本文選題：上市國有銀行 + 長期風險　； 參考：《遼寧大學》2017年碩士論文

【摘要】：中國與世界經(jīng)濟的聯(lián)系越來越緊密,這在促進金融業(yè)之間相互交流取長補短的基礎(chǔ)上,也促進了國際銀行業(yè)的發(fā)展。但是,隨之而來的風險也日趨加劇,尤其是2008年金融危機以來,給世界金融業(yè)敲響了警鐘。國際金融的自由化和金融的不斷開放使得銀行作為金融體系的核心風險不斷加劇,很容易由于某個國家區(qū)域性風險引發(fā)整個世界的金融危機。因此,如何有效的防范和規(guī)避銀行風險,并制定策略減少銀行風險對于實體經(jīng)濟的影響,已經(jīng)成為中國各個監(jiān)管機構(gòu)關(guān)注的焦點。加之中國處于經(jīng)濟轉(zhuǎn)型重要時期,如何防范國際乃至國內(nèi)銀行之間的風險傳染,已經(jīng)成為銀行業(yè)風險檢測的重要組成部分。首先,文章以中國工商銀行為例,利用銀行日收益率數(shù)據(jù)對工商銀行的短期風險值進行模擬。在分析中,對數(shù)據(jù)是否滿足ARCH類模型進行分析,最后分析得出符合ARCH類模型要求。最終對ARCH、GARCH、EGARCH等進行模擬,并列表分析了各個模型處理數(shù)據(jù),最終選取EGARCH模型的整個過程,得出具體的風險值。在分析中,我們以中國五家國有上市銀行作為研究對象,分析各個銀行股票日收益、上證指數(shù)和銀行指數(shù)的長短期風險。其次,文章利用模型分析影響銀行長期風險的各個宏觀經(jīng)濟影響因素。在總結(jié)前人分析基礎(chǔ)和結(jié)合當今經(jīng)濟發(fā)展現(xiàn)狀基礎(chǔ)上,選取了六個宏觀經(jīng)濟指標,并構(gòu)建了向量自回歸模型,對影響銀行長期風險波動的宏觀經(jīng)濟影響因素進行實證分析。最后,具體分析各個變量對風險的具體影響,以及傳導過程。最后,通過對五家銀行進行模擬和銀行業(yè)長期風險和宏觀影響因素進行分析,我們可以分析風險研究結(jié)果:第一,ARCH類模型通過各個種類的比較分析,很好的解釋了自2010年至2016年的風險狀況,并很好的模擬了中國經(jīng)濟轉(zhuǎn)型時期的風險。即當前五家上市國有銀行長期風險較為穩(wěn)定,并處于國家銀監(jiān)會合理范圍內(nèi)。通過短期和長期風險的分別測量,我們可以很好的應對風險,采取有針對性的措施。第二,對五大國有銀行進行對比,風險均值相差不多,但是風險波動情況相差很大,尤其是交通銀行,應該加大風險防范,其他銀行根據(jù)自己實際情況進行適當調(diào)整,爭取把風險控制在合理范圍內(nèi)。最后的實證分析顯示:GDP、CPI、HP及匯率的增長率對長期風險影響較大,對整個經(jīng)濟運行有較大影響。
[Abstract]:China and the world economy are more and more closely linked, which not only promotes the mutual exchange between the financial industry, but also promotes the development of the international banking industry. However, the attendant risks are becoming more and more serious, especially since the 2008 financial crisis, which has sounded the alarm bell for the world financial industry. The liberalization of international finance and the continuous opening of finance make banks as the core risk of the financial system continuously aggravated, it is easy to cause the whole world financial crisis because of the regional risk of a country. Therefore, how to effectively prevent and avoid bank risk, and formulate strategies to reduce the impact of bank risk on the real economy, has become the focus of Chinese regulators. In addition, China is in an important period of economic transition, how to prevent the risk contagion between international and domestic banks has become an important part of banking risk detection. Firstly, taking ICBC as an example, the paper simulates the short-term risk value of ICBC by using the data of daily rate of return. In the analysis, whether the data meets the ARCH class model is analyzed, and finally, it is found that the data meets the requirements of the ARCH class model. Finally, the paper simulates the EGARCH model, and analyzes the processing data of each model in parallel table. Finally, the whole process of EGARCH model is selected, and the specific risk value is obtained. In the analysis, we take five state-owned listed banks in China as the research object, and analyze the long-term and short-term risk of each bank's stock daily income, Shanghai stock index and bank index. Secondly, the paper uses the model to analyze the macro-economic factors that affect the long-term risks of banks. On the basis of summing up the previous analysis basis and combining with the present economic development situation, this paper selects six macroeconomic indicators, and constructs a vector autoregressive model to make an empirical analysis of the macroeconomic impact factors that affect the long-term risk volatility of banks. Finally, the specific impact of each variable on the risk, as well as the conduction process. Finally, through the simulation of five banks and the analysis of the long-term risk and macroscopical factors of banking, we can analyze the results of risk research: first, through the comparative analysis of various types of arch model, A good explanation of the risks from 2010 to 2016, and a good simulation of the risks of China's economic transition. That is, the five listed state-owned banks have a stable long-term risk and are within the reasonable scope of the CBRC. Through the short-term and long-term risk measurement, we can deal with the risk well, take targeted measures. Second, comparing the five major state-owned banks, the average value of risk is not much different, but the fluctuation of risk is very different. Especially the Bank of Communications, we should step up risk prevention, and other banks should make appropriate adjustments according to their actual situation. Try to keep the risk within a reasonable range. Finally, the empirical analysis shows that the growth rate of the CPIHP and the exchange rate have a great influence on the long-term risk and the whole economic operation.
【學位授予單位】：遼寧大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33

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