本文選題：銀行風(fēng)險(xiǎn) + 資本結(jié)構(gòu)��； 參考：《安徽財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：資本監(jiān)管作為商業(yè)銀行監(jiān)管的重點(diǎn),合理的資本結(jié)構(gòu)不僅是商業(yè)銀行資金補(bǔ)充效率的體現(xiàn),也是抵御風(fēng)險(xiǎn)能力的體現(xiàn)。隨著商業(yè)銀行制度的不斷優(yōu)化,我國(guó)商業(yè)銀行的資本結(jié)構(gòu)也發(fā)生了較大變化。但變化后的資本結(jié)構(gòu)具體怎樣對(duì)風(fēng)險(xiǎn)水平產(chǎn)生影響,通過(guò)什么路徑傳導(dǎo),成了我們亟待解決的問題。這些問題的解決,有利于從風(fēng)險(xiǎn)控制角度優(yōu)化銀行資本結(jié)構(gòu),有助于實(shí)現(xiàn)市場(chǎng)價(jià)值最大化,提升核心競(jìng)爭(zhēng)力,使商業(yè)銀行在激烈的競(jìng)爭(zhēng)中具有競(jìng)爭(zhēng)優(yōu)勢(shì),并取得自身的長(zhǎng)遠(yuǎn)發(fā)展。 本文以理論分析為基礎(chǔ),重點(diǎn)分析了資本結(jié)構(gòu)對(duì)風(fēng)險(xiǎn)影響的傳導(dǎo)路徑,并且對(duì)兩者的關(guān)系進(jìn)行了梳理。其次,通過(guò)選取表示股權(quán)集中度、股權(quán)性質(zhì)和股權(quán)流動(dòng)性的九個(gè)指標(biāo)衡量銀行資本結(jié)構(gòu)；而對(duì)銀行風(fēng)險(xiǎn),主要從經(jīng)營(yíng)風(fēng)險(xiǎn)和財(cái)務(wù)風(fēng)險(xiǎn)兩方進(jìn)行衡量,并對(duì)資本結(jié)構(gòu)與風(fēng)險(xiǎn)的關(guān)系進(jìn)行描述性統(tǒng)計(jì)分析。結(jié)果顯示：銀行資本結(jié)構(gòu)與財(cái)務(wù)風(fēng)險(xiǎn)和經(jīng)營(yíng)風(fēng)險(xiǎn)存在相關(guān)關(guān)系,且融資結(jié)構(gòu)與財(cái)務(wù)風(fēng)險(xiǎn)的相關(guān)關(guān)系顯著。在此基礎(chǔ)上,通過(guò)計(jì)算風(fēng)險(xiǎn)因子得分衡量銀行綜合風(fēng)險(xiǎn),接著運(yùn)用面板回歸分析中的隨機(jī)效應(yīng)模型實(shí)證分析了銀行資本結(jié)構(gòu)對(duì)風(fēng)險(xiǎn)的影響。研究表明：融資結(jié)構(gòu)、股權(quán)結(jié)構(gòu)和債務(wù)結(jié)構(gòu)對(duì)銀行均存在影響,其中融資結(jié)構(gòu)具有顯著的正向影響,股權(quán)結(jié)構(gòu)影響不顯著,而債務(wù)結(jié)構(gòu)影響較大。主要是因?yàn)椋喝谫Y結(jié)構(gòu)衡量指標(biāo)的資產(chǎn)負(fù)債率偏高,造成銀行財(cái)務(wù)杠桿較大,因而產(chǎn)生較大的財(cái)務(wù)風(fēng)險(xiǎn)；股權(quán)結(jié)構(gòu)的影響主要通過(guò)股權(quán)對(duì)股東不平衡的激勵(lì)與約束,導(dǎo)致股東風(fēng)險(xiǎn)行為發(fā)生變化,但是這種行為的變化并沒有統(tǒng)一的規(guī)則,它主要取決于股東的個(gè)人素質(zhì)、風(fēng)險(xiǎn)偏好以及市場(chǎng)預(yù)期等因素的綜合作用,從而導(dǎo)致股權(quán)結(jié)構(gòu)的影響不穩(wěn)定；由于廣義的資本結(jié)構(gòu)包括短期負(fù)債,債務(wù)結(jié)構(gòu)對(duì)風(fēng)險(xiǎn)的影響主要表現(xiàn)為長(zhǎng)短期債務(wù)資本期限配置問題產(chǎn)生的風(fēng)險(xiǎn),且較多的短期負(fù)債容易提高流動(dòng)性風(fēng)險(xiǎn)。最后,從完善融資結(jié)構(gòu),優(yōu)化股權(quán)結(jié)構(gòu),改善債務(wù)結(jié)構(gòu)三方面提出相應(yīng)的政策建議。
[Abstract]:Capital supervision is the focus of commercial bank supervision. A reasonable capital structure is not only the embodiment of the efficiency of capital supplement of commercial banks, but also the embodiment of the ability to resist risks. With the continuous optimization of commercial banking system, the capital structure of commercial banks in China has also undergone great changes. However, how the changing capital structure affects the risk level and through which path transmission becomes the urgent problem. The solution of these problems is helpful to optimize the capital structure of banks from the angle of risk control, to maximize the market value, to enhance the core competitiveness, and to make commercial banks have competitive advantages in the fierce competition. And to achieve their own long-term development. On the basis of theoretical analysis, this paper analyzes the transmission path of capital structure to risk, and combs the relationship between them. Secondly, the capital structure of the bank is measured by selecting nine indicators of equity concentration, equity nature and equity liquidity, while the bank risk is mainly measured from two aspects: operating risk and financial risk. And carries on the descriptive statistical analysis to the capital structure and the risk relation. The results show that the capital structure of the bank is related to the financial risk and the operating risk, and the relationship between the financing structure and the financial risk is significant. On this basis, the comprehensive risk of the bank is measured by calculating the risk factor score, and then the impact of the bank capital structure on the risk is empirically analyzed by using the stochastic effect model in the panel regression analysis. The results show that: financing structure, equity structure and debt structure all have influence on bank, among them, financing structure has significant positive influence, equity structure has no significant influence, but debt structure has great influence. The main reason is that: the ratio of assets and liabilities of the financing structure is on the high side, which causes the banks to have a large financial leverage, and the influence of the equity structure is mainly through the incentive and restriction of the equity to the shareholders' imbalance. It leads to the change of shareholder's risk behavior, but the change of this kind of behavior has no uniform rules. It mainly depends on the comprehensive function of the shareholder's personal quality, risk preference and market expectation, etc. As a result, the influence of equity structure is unstable. Because the generalized capital structure includes short-term liabilities, the impact of debt structure on risk is mainly the risk of long-term and short-term debt capital maturity allocation problem. And more short-term liabilities tend to increase liquidity risk. Finally, the corresponding policy suggestions are put forward from three aspects: perfecting the financing structure, optimizing the equity structure and improving the debt structure.
【學(xué)位授予單位】：安徽財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33

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