本文選題：商業(yè)銀行安全 + 非線性VaR�。� 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：20世紀(jì)70年代以來(lái),世界范圍內(nèi)的銀行危機(jī)表現(xiàn)出范圍更廣、危害更深、傳染性更強(qiáng)等新特點(diǎn)；在每一次銀行危機(jī)發(fā)生過(guò)程中及之后,各國(guó)政府部門(mén)不斷借鑒歷史經(jīng)驗(yàn)并推出創(chuàng)新舉措,監(jiān)管機(jī)構(gòu)頻繁地修正并實(shí)施新的監(jiān)管標(biāo)準(zhǔn),然而銀行安全問(wèn)題并未曾有所緩解。出現(xiàn)這種現(xiàn)象的原因是多方面且極為復(fù)雜的,但最為根本的原因在于缺乏一個(gè)能夠全面、有效地度量商業(yè)銀行整體風(fēng)險(xiǎn)的安全水平評(píng)估模型。2007年次貸危機(jī)發(fā)生以來(lái),商業(yè)銀行的安全運(yùn)營(yíng)暴露出新的問(wèn)題。在次貸危機(jī)中,歐美國(guó)家的商業(yè)銀行大量持有經(jīng)由資產(chǎn)證券化及結(jié)構(gòu)化金融分層技術(shù)處理的金融衍生產(chǎn)品。這類(lèi)金融衍生品的非線性風(fēng)險(xiǎn)收益特性使得商業(yè)銀行對(duì)于自身面臨的全面風(fēng)險(xiǎn)更難發(fā)現(xiàn)和準(zhǔn)確評(píng)估。本文在借鑒基于經(jīng)典VaR的Z值模型基礎(chǔ)上,構(gòu)建基于非線性VaR的Z值模型,將商業(yè)銀行的非線性風(fēng)險(xiǎn)考慮在內(nèi),對(duì)其安全水平進(jìn)行更加全面、有效的評(píng)估。進(jìn)一步的理論分析與實(shí)證計(jì)算表明,基于非線性VaR的Z值模型所作的改進(jìn)是可靠、有效的：同時(shí),實(shí)證結(jié)果還證明Gamma-Johnson非線性VaR測(cè)算方法比Gamma-CF非線性VaR測(cè)算方法更適用于商業(yè)銀行安全水平的評(píng)估。本文的主要研究成果如下：第一,關(guān)于國(guó)內(nèi)外商業(yè)銀行安全水平的評(píng)估與比較。(1)通過(guò)縱向比較發(fā)現(xiàn),我國(guó)銀行業(yè)安全水平總體上處于持續(xù)改善的趨勢(shì)。相比而言,大型國(guó)有商業(yè)銀行的安全水平略低于中小股份制商業(yè)銀行,其中,僅在2004至2007年國(guó)有銀行改革攻堅(jiān)時(shí)期短暫超過(guò)中小股份制商業(yè)銀行；但若將國(guó)家對(duì)大型國(guó)有商業(yè)銀行的各種隱性擔(dān)保考慮在內(nèi),即便出現(xiàn)銀行業(yè)危機(jī),大型國(guó)有商業(yè)銀行面臨的真實(shí)風(fēng)險(xiǎn)也未必會(huì)比中小型股份制商業(yè)銀行要大。近幾年來(lái),大型國(guó)有商業(yè)銀行和中小型股份制商業(yè)銀行間的安全水平差異逐漸縮窄。(2)通過(guò)橫向比較發(fā)現(xiàn),我國(guó)銀行業(yè)安全水平在2001至2006年間低于國(guó)外銀行業(yè),但差異不斷縮窄；從2007至2008年次貸危機(jī)席卷歐美國(guó)家開(kāi)始,我國(guó)銀行業(yè)安全水平超過(guò)國(guó)外銀行業(yè),并維持至今；后金融危機(jī)時(shí)期,國(guó)外大部分國(guó)家銀行業(yè)開(kāi)始復(fù)蘇,其安全水平與我國(guó)銀行業(yè)相比,出現(xiàn)逐漸趨同的跡象。特別地,在此輪金融危機(jī)中,我國(guó)銀行業(yè)僅在2009年受到短暫的沖擊,之后便馬上恢復(fù)到危機(jī)前的較高水平。(3)從全球系統(tǒng)重要性程度來(lái)看,我國(guó)銀行業(yè)安全水平與非全球系統(tǒng)重要性銀行樣本組相當(dāng)。我們通過(guò)實(shí)證發(fā)現(xiàn),全球系統(tǒng)重要性程度與銀行安全水平之間存在先正向、后負(fù)向、再正向的非線性相關(guān)關(guān)系,由此我們預(yù)期：在我國(guó)銀行業(yè)走向全球化經(jīng)營(yíng)的初期,銀行業(yè)安全水平將持續(xù)上升；當(dāng)我國(guó)大批銀行加入激烈的全球競(jìng)爭(zhēng),全球化業(yè)務(wù)不斷擴(kuò)張時(shí),我國(guó)銀行業(yè)安全水平有可能會(huì)出現(xiàn)下降；繼而,隨著我國(guó)部分商業(yè)銀行進(jìn)入全球系統(tǒng)重要性銀行中“最重要”的樣本組后,我國(guó)銀行業(yè)安全水平會(huì)恢復(fù)到緩慢上升的態(tài)勢(shì)。第二,關(guān)于商業(yè)銀行安全水平的影響因素及差異成因分析。(1)國(guó)內(nèi)大型國(guó)有商業(yè)銀行與中小型股份制商業(yè)銀行之間的安全水平差異成因主要是由業(yè)務(wù)結(jié)構(gòu)和不良貸款率變化導(dǎo)致。從業(yè)務(wù)結(jié)構(gòu)角度看,由于國(guó)有商業(yè)銀行的資金規(guī)模、密集的營(yíng)業(yè)網(wǎng)點(diǎn)、品牌知名度、豐富的客戶資源等優(yōu)勢(shì)在拓展非利息收入業(yè)務(wù)過(guò)程中起到重要作用,其非利息收入占比增加比股份制商業(yè)銀行較快,而較高的非利息收入占比對(duì)商業(yè)銀行安全水平具有促進(jìn)作用,這使得國(guó)有商業(yè)銀行安全水平逐漸提升。從不良貸款率角度看,2001年我國(guó)加入WTO及2003年底開(kāi)始的國(guó)有銀行注資、財(cái)務(wù)重組、股份制改造、掛牌上市以及引進(jìn)海外戰(zhàn)略投資者等一系列改革措施之后,國(guó)有商業(yè)銀行內(nèi)部治理機(jī)制落后的問(wèn)題逐漸改善。國(guó)有銀行內(nèi)控機(jī)制變革和公司治理水平的提升促進(jìn)不良貸款率不斷下降,對(duì)國(guó)有銀行安全水平產(chǎn)生顯著的積極作用,我們認(rèn)為這是國(guó)有銀行安全水平逐漸接近股份制銀行的另一個(gè)重要原因。(2)國(guó)內(nèi)外商業(yè)銀行之間的安全水平差異成因主要由GDP增長(zhǎng)率、市場(chǎng)集中度及業(yè)務(wù)結(jié)構(gòu)變化解釋。從GDP增長(zhǎng)率角度看,我國(guó)良好的宏觀經(jīng)濟(jì)狀況為提升我國(guó)商業(yè)銀行盈利水平、改善資產(chǎn)質(zhì)量以及擴(kuò)充外部籌集能力產(chǎn)生積極作用,從而為我國(guó)商業(yè)銀行安全水平提供了有利的外部環(huán)境。從市場(chǎng)集中度來(lái)看,進(jìn)入2007年之后,我國(guó)銀行業(yè)競(jìng)爭(zhēng)性逐漸增加,且處于倒U型關(guān)系的前端,即通過(guò)減少大型銀行的市場(chǎng)勢(shì)力以改善商業(yè)銀行的安全水平；與之相反,國(guó)外銀行業(yè)集中度則緩慢提高,這與全球金融危機(jī)中暴露出的大型商業(yè)銀行“大而不能倒”的問(wèn)題對(duì)應(yīng),說(shuō)明國(guó)外銀行業(yè)市場(chǎng)集中度過(guò)高導(dǎo)致部分大型商業(yè)銀行道德風(fēng)險(xiǎn)問(wèn)題嚴(yán)重,從而對(duì)銀行安全水平產(chǎn)生不利影響。從業(yè)務(wù)結(jié)構(gòu)來(lái)看,近年來(lái)隨著我國(guó)大型國(guó)有商業(yè)銀行改革完成、加入WTO后面臨更多國(guó)外銀行的競(jìng)爭(zhēng)壓力等,我國(guó)商業(yè)銀行開(kāi)始更多地關(guān)注對(duì)非利息收入業(yè)務(wù)的拓展,促進(jìn)商業(yè)銀行盈利模式的轉(zhuǎn)型與變革。可以預(yù)見(jiàn),我國(guó)商業(yè)銀行非利息收入占比在未來(lái)一段時(shí)間內(nèi)還將持續(xù)上升,這為我國(guó)商業(yè)銀行安全水平的提高提供了盈利模式支持。
