the relationship between liquidity risk and other risks of large payment system.
Chapter 4 will compare several important large-sum payment systems at home and abroad to manage and control liquidity risk, and analyze what China's large-sum payment system can learn from in liquidity risk management. The third section analyzes the Swiss inter-bank clearing system SIC, and the fourth section introduces China's large-sum payment system CNAPS on the basis of comparing the previous three payment systems.
The fifth chapter is the empirical part of this paper, which will evaluate the potential liquidity risk probability of China's large-scale payment system. From the perspective of the system participants-commercial banks, this paper selects four explanatory variables to construct the econometric model, collects the panel data of eight banks from 2000 to 2010, and uses Eviews 6.0 to measure the software. The regression analysis of the potential liquidity risk probability of the system is carried out, and the corresponding empirical analysis results are obtained.
Chapter 6 will summarize the full text, synthesize and summarize the main results of the first four chapters, draw the main conclusions of this paper, and put forward some suggestions on liquidity risk management of large-scale payment system in China.
The innovation of this paper is mainly embodied in that, on the basis of reviewing the advanced research results at home and abroad, this paper compares and discusses the advanced experience of several famous international payment systems in preventing and controlling the liquidity risk, and selects the relevant index variables to make regression analysis on the potential risk probability of large-sum payment system in China, and gives the system parameters. However, due to my limited academic ability, theoretical depth and empirical value, there are still some shortcomings in this paper. I only hope that this paper can contribute to the research in related fields.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.2

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 許臻,謝群松;漫議支付系統(tǒng)風(fēng)險(xiǎn)管理[J];銀行家;2003年02期

2 白洋;;支付清算系統(tǒng)的風(fēng)險(xiǎn)及防范[J];當(dāng)代經(jīng)理人;2006年11期

3 牛晨;魏先華;潘松;陳敏;;我國(guó)大額支付系統(tǒng)中的流動(dòng)性風(fēng)險(xiǎn)[J];系統(tǒng)工程;2008年11期

4 尚明;Fedwire風(fēng)險(xiǎn)管理實(shí)踐及對(duì)我國(guó)的啟示[J];國(guó)際金融研究;2005年08期

5 匡云蕓;;國(guó)內(nèi)外支付系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)管理比較與借鑒[J];區(qū)域金融研究;2009年01期

6 鄭建華;周松海;;現(xiàn)代化支付系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)管理研究[J];貴州農(nóng)村金融;2009年01期

7 中國(guó)人民銀行河池市中心支行課題組;;大額支付系統(tǒng)運(yùn)行中的風(fēng)險(xiǎn)與防范[J];廣西金融研究;2006年03期

8 趙慶德;;支付清算風(fēng)險(xiǎn)成因及防范措施[J];黑龍江金融;2006年08期

9 鄭冬蔚;;我國(guó)大額支付系統(tǒng)整體流動(dòng)性風(fēng)險(xiǎn)研究[J];海南金融;2011年10期

10 楊海;;中國(guó)現(xiàn)代化支付系統(tǒng)流動(dòng)性風(fēng)險(xiǎn)的成因與對(duì)策[J];華南金融電腦;2009年06期

相關(guān)碩士學(xué)位論文 前1條

1 劉湘云;網(wǎng)上支付系統(tǒng)風(fēng)險(xiǎn)的定量分析與管理模式研究[D];暨南大學(xué);2002年

，

本文編號(hào)：2219782