本文選題：宏觀審慎監(jiān)管 + 商業(yè)銀行��； 參考：《湖南大學(xué)》2014年碩士論文

【摘要】：銀行是經(jīng)營風(fēng)險的企業(yè)，風(fēng)險管理是銀行業(yè)一個永恒的話題。美國金融危機給我們的一個教訓(xùn)就是要用系統(tǒng)的觀點來審視整個金融體系的穩(wěn)定性，要建立更加宏觀審慎的監(jiān)管體系。而宏觀審慎監(jiān)管的對象主要是系統(tǒng)性風(fēng)險，實現(xiàn)系統(tǒng)性風(fēng)險的準(zhǔn)確度量是進行宏觀審慎監(jiān)管的前提。雖然我國尚未發(fā)生過銀行系統(tǒng)性危機，但在利率市場化逐步推進的當(dāng)前，面對外資銀行的全面競爭，我國銀行系統(tǒng)性風(fēng)險不容忽視。銀監(jiān)會前主席劉明康曾警示目前我國銀行系統(tǒng)性風(fēng)險正在逐步累積，這就亟需學(xué)者們展開對我國銀行系統(tǒng)性風(fēng)險的研究�？刂葡到y(tǒng)性風(fēng)險的首要任務(wù)是要實現(xiàn)對系統(tǒng)性風(fēng)險的準(zhǔn)確度量。 本文在梳理前人研究成果的基礎(chǔ)上，首先對銀行系統(tǒng)性風(fēng)險從定義、特點、成因理論及傳染渠道這四個方面進行了較為詳盡的基礎(chǔ)理論分析。然后通過比較目前測度銀行系統(tǒng)性風(fēng)險方法，結(jié)合我國銀行體系的實際情況和數(shù)據(jù)可得性，，將我國16家上市商業(yè)銀行股票收益率作為研究對象，通過GARCH-CoVaR模型，測度我國商業(yè)銀行系統(tǒng)性風(fēng)險大小。 測度結(jié)果表明：股份制商業(yè)銀行的無風(fēng)險價值要普遍高于大型商業(yè)銀行的無風(fēng)險價值；而大型商業(yè)銀行的條件風(fēng)險價值卻普遍高于股份制商業(yè)銀行的條件風(fēng)險價值；大型商業(yè)銀行中的中國銀行、建設(shè)銀行及工商銀行具有較大的系統(tǒng)性風(fēng)險貢獻度，而股份制商業(yè)銀行中的平安銀行、浦發(fā)銀行也具有較大的系統(tǒng)性風(fēng)險貢獻度。接著對我國銀行系統(tǒng)性風(fēng)險特有影響因素進行了具體的分析。本文的最后提出了防范銀行系統(tǒng)性風(fēng)險的相關(guān)政策建議。
[Abstract]:The bank is the enterprise which manages the risk, the risk management is an eternal topic of the banking industry.One of the lessons of the U.S. financial crisis is to look at the stability of the entire financial system from a systemic perspective and to establish a more macroprudential regulatory system.The object of macro-prudential supervision is mainly systemic risk, and the accuracy of realizing systemic risk is the premise of macro-prudential supervision.Although the banking system crisis has not occurred in our country, the systemic risk of Chinese banks can not be ignored in the face of the comprehensive competition of foreign banks at present when the interest rate marketization is advancing step by step.Liu Mingkang, former chairman of the Banking Regulatory Commission, has warned that the systemic risk of Chinese banks is gradually accumulating, which is in urgent need of scholars to carry out research on the systemic risk of banks in China.The primary task of controlling systemic risk is to achieve the accuracy of systematic risk.Based on the previous research results, this paper firstly makes a detailed theoretical analysis of bank systemic risk from four aspects: definition, characteristics, cause theory and contagion channel.Then, by comparing the current methods of measuring bank systemic risk, combining the actual situation and data availability of China's banking system, taking the stock return rate of 16 listed commercial banks in our country as the research object, through the GARCH-CoVaR model,Measure the systemic risk of commercial banks in China.The results show that the risk-free value of joint-stock commercial banks is generally higher than that of large commercial banks, while the conditional risk value of large commercial banks is generally higher than that of joint-stock commercial banks.The Bank of China, the Construction Bank and the Industrial and Commercial Bank of China among the large commercial banks have great systematic risk contribution, while Ping an Bank and Pudong Development Bank in the joint-stock commercial banks also have a large systemic risk contribution.Then the specific factors affecting the systemic risk of Chinese banks are analyzed in detail.At the end of this paper, the author puts forward some policy suggestions on how to prevent the systemic risk of banks.
【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】：2014
【分類號】：F224;F832.33

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本文編號：1772613