【摘要】：近年來,由于經濟增長速度的放緩和產業(yè)結構調整進展遠落后于預期,國內制造業(yè)企業(yè)的產能過�，F(xiàn)象不容樂觀。間接融資在我國社會融資體系里面占據主導地位,相關行業(yè)的運行狀況對商業(yè)銀行的風險承擔水平有很大的影響。2016年,國務院,人民銀行先后出臺指導意見,明確在守住金融系統(tǒng)風險底線的前提下,加快解決相關行業(yè)的產能過�，F(xiàn)象,壓縮產能過剩行業(yè)企業(yè)的債務水平。因此研究產能過剩行業(yè)債務與商業(yè)銀行風險承擔的關系有很強的現(xiàn)實意義。本文首先對商業(yè)銀行風險承擔與產能過剩進行了系統(tǒng)的分析研究,進而運用數據包絡分析法測算了我國25個行業(yè)的產能利用率,明確了樣本行業(yè)中哪些存在產能過�，F(xiàn)象。然后利用KMV模型測算了樣本行業(yè)的債務違約率作為商業(yè)銀行風險承擔的代理變量,利用Tobit模型建模進行回歸分析,分析結果表明行業(yè)的產能過�，F(xiàn)象將使行業(yè)債務違約率提高,進而提高商業(yè)銀行的風險承擔水平。為進一步完善商業(yè)應行的風險承擔機制,把控商業(yè)銀行風險承擔水平,本文給出了以下建議:第一強化信息披露,提高企業(yè)和商業(yè)銀行的信息透明度。第二提高商業(yè)銀行的風險識別能力,建立風險預警機制。第三進一步完善商業(yè)銀行經營模式和公司治理結構。
[Abstract]:In recent years, due to the slowdown of economic growth and the progress of industrial structure adjustment, the overcapacity of domestic manufacturing enterprises is not optimistic. Indirect financing plays a leading role in China's social financing system, and the operation of related industries has a great impact on the level of risk-bearing of commercial banks. In 2016, the State Council and the people's Bank of China successively issued guidance. Under the premise of keeping the bottom line of financial system risk, we should speed up solving the overcapacity phenomenon in related industries and reduce the debt level of enterprises in overcapacity industries. Therefore, it is of great practical significance to study the relationship between overcapacity industry debt and commercial banks' risk-taking. In this paper, the risk assumption and overcapacity of commercial banks are systematically analyzed and studied, and then the utilization ratio of capacity in 25 industries in China is calculated by using data envelopment analysis, and the phenomenon of overcapacity in the sample industries is determined. Then using KMV model to calculate the debt default rate of the sample industry as a proxy variable for commercial banks to bear the risk, using the Tobit model to model regression analysis, the analysis results show that the industry overcapacity phenomenon will make the industry debt default rate increase. And then improve the level of risk assumption of commercial banks. In order to further improve the risk-bearing mechanism of commercial banks and control the level of risk-bearing of commercial banks, this paper gives the following suggestions: first, strengthen information disclosure and improve the transparency of information of enterprises and commercial banks. Second, improve the risk identification ability of commercial banks and establish risk warning mechanism. Third, further improve the business model of commercial banks and corporate governance structure.
【學位授予單位】：對外經濟貿易大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33
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本文編號：2412161