本文選題：流動(dòng)風(fēng)險(xiǎn)管理　切入點(diǎn)：不完全契約　出處：《安徽大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：風(fēng)險(xiǎn)管理是商業(yè)銀行業(yè)務(wù)運(yùn)營(yíng)的永恒主題。流動(dòng)性風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)、操作風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)共同構(gòu)成商業(yè)銀行的四大主要風(fēng)險(xiǎn)。流動(dòng)性風(fēng)險(xiǎn)危害巨大,不僅對(duì)商業(yè)銀行是一個(gè)致命的風(fēng)險(xiǎn),而且由于風(fēng)險(xiǎn)的傳導(dǎo)機(jī)制,對(duì)整個(gè)金融體系甚至國(guó)民經(jīng)濟(jì)都會(huì)造成巨大的破壞。2013年6月20日,上海銀行同業(yè)間隔夜回購(gòu)利率飆升至前所未有的30%,七天回購(gòu)利率也一度高達(dá)28%,而這兩個(gè)利率在近年來(lái)一直低于3%。此次利率大幅波動(dòng)的根本原因是市場(chǎng)流動(dòng)性不足。長(zhǎng)期以來(lái),由于有國(guó)家做信用背書(shū),我國(guó)商業(yè)銀行未能對(duì)流動(dòng)性風(fēng)險(xiǎn)給予足夠的關(guān)注。此外伴隨著金融市場(chǎng)的進(jìn)一步放開(kāi)和外部金融市場(chǎng)環(huán)境的日益復(fù)雜,商業(yè)銀行已經(jīng)開(kāi)始暴露出越來(lái)越多的問(wèn)題,如資產(chǎn)負(fù)債結(jié)構(gòu)單一、期限錯(cuò)配嚴(yán)重等,這些問(wèn)題無(wú)疑都將增加流動(dòng)性風(fēng)險(xiǎn)管理的難度。不完全契約理論作為現(xiàn)代經(jīng)濟(jì)學(xué)標(biāo)準(zhǔn)分析工具之一,在企業(yè)治理、產(chǎn)權(quán)結(jié)構(gòu)等領(lǐng)域得到廣泛的應(yīng)用。2016年10月10日,瑞典皇家科學(xué)院宣布,奧利弗·哈特和本特·霍爾姆斯特倫共同獲得2016年度諾貝爾經(jīng)濟(jì)學(xué)獎(jiǎng),以表彰他們對(duì)不完全契約理論方面的研究貢獻(xiàn),不完全契約的巨大解釋力再一次引發(fā)人們的關(guān)注。本文以此為契機(jī),提出了從不完全契約理論的角度來(lái)研究商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理這一問(wèn)題。在內(nèi)容上以流動(dòng)性風(fēng)險(xiǎn)管理為主線,結(jié)合不完全契約理論分析了流動(dòng)性風(fēng)險(xiǎn)管理的契約不完全性。然后以HS銀行為研究對(duì)象,探究了 HS銀行的流動(dòng)性風(fēng)險(xiǎn)管理問(wèn)題,對(duì)HS銀行的流動(dòng)性風(fēng)險(xiǎn)管理現(xiàn)狀進(jìn)行了分析,最后結(jié)合不完全契約理論,提出相應(yīng)的改進(jìn)建議。本文共分為五個(gè)組成部分。第一部分是緒論,介紹了論文的研究背景和意義、結(jié)構(gòu)框架以及創(chuàng)新點(diǎn)等。第二部分為理論綜述部分。首先解釋流動(dòng)性風(fēng)險(xiǎn)的相關(guān)概念、形成原因和分類,并對(duì)流動(dòng)性風(fēng)險(xiǎn)管理的主要理論進(jìn)行了闡述;其次介紹了不完全契約的相關(guān)概念、成因以及相關(guān)理論。最后重點(diǎn)探究了流動(dòng)性風(fēng)險(xiǎn)契約屬性,并指出流動(dòng)性風(fēng)險(xiǎn)管理契約不完全的原因、后果以及治理原則。第三部分以HS銀行為例,通過(guò)分析HS銀行的主要流動(dòng)性衡量指標(biāo),結(jié)合HS銀行流動(dòng)性風(fēng)險(xiǎn)管理的現(xiàn)狀,指出HS銀行在流動(dòng)性風(fēng)險(xiǎn)管理上存在的問(wèn)題。第四部分結(jié)合不完全契約理論,從正式契約、關(guān)系契約以及心理契約三個(gè)角度,針對(duì)HS銀行存在的問(wèn)題提出相應(yīng)改進(jìn)建議。第五部分是結(jié)論和展望部分,總結(jié)了本文的研究,指出本文的不足,并為進(jìn)一步研究提供了思路。
[Abstract]:Risk management is the eternal theme of commercial bank business operation. Liquidity risk, interest rate risk, operational risk and credit risk constitute the four main risks of commercial banks. Not only is it a fatal risk to commercial banks, but also because of the transmission mechanism of risk, it will cause enormous damage to the entire financial system and even to the national economy. In June 20th 2013, The overnight repo rate among Shanghai banks soared to an unprecedented 30, and the seven-day repo rate was once as high as 28 percent, which has been below $3.00 in recent years. The root cause of this sharp fluctuation in interest rates is the lack of liquidity in the market for a long time. As a result of credit endorsement, Chinese commercial banks fail to pay enough attention to liquidity risk. In addition, with the further liberalization of financial markets and the increasing complexity of the external financial market environment, Commercial banks have begun to expose more and more problems, such as the single structure of assets and liabilities, the serious mismatch of maturity and so on. These problems will undoubtedly increase the difficulty of liquidity risk management. As one of the modern economic standard analysis tools, incomplete contract theory has been widely used in corporate governance, property structure and other fields. In October 10th 2016, The Royal Swedish Academy of Sciences announced that Oliver Hart and Ben Holmes Trent were awarded the 2016 Nobel Prize in Economics for their contributions to the theory of incomplete contracts. The great explanatory power of incomplete contract has once again aroused people's attention. This paper puts forward the theory of incomplete contract to study the liquidity risk management of commercial banks. Combined with incomplete contract theory, this paper analyzes the incompleteness of liquidity risk management. Then, taking HS Bank as the research object, this paper probes into the liquidity risk management of HS Bank, and analyzes the current situation of liquidity risk management in HS Bank. Finally, combining the incomplete contract theory, the corresponding improvement suggestions are put forward. This paper is divided into five parts. The first part is the introduction, which introduces the research background and significance of the paper. The second part is a review of the theory. Firstly, it explains the related concepts of liquidity risk, causes and classification, and expounds the main theory of liquidity risk management. Secondly, it introduces the related concepts, causes and relevant theories of incomplete contract. Finally, it focuses on the nature of liquidity risk contract, and points out the reasons of incomplete liquidity risk management contract. The third part takes HS Bank as an example, through the analysis of the main liquidity measurement indicators of HS Bank, combined with the current situation of liquidity risk management in HS Bank. This paper points out the problems in liquidity risk management of HS Bank. Part 4th combines the theory of incomplete contract from three angles: formal contract, relationship contract and psychological contract. The 5th part is the conclusion and prospect part, summarizes the research of this paper, points out the deficiency of this paper, and provides the train of thought for further research.
【學(xué)位授予單位】：安徽大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.2