[Abstract]:Since 1970s, the banking crisis in the world has shown a wider range, deeper harm, more infectious and other new characteristics. In the course of the crisis of each bank, the government departments of various countries continue to learn from historical experience and introduce innovative measures, and the regulatory agencies frequently amend and implement new regulatory standards, but banks Security problems have not been alleviated. The reasons for this phenomenon are multifaceted and extremely complex, but the most fundamental reason is the lack of a security level assessment model that can measure the overall risk of commercial banks in a comprehensive and effective way. The security operation of commercial banks has exposed new problems since the occurrence of the.2007 subprime crisis. In the subprime mortgage crisis, commercial banks in European and American countries hold a large number of financial derivatives treated by asset securitization and structured financial stratification technology. The nonlinear risk income characteristics of such derivatives make it harder for commercial banks to find and accurately assess their overall risks. This paper is based on the Z based on classic VaR. On the basis of the value model, the Z value model based on nonlinear VaR is constructed. The nonlinear risk of commercial banks is taken into account and its security level is more comprehensive and effective. Further theoretical analysis and empirical calculation show that the modification based on the Z value model based on nonlinear VaR is reliable and effective: at the same time, the empirical results also prove G The amma-Johnson nonlinear VaR calculation method is more suitable for the evaluation of the safety level of commercial banks than the Gamma-CF nonlinear VaR calculation method. The main research results of this paper are as follows: first, the evaluation and comparison of the safety level of commercial banks both at home and abroad. (1) through the longitudinal comparison, the security level of the banking industry in China is in a continuous change. In comparison, the security level of large state-owned commercial banks is slightly lower than that of small and medium-sized joint-stock commercial banks, of which, only in the period of 2004 to 2007, the state-owned banks were short of small and medium-sized joint-stock commercial banks in the period of reform and attack, but if the state was taken into consideration of the hidden guarantee of the state to large state-owned commercial banks, even the banking industry appeared. The real risks faced by large state-owned commercial banks are not necessarily larger than those of small and medium-sized joint-stock commercial banks. In recent years, the difference of security level between large state-owned commercial banks and small and medium sized joint-stock commercial banks has gradually narrowed. (2) through horizontal comparison, the security level of China's banking industry is lower than that of foreign countries during the period of 2001 to 2006. Banking industry, but the difference is narrowing; from 2007 to 2008 the subprime crisis swept the European and American countries, the security level of China's banking industry exceeded that of foreign banks and maintained so far. In the period of the post financial crisis, most of foreign countries' banking industry began to recover. In this round of financial crisis, China's banking industry was briefly shocked in 2009 and immediately returned to a high level before the crisis. (3) from the importance of the global system, the security level of China's banking industry is equivalent to the non global systematic importance bank sample group. There is a positive, negative, and then positive nonlinear correlation between the safety level of the bank, and we expect that the security level of the banking industry will continue to rise at the beginning of the globalization of the banking industry in our country. When a large number of banks in China join the fierce global competition and the global business expands, the security level of the banking industry in our country There may be a decline, and then, with some of our commercial