發(fā)布時間：2018-11-14 16:24

【摘要】：為了提高整個金融系統(tǒng)抗擊風(fēng)險和危機的能力，2009年巴塞爾委員會發(fā)布了《增強銀行體系穩(wěn)健性》以及《流動性風(fēng)險計量標準和檢測的國際框架》，經(jīng)過不斷的測算和核審后，20國集團首爾峰會于2010年批準了《巴塞爾協(xié)議III》的改革方案，研究制定了國際通用的銀行業(yè)監(jiān)管新規(guī)。為了有效對接《巴塞爾協(xié)議III》的新規(guī)定，2011年4月我國銀監(jiān)會制定了一套國內(nèi)銀行業(yè)實施的標準，即“中國銀行業(yè)實施新標準的指導(dǎo)意見”，建立了我國銀行業(yè)監(jiān)管新框架，制定了適合我國國情的監(jiān)管新規(guī)。隨著監(jiān)管新規(guī)的實施，我國商業(yè)銀行資產(chǎn)負債管理也將隨之發(fā)生改變。 本文以商業(yè)銀行資產(chǎn)負債管理為研究對象，研究《巴塞爾協(xié)議III》對其的影響。首先，，研究了巴塞爾協(xié)議的演變及資產(chǎn)負債管理相關(guān)理論，在此基礎(chǔ)上深入探討了金融監(jiān)管與銀行資產(chǎn)負債管理的一致性。其次，從資產(chǎn)負債管理的主要內(nèi)容著手，分析了《巴塞爾協(xié)議III》對我國商業(yè)銀行資產(chǎn)負債比例管理、資產(chǎn)負債結(jié)構(gòu)、資產(chǎn)負債的期限配置、財務(wù)杠桿和資產(chǎn)規(guī)模的影響。最后，從“三性”視角出發(fā)，定性和定量分析了監(jiān)管新規(guī)對我國商業(yè)銀行資產(chǎn)負債管理的影響效應(yīng)。 由定量分析可以得出以下結(jié)論：第一，監(jiān)管新規(guī)提出前，撥備覆蓋率對我國商業(yè)銀行的安全性與效益性的影響顯著；監(jiān)管新規(guī)提出后，貸款撥備率對我國商業(yè)銀行安全性與效益性的影響顯著，而撥備覆蓋率不再對我國商業(yè)銀行的安全性與效益性的產(chǎn)生顯著影響。第二，監(jiān)管新規(guī)能加強銀行流動性，并且新規(guī)中的資本充足率指標能提高銀行的安全性，但其與銀行效益性關(guān)系在監(jiān)管新規(guī)實施前后發(fā)生改變。資本充足率對銀行效益的約束效應(yīng)開始顯現(xiàn)。第三，新監(jiān)管要求對我國銀行資產(chǎn)規(guī)模約束效應(yīng)逐漸顯現(xiàn)。在監(jiān)管要求更高、經(jīng)營模式?jīng)]有改變的情況下，銀行必須放緩資產(chǎn)規(guī)模的擴張。 基于以上的定性和定量分析，本文提出了相關(guān)的對策建議：優(yōu)化商業(yè)銀行資產(chǎn)負債結(jié)構(gòu)；建立高度協(xié)調(diào)的流動性管理機制；加快推動資產(chǎn)負債管理的戰(zhàn)略轉(zhuǎn)型；建立以資本為核心的資產(chǎn)負債管理模式；構(gòu)建價值導(dǎo)向型資產(chǎn)負債管理體系。
[Abstract]:In order to improve the ability of the entire financial system to combat risks and crises, in 2009 the Basel Committee issued the International Framework for measuring and testing liquidity risks, which was published by the Basel Committee in 2009. The G20 summit in Seoul approved the Basel III reform package in 2010 and worked out new rules for international banking regulation. In order to effectively connect with the new regulations of Basel III, in April 2011, China Banking Regulatory Commission formulated a set of standards for the implementation of domestic banking, namely, "guidance opinions on the implementation of New Standards for China's Banking sector", and established a new framework for banking supervision in China. Has formulated the regulation which suits our country's national condition the new regulation. With the implementation of the new regulation, the management of assets and liabilities of commercial banks will change. This paper studies the influence of Basel III on asset liability management of commercial banks. Firstly, the evolution of Basel Accord and the theory of asset-liability management are studied, and the consistency between financial supervision and bank asset-liability management is discussed. Secondly, starting with the main contents of asset-liability management, this paper analyzes the effects of Basel III on asset-liability ratio management, asset-liability structure, term allocation of asset-liability, financial leverage and asset size of commercial banks in China. Finally, from the perspective of "three properties", this paper qualitatively and quantitatively analyzes the effect of the new regulation on the asset liability management of commercial banks in China. From the quantitative analysis, we can draw the following conclusions: first, before the introduction of the new regulation, the coverage rate of provisions has a significant impact on the security and efficiency of commercial banks in China; After the new regulation is put forward, the loan reserve ratio has a significant impact on the security and efficiency of commercial banks in China, but the coverage rate of provisions will no longer have a significant impact on the security and efficiency of commercial banks in China. Second, the new regulation can strengthen the bank liquidity, and the capital adequacy index in the new regulation can improve the security of the bank, but its beneficial relationship with the bank changes before and after the implementation of the new regulation. The restraint effect of capital adequacy ratio on bank benefit begins to appear. Third, the new regulatory requirements on the size of China's banking assets constraint effect gradually appeared. With more regulatory demands and no change in business model, banks must slow the expansion of assets. Based on the above qualitative and quantitative analysis, this paper puts forward some countermeasures and suggestions: optimizing the structure of assets and liabilities of commercial banks, establishing a highly coordinated liquidity management mechanism, speeding up the strategic transformation of asset liability management; Establish the asset liability management mode with capital as the core and construct the value-oriented asset-liability management system.
【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】：F832.33

【參考文獻】

相關(guān)期刊論文 前10條

1 馮乾;侯合心;;資本監(jiān)管改革與資本充足率——基于巴塞爾協(xié)議Ⅲ的上市銀行分析[J];財經(jīng)科學(xué);2012年02期

2 楊瑾;霍天翔;劉湘勤;;資本充足率監(jiān)管有效性的成本收益分析——基于我國四大商業(yè)銀行的實證研究[J];財經(jīng)問題研究;2010年01期

3 趙錫軍;王勝邦;;資本約束對商業(yè)銀行信貸擴張的影響:中國實證分析(1995—2003)[J];財貿(mào)經(jīng)濟;2007年07期

4 孟艷;;金融危機沖擊下資產(chǎn)負債管理的再審視[J];金融論壇;2010年02期

5 于東智;胡慶;;價值管理視角下的商業(yè)銀行資產(chǎn)負債模型[J];金融論壇;2010年08期

6 汪冬梅;王翠春;劉廷偉;;中國資本充足監(jiān)管對銀行盈利影響的實證研究[J];財政研究;2009年07期

7 賈明琪;李成青;;新銀行監(jiān)管模式視角下我國商業(yè)銀行經(jīng)營轉(zhuǎn)型的思考[J];南方金融;2011年11期

8 翟光宇;陳劍;;資本充足率高代表資本充足嗎?——基于中國上市銀行2007～2011年季度數(shù)據(jù)分析[J];國際金融研究;2011年10期

9 潘凌遙;;論宏觀審慎監(jiān)管與微觀審慎監(jiān)管的關(guān)系[J];區(qū)域金融研究;2012年10期

10 鐘永紅;;商業(yè)銀行核心資本充足率影響因素實證分析[J];國際金融研究;2014年01期

本文編號：2331688