發(fā)布時間：2018-01-26 21:51

  本文關(guān)鍵詞： 銀行風(fēng)險 資本結(jié)構(gòu) 因子分析 固定效應(yīng)模型　出處：《吉林大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：商業(yè)銀行在我國金融體系中處于核心地位,對維持經(jīng)濟穩(wěn)健發(fā)展發(fā)揮著至關(guān)重要的作用。而商業(yè)銀行是經(jīng)營貨幣資本的特殊企業(yè),其存在和發(fā)展必須與風(fēng)險相伴。資本結(jié)構(gòu)作為銀行的重要特征,不僅影響銀行的價值創(chuàng)造,更在一定程度上影響其抵御風(fēng)險的能力。隨著金融市場的改革和發(fā)展,我國商業(yè)銀行的資本結(jié)構(gòu)正在經(jīng)歷一系列的變化,這將成為完善資本結(jié)構(gòu)以增強風(fēng)險防范能力、提升銀行競爭力的一個重要契機。本文研究的資本結(jié)構(gòu)包括兩方面的含義。一是銀行債務(wù)資本和權(quán)益資本之間的比例關(guān)系,即融資結(jié)構(gòu);二是銀行債權(quán)資本和股權(quán)資本各自內(nèi)部的構(gòu)成比例關(guān)系,即股權(quán)結(jié)構(gòu)和債務(wù)結(jié)構(gòu)。本文首先從理論上分析資本結(jié)構(gòu)對銀行風(fēng)險的影響機理,然后從信用風(fēng)險、流動性風(fēng)險和風(fēng)險抵補能力三個維度選取不良貸款率、流動性比例、資本充足率等8個風(fēng)險指標,應(yīng)用因子分析的方法得到風(fēng)險綜合得分。在此基礎(chǔ)上,應(yīng)用面板數(shù)據(jù)建立固定效應(yīng)模型檢驗資本結(jié)構(gòu)如何影響銀行風(fēng)險。在衡量指標的選擇方面,本文的風(fēng)險代理指標為經(jīng)因子分析方法計算的風(fēng)險綜合得分,而資本結(jié)構(gòu)變量從融資結(jié)構(gòu)、股權(quán)結(jié)構(gòu)和債務(wù)結(jié)構(gòu)三個方面選擇具有代表性的指標;在回歸模型的設(shè)定方面,本文在資本結(jié)構(gòu)的框架下,針對股權(quán)結(jié)構(gòu)和債務(wù)結(jié)構(gòu)進行更深入的研究。在股權(quán)結(jié)構(gòu)方面不僅研究不同控股股東性質(zhì)和股權(quán)集中度對風(fēng)險的影響,而且對其交互作用進行分析。在債務(wù)結(jié)構(gòu)方面,檢驗了存款負債比的非線性影響和次級債的市場約束作用。通過對實證結(jié)果的分析,結(jié)合相關(guān)理論,本文從融資結(jié)構(gòu)、股權(quán)結(jié)構(gòu)、債務(wù)結(jié)構(gòu)三個方面提出政策建議。在融資結(jié)構(gòu)方面,銀行應(yīng)降低負債權(quán)益比,適當(dāng)提升內(nèi)源性融資比例;在股權(quán)結(jié)構(gòu)方面,銀行應(yīng)增加多種性質(zhì)股東,多元化投資主體,保持適度分散的股權(quán)結(jié)構(gòu)。另外,對控股股東不同銀行應(yīng)進行差異化管理。具體來說,政府控股銀行、國企控股銀行應(yīng)避免出現(xiàn)過高的股權(quán)集中度,而其他性質(zhì)法人控股銀行可在現(xiàn)有的較分散的股權(quán)結(jié)構(gòu)的基礎(chǔ)上適當(dāng)增加股權(quán)集中度,降低風(fēng)險;在債務(wù)結(jié)構(gòu)方面,銀行應(yīng)選擇適當(dāng)?shù)拇婵钬搨什l(fā)行次級債,豐富債務(wù)結(jié)構(gòu),降低其面臨的風(fēng)險水平。
[Abstract]:Commercial banks are at the core of the financial system in China and play a vital role in maintaining the steady development of the economy. However, commercial banks are special enterprises operating monetary capital. Its existence and development must be accompanied by risk. As an important characteristic of banks, capital structure not only affects the value creation of banks. With the reform and development of financial market, the capital structure of commercial banks in China is undergoing a series of changes. This will become to improve the capital structure to enhance risk prevention capacity. The capital structure studied in this paper includes two meanings. One is the proportional relationship between bank debt capital and equity capital, that is, the financing structure; The second is the proportion relationship between creditor's capital and equity capital, that is, equity structure and debt structure. Firstly, this paper analyzes the influence mechanism of capital structure on bank risk in theory, and then analyzes the credit risk from the perspective of credit risk. The three dimensions of liquidity risk and risk offset ability choose non-performing loan ratio, liquidity ratio, capital adequacy ratio and other eight risk indicators, and use factor analysis method to get risk comprehensive score. Using panel data to establish a fixed effect model to test how the capital structure affects the risk of banks. In the selection of indicators, the risk agent index is calculated by factor analysis method of risk synthesis score. The capital structure variable selects the representative index from the financing structure, the equity structure and the debt structure. In terms of the establishment of regression model, this paper is based on the framework of capital structure. In the aspect of equity structure, we not only study the influence of different controlling shareholder nature and ownership concentration on risk. In terms of debt structure, the nonlinear effect of deposit to debt ratio and the market constraint of secondary debt are tested. Through the analysis of empirical results, combined with the relevant theory. This paper puts forward some policy suggestions from three aspects: financing structure, equity structure and debt structure. In the aspect of financing structure, banks should reduce the ratio of debt to equity and increase the proportion of endogenous financing. In the aspect of equity structure, banks should increase many kinds of shareholders, diversify investment subjects and maintain moderately dispersed equity structure. In addition, different banks with controlling shareholders should be managed differently. The government holding bank, the state-owned enterprise holding bank should avoid the excessively high equity concentration degree, but other nature legal person holding bank may increase the stock right concentration degree and reduce the risk on the basis of the existing more dispersed equity structure; In the aspect of debt structure, banks should choose appropriate deposit debt ratio and issue subordinated debt to enrich the debt structure and reduce the risk level.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.33;F830.42

