【摘要】：《巴塞爾協(xié)議Ⅲ》提出建立流動性覆蓋率(LCR)和凈穩(wěn)定資金比例(NSFR)監(jiān)測商業(yè)銀行的流動性水平,從短期、長期和動態(tài)的角度全面關注銀行業(yè)流動性風險。2013年6月針對我國商業(yè)銀行“錢荒”事件,我國銀監(jiān)會出臺《商業(yè)銀行流動性風險管理指引》等系列法規(guī)加強對商業(yè)銀行流動性風險的監(jiān)管,理論界再次對貸存比指標的適用性進行了深入探討。在新的歷史條件下,商業(yè)銀行的流動性風險成為理論界和實務界共同探討的話題。本文在流動性風險監(jiān)管的背景下研究當前我國商業(yè)銀行的流動性風險管理現(xiàn)狀,梳理國內外學者對于商業(yè)銀行流動性風險的研究情況,重點提出本文的研究思路。其次,分析《巴塞爾協(xié)議Ⅲ》對于流動性風險的定義,以及商業(yè)銀行流動性風險相關理論。第三章分析我國銀監(jiān)會確定的流動性指標差異,確定本文的指標變量,然后從整體和局部的角度選取17家商業(yè)銀行進行分析我國銀行業(yè)的流動性管理現(xiàn)狀。第四章是實證分析,根據(jù)系統(tǒng)重要性銀行的標準,選取2006年至2013年的我國商業(yè)銀行的面板數(shù)據(jù)實證研究商業(yè)銀行流動性風險影響因子,并且進行壓力測試分析。最后,根據(jù)研究結論,從指標設計、商業(yè)銀行和監(jiān)管機構三個角度提出改善我國商業(yè)銀行流動性風險管理的對策。
[Abstract]:Basel III proposes to establish liquidity coverage ratio (LCR) and net stable capital ratio (NSFR) to monitor the liquidity level of commercial banks. Focusing on the liquidity risk of the banking industry from a long-term and dynamic perspective. In June 2013, in response to the "money shortage" incident in China's commercial banks, China Banking Regulatory Commission (CBRC) has issued a series of regulations, such as "guidelines on liquidity risk Management of Commercial Banks", to strengthen the supervision of liquidity risks of commercial banks, and the applicability of the loan-to-deposit ratio index has been further discussed in the theoretical circle. Under the new historical conditions, the liquidity risk of commercial banks has become a common topic in theory and practice. Under the background of liquidity risk supervision, this paper studies the current situation of liquidity risk management of commercial banks in China, combs the research situation of domestic and foreign scholars on liquidity risk of commercial banks, and puts forward the research ideas of this paper. Secondly, it analyzes the definition of liquidity risk in Basel III and the theory of liquidity risk in commercial banks. The third chapter analyzes the liquidity index difference determined by China Banking Regulatory Commission, determines the index variables of this paper, and then selects 17 commercial banks from the overall and local perspective to analyze the liquidity management situation of China's banking industry. The fourth chapter is the empirical analysis. According to the criteria of systemically important banks, the panel data of Chinese commercial banks from 2006 to 2013 are selected to empirically study the influencing factors of liquidity risk of commercial banks, and carry on the stress test analysis. Finally, according to the conclusion of the study, the paper puts forward some countermeasures to improve the liquidity risk management of Chinese commercial banks from the three angles of index design, commercial banks and regulators.
【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】：F832.2

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