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 張運(yùn)龍;高磊;許爭(zhēng);曾昭旭;;經(jīng)濟(jì)新常態(tài)下的中國(guó)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)結(jié)構(gòu)變化與挑戰(zhàn)[J];現(xiàn)代管理科學(xué);2017年03期

2 楊子榮;鄭雨靜;;為什么契約理論獲得2016年諾貝爾經(jīng)濟(jì)學(xué)獎(jiǎng)?[J];銀行家;2017年01期

3 翁一;;2016經(jīng)濟(jì)學(xué)諾獎(jiǎng):現(xiàn)代契約理論的深化[J];中國(guó)經(jīng)濟(jì)報(bào)告;2016年11期

4 劉志洋;宋玉穎;;商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)與系統(tǒng)性風(fēng)險(xiǎn)貢獻(xiàn)度[J];南開(kāi)經(jīng)濟(jì)研究;2015年01期

5 石永惠;;商業(yè)銀行流動(dòng)性危機(jī)成因及管理探析——關(guān)于2013年銀行“錢荒”事件的反思[J];農(nóng)村金融研究;2014年08期

6 曾剛;李廣子;;商業(yè)銀行流動(dòng)性影響因素研究[J];金融監(jiān)管研究;2013年10期

7 陳穎;紀(jì)曉峰;;流動(dòng)性風(fēng)險(xiǎn)管理新工具的背景與影響:基于危機(jī)視角的考察[J];國(guó)際金融研究;2013年09期

8 李巖;;不完全契約理論視角下的政府失靈分析[J];經(jīng)濟(jì)與管理;2013年03期

9 柏培文;;委托代理的四種契約關(guān)系[J];商業(yè)研究;2011年02期

10 高漢祥;;不完全契約視角下的財(cái)務(wù)治理機(jī)制分析[J];經(jīng)濟(jì)經(jīng)緯;2008年03期

，

本文編號(hào)：1620687