【參考文獻】

相關(guān)期刊論文 前10條

1 吳建華;;我國上市銀行資本結(jié)構(gòu)與風(fēng)險規(guī)避實證分析[J];山西財政稅務(wù)�？茖W(xué)校學(xué)報;2014年05期

2 鄧雄;;商業(yè)銀行股權(quán)結(jié)構(gòu)與冒險行為、破產(chǎn)風(fēng)險關(guān)系的實證研究——基于14家上市商業(yè)銀行面板數(shù)據(jù)的分析[J];上海經(jīng)濟研究;2014年04期

3 程茂勇;趙紅;;股權(quán)結(jié)構(gòu)、上市狀況和風(fēng)險——來自中國商業(yè)銀行的經(jīng)驗研究[J];管理工程學(xué)報;2013年03期

4 仇榮國;謝悅英;;上市商業(yè)銀行信用風(fēng)險與資本結(jié)構(gòu)關(guān)系實證分析[J];財會通訊;2012年35期

5 左婷婷;孫玉榮;;上市商業(yè)銀行資本結(jié)構(gòu)與風(fēng)險關(guān)系研究[J];中國經(jīng)貿(mào)導(dǎo)刊;2012年24期

6 崔澤園;趙瑞;;中國商業(yè)銀行的資本結(jié)構(gòu)與風(fēng)險規(guī)避——基于“三性”原則的分析[J];山西大學(xué)學(xué)報(哲學(xué)社會科學(xué)版);2011年06期

7 楊有振;趙瑞;;中國商業(yè)銀行風(fēng)險規(guī)避與股權(quán)結(jié)構(gòu):基于面板數(shù)據(jù)的經(jīng)驗與證據(jù)[J];財貿(mào)經(jīng)濟;2010年06期

8 喻鑫;莊毓敏;李威;;我國銀行次級債券市場約束效應(yīng)趨勢分析[J];管理世界;2009年11期

9 曹艷華;牛筱穎;;上市銀行治理機制對風(fēng)險承擔(dān)的影響(2000～2007)[J];金融論壇;2009年01期

10 王倩;黃艷艷;;商業(yè)銀行資本結(jié)構(gòu)與風(fēng)險承擔(dān)的實證分析[J];濟南金融;2007年10期

，

本文編號：1466688