本文選題：商業(yè)銀行 + 系統(tǒng)性風(fēng)險(xiǎn)��； 參考：《南京師范大學(xué)》2014年碩士論文

【摘要】：自2007年美國(guó)次債危機(jī)以及2009年的歐洲債務(wù)危機(jī)以來(lái),全球金融的穩(wěn)定成為最受關(guān)注的問(wèn)題之一,而銀行業(yè)作為金融體系的核心,其系統(tǒng)性風(fēng)險(xiǎn)的防范和控制提上了議事日程,趨于統(tǒng)一的金融監(jiān)管協(xié)調(diào)迫在眉睫。在學(xué)術(shù)研究上,國(guó)內(nèi)外學(xué)者從不同的理論基礎(chǔ)分析了系統(tǒng)性風(fēng)險(xiǎn)產(chǎn)生的原因,從多角度探討系統(tǒng)性風(fēng)險(xiǎn)的識(shí)別、度量、控制、管理等。但由于研究方法、研究對(duì)象等方面的不同,得出的結(jié)論也不盡相同。 隨著我國(guó)金融市場(chǎng)的發(fā)展、銀行業(yè)機(jī)構(gòu)日益復(fù)雜、金融產(chǎn)品的不斷創(chuàng)新,地方性政府債務(wù)的擴(kuò)大以及外在經(jīng)濟(jì)沖擊等,我國(guó)商業(yè)銀行業(yè)發(fā)生系統(tǒng)性風(fēng)險(xiǎn)的可能性加大。但是,我國(guó)銀行業(yè)風(fēng)險(xiǎn)呈現(xiàn)其獨(dú)有的特點(diǎn),銀行以其所享有的國(guó)家信譽(yù)為隱性擔(dān)保。本文利用我國(guó)商業(yè)銀行行業(yè)樣本數(shù)據(jù)構(gòu)建適合國(guó)情的、準(zhǔn)確的系統(tǒng)性風(fēng)險(xiǎn)度量模型,為我國(guó)商業(yè)銀行的系統(tǒng)性風(fēng)險(xiǎn)的全面管理提供技術(shù)支持。 本文的結(jié)構(gòu)是：首先,在前人已有文獻(xiàn)研究的基礎(chǔ)上,界定系統(tǒng)性風(fēng)險(xiǎn)的定義并且總結(jié)系統(tǒng)性風(fēng)險(xiǎn)的特征,主要分析系統(tǒng)性風(fēng)險(xiǎn)的生成機(jī)制、傳染機(jī)制。其次,闡述我國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)的現(xiàn)狀,從產(chǎn)權(quán)制度和風(fēng)險(xiǎn)管理制度方面,剖析我國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)產(chǎn)生的特殊原因以及風(fēng)險(xiǎn)傳染路徑。再次,本文以我國(guó)商業(yè)銀行2006年一季度-2013年一季度數(shù)據(jù)為研究樣本,理論與實(shí)證相結(jié)合地研究影響銀行系統(tǒng)性風(fēng)險(xiǎn)的內(nèi)生、外生因素。運(yùn)用主成分分析法進(jìn)行數(shù)據(jù)處理,提取出不相關(guān)的公因子,來(lái)構(gòu)建我國(guó)特色的銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)的測(cè)度模型。結(jié)果表明：我國(guó)商業(yè)銀行系統(tǒng)性風(fēng)險(xiǎn)的主導(dǎo)因素在于資本充足水平、資產(chǎn)質(zhì)量、流動(dòng)性水平、盈利能力。此外,宏觀的政策和貨幣風(fēng)險(xiǎn)水平對(duì)系統(tǒng)性財(cái)務(wù)風(fēng)險(xiǎn)也有一定的影響。最后,總結(jié)國(guó)際金融監(jiān)管巴塞爾協(xié)議的發(fā)展,借鑒發(fā)達(dá)國(guó)家和地區(qū)的系統(tǒng)性風(fēng)險(xiǎn)的監(jiān)管經(jīng)驗(yàn),提出我國(guó)銀行業(yè)系統(tǒng)性風(fēng)險(xiǎn)防范的總體思路和控制措施,健全宏微觀審慎監(jiān)管制度以及構(gòu)建我國(guó)銀行業(yè)的金融安全網(wǎng)。
[Abstract]:Since the sub-prime crisis in the United States in 2007 and the European debt crisis in 2009, global financial stability has become one of the most concerned issues. As the core of the financial system, the banking industry has put the prevention and control of systemic risk on the agenda. The harmonization of financial supervision is imminent. In academic research, scholars at home and abroad analyze the causes of systemic risk from different theoretical bases, and discuss the identification, measurement, control and management of systemic risk from various angles. However, due to the different research methods, research objects and other aspects, the conclusions are not the same. With the development of our financial market, the increasingly complex banking institutions, the continuous innovation of financial products, the expansion of local government debt and the external economic impact, the possibility of systemic risks in our commercial banking industry has increased. However, the banking risk of our country presents its unique characteristic, the bank takes the national credit as the recessive guarantee. Based on the sample data of commercial banks in China, this paper constructs an accurate systematic risk measurement model, which is suitable for the national conditions, and provides technical support for the overall management of the systemic risks of commercial banks in China. The structure of this paper is as follows: firstly, on the basis of the previous literatures, we define the definition of systemic risk and summarize the characteristics of systemic risk, mainly analyze the mechanism of generating systemic risk and the mechanism of infection. Secondly, the paper expounds the present situation of banking systemic risk in China, and analyzes the special causes and risk contagion path of banking systemic risk in China from the aspects of property right system and risk management system. Thirdly, taking the data of Chinese commercial banks from the first quarter of 2006 to the first quarter of 2013 as the research sample, this paper studies the endogenous and exogenous factors that affect the systemic risk of the banks. The principal component analysis (PCA) is used to process the data and extract the unrelated common factors to construct the systematic risk measurement model of banking industry with Chinese characteristics. The results show that the dominant factors of commercial banks' systemic risk are capital adequacy level, asset quality, liquidity level and profitability. In addition, macro policies and monetary risk levels also have a certain impact on systemic financial risk. Finally, the paper summarizes the development of Basel Agreement on International Financial Supervision, draws lessons from the experience of the supervision of systemic risk in developed countries and regions, and puts forward the general ideas and control measures for the prevention of systemic risk in China's banking industry. Improve macro-micro-prudential supervision system and build a financial safety net for China's banking industry.
【學(xué)位授予單位】：南京師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.33

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本文編號(hào)：2041182