本文選題：流動風險管理　切入點：不完全契約　出處：《安徽大學》2017年碩士論文　論文類型：學位論文

【摘要】：風險管理是商業(yè)銀行業(yè)務(wù)運營的永恒主題。流動性風險、利率風險、操作風險和信用風險共同構(gòu)成商業(yè)銀行的四大主要風險。流動性風險危害巨大,不僅對商業(yè)銀行是一個致命的風險,而且由于風險的傳導機制,對整個金融體系甚至國民經(jīng)濟都會造成巨大的破壞。2013年6月20日,上海銀行同業(yè)間隔夜回購利率飆升至前所未有的30%,七天回購利率也一度高達28%,而這兩個利率在近年來一直低于3%。此次利率大幅波動的根本原因是市場流動性不足。長期以來,由于有國家做信用背書,我國商業(yè)銀行未能對流動性風險給予足夠的關(guān)注。此外伴隨著金融市場的進一步放開和外部金融市場環(huán)境的日益復雜,商業(yè)銀行已經(jīng)開始暴露出越來越多的問題,如資產(chǎn)負債結(jié)構(gòu)單一、期限錯配嚴重等,這些問題無疑都將增加流動性風險管理的難度。不完全契約理論作為現(xiàn)代經(jīng)濟學標準分析工具之一,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)濟學獎,以表彰他們對不完全契約理論方面的研究貢獻,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,提出了從不完全契約理論的角度來研究商業(yè)銀行流動性風險管理這一問題。在內(nèi)容上以流動性風險管理為主線,結(jié)合不完全契約理論分析了流動性風險管理的契約不完全性。然后以HS銀行為研究對象,探究了 HS銀行的流動性風險管理問題,對HS銀行的流動性風險管理現(xiàn)狀進行了分析,最后結(jié)合不完全契約理論,提出相應(yīng)的改進建議。本文共分為五個組成部分。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)新點等。第二部分為理論綜述部分。首先解釋流動性風險的相關(guān)概念、形成原因和分類,并對流動性風險管理的主要理論進行了闡述;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。最后重點探究了流動性風險契約屬性,并指出流動性風險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,通過分析HS銀行的主要流動性衡量指標,結(jié)合HS銀行流動性風險管理的現(xiàn)狀,指出HS銀行在流動性風險管理上存在的問題。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角度,針對HS銀行存在的問題提出相應(yīng)改進建議。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.
【學位授予單位】：安徽大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.2

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