banks entering the "most important" sample group in the global system of importance, the security level of China's banking industry will be back to a slow rising trend. Second, the factors affecting the safety level of commercial banks and the analysis of the causes of differences. (1) large state-owned commercial banks in China The cause of the difference in security level between the small and medium sized joint-stock commercial banks is mainly caused by the change of the business structure and the rate of bad loans. From the perspective of business structure, the advantages of the state-owned commercial banks, such as the capital size, the dense business outlets, the brand awareness, the rich customer resources and so on, play an important role in expanding the non interest income business process. The important role is that the proportion of non interest income increase is faster than that of the joint-stock commercial banks, and the higher non interest income has a promoting effect on the security level of commercial banks, which makes the security level of the state-owned commercial banks gradually increase. In the view of the bad loan rate, the state-owned banks, which began to enter the WTO and the end of 2003, have invested capital in 2001. After a series of reform measures, such as restructuring, shareholding reform, listing and introducing overseas strategic investors, the problems of backward governance mechanism of the state-owned commercial banks are gradually improved. The reform of the internal control mechanism of the state-owned banks and the improvement of the level of corporate governance promote the decline of the rate of non-performing loans, and have a significant effect on the security level of the state-owned banks. The positive effect of this is another important reason for the security level of the state-owned banks approaching to the shareholding banks. (2) the causes of the difference of security level between domestic and foreign commercial banks are mainly explained by the GDP growth rate, the market concentration and the change of the business structure. From the perspective of the GDP growth rate, the good macroeconomic situation in China has been promoted. The profit level of the commercial banks in China, the improvement of the quality of assets and the expansion of the external raising capacity have a positive effect, thus providing a favorable external environment for the safety level of our commercial banks. From the market concentration, after entering 2007, the competitiveness of China's banking industry is gradually increasing, and in the front end of the inverted U relationship, that is, through reduction. The market power of large banks is to improve the level of the security of commercial banks. On the contrary, the concentration of foreign banks is slowly increasing, which corresponds to the big commercial banks' "big and impossible" problems exposed in the global financial crisis, indicating that the high degree of concentration of foreign banking market leads to the moral hazard of some large commercial banks. The problem is serious, which has a negative impact on the security level of the bank. From the view of the business structure, in recent years, with the completion of the reform of the large state-owned commercial banks in China, the competition pressure of more foreign banks is faced after joining the WTO, and the commercial banks of our country begin to pay more attention to the expansion of the non interest income business and promote the profit model of the commercial banks. It is foreseeable that the proportion of non interest income in China's commercial banks will continue to rise in the future for a period of time, which provides a profit model support for the improvement of the security level of commercial banks in China.
【學(xué)位授予單位】：復(fù)旦大學(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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