本文選題：商業(yè)銀行 + 流動性風(fēng)險�。� 參考：《揚(yáng)州大學(xué)》2017年碩士論文

【摘要】：作為特殊金融中介機(jī)構(gòu)的商業(yè)銀行,是當(dāng)代經(jīng)濟(jì)運(yùn)行中的重要樞紐,因而其在國家的經(jīng)濟(jì)發(fā)展和金融系統(tǒng)中占據(jù)了不可或缺的地位。然而,隨著經(jīng)濟(jì)全球化的不斷深入,金融市場的逐步開放,商業(yè)銀行業(yè)面臨著更加復(fù)雜多變的風(fēng)險,并且在經(jīng)濟(jì)危機(jī)中易最先受到威脅。先前數(shù)次的金融危機(jī)、2008年的次貸危機(jī)以及2013年的錢荒均說明了流動性風(fēng)險是其他各類風(fēng)險最后的外在體現(xiàn)形式,是導(dǎo)致銀行的流動性危機(jī)甚至是其破產(chǎn)的重要因素,并且商業(yè)銀行經(jīng)營的高杠桿性決定了其進(jìn)行流動性風(fēng)險管理的重要性,因此,商業(yè)銀行的流動性風(fēng)險的管理也越來越受到了國內(nèi)外的學(xué)者、金融監(jiān)管機(jī)構(gòu)以及社會公眾的重視。2014年,我國頒布了流動性風(fēng)險管理的辦法,將商業(yè)銀行的流動性風(fēng)險管理提升到了一個新高度�；诖饲樾�,本文對有關(guān)我國商業(yè)銀行的流動性風(fēng)險的問題展開了研究。本文首先闡明了研究意義、研究目的及研究思路等,簡述了現(xiàn)有的文獻(xiàn)關(guān)于流動性風(fēng)險內(nèi)涵、影響因素、計量和管理的研究成果。其次對流動性風(fēng)險的相關(guān)概念及理論進(jìn)行了闡述,并且從內(nèi)部、外部以及其他風(fēng)險轉(zhuǎn)換的角度討論了銀行流動性風(fēng)險的形成機(jī)制,亦整理了流動性風(fēng)險管理理論的發(fā)展脈絡(luò)。然后,本文簡要列舉了測量商業(yè)銀行的流動性風(fēng)險的靜態(tài)指標(biāo)和動態(tài)指標(biāo),并結(jié)合了我國商業(yè)銀行的具體情況對多項(xiàng)指標(biāo)進(jìn)行了深入地分析;因目前衡量指標(biāo)較多且比較分散,本文采用了主成分分析法將多個指標(biāo)整合成一個綜合指標(biāo),并使用我國商業(yè)銀行的實(shí)際數(shù)值來較為全面地測量其流動性風(fēng)險,為進(jìn)一步深入探究商業(yè)銀行的流動性風(fēng)險的影響因素提供必要前提。基于上述對于商業(yè)銀行流動性風(fēng)險的測量,本文運(yùn)用了 12家樣本銀行的相關(guān)數(shù)據(jù),選取了可體現(xiàn)宏觀經(jīng)濟(jì)發(fā)展和銀行自身經(jīng)營狀況的部分變量,通過面板數(shù)據(jù)模型來實(shí)證探究影響銀行流動性風(fēng)險的因素。最后,總結(jié)了有關(guān)銀行流動性風(fēng)險的度量和影響因素的實(shí)證結(jié)果,其表明商業(yè)銀行的流動性風(fēng)險受多種因素的影響,并且銀行內(nèi)部因素對流動性風(fēng)險的影響高于外部因素;此外,本文從我國的宏觀經(jīng)濟(jì)發(fā)展情況、監(jiān)管水平以及商業(yè)銀行自身的經(jīng)管狀況這三個層面提出了有關(guān)促進(jìn)商業(yè)銀行的流動性風(fēng)險管理的政策建議。
[Abstract]:As a special financial intermediary institution, commercial bank is an important hub in the contemporary economic operation, so it occupies an indispensable position in the national economic development and financial system. However, with the deepening of economic globalization and the gradual opening of financial markets, commercial banks are facing more complex and changeable risks and are the first to be threatened in the economic crisis. The previous financial crises, the subprime mortgage crisis in 2008 and the money shortage in 2013 all showed that liquidity risk is the last external manifestation of other kinds of risks, and is an important factor leading to the liquidity crisis of banks and even their bankruptcy. And the high leverage of commercial banks determines the importance of liquidity risk management. Therefore, the liquidity risk management of commercial banks has been more and more by domestic and foreign scholars. In 2014, China promulgated the method of liquidity risk management, which promoted the liquidity risk management of commercial banks to a new height. Based on this situation, this paper studies the liquidity risk of commercial banks in China. In this paper, the significance, purpose and thinking of the research are expounded, and the research results on the connotation of liquidity risk, influencing factors, measurement and management are briefly described. Secondly, the related concepts and theories of liquidity risk are expounded, and the formation mechanism of liquidity risk in banks is discussed from the perspective of internal, external and other risk conversion, and the development of liquidity risk management theory is also sorted out. Then, this paper briefly enumerates the static and dynamic indexes to measure the liquidity risk of commercial banks, and makes a deep analysis of many indicators according to the specific situation of commercial banks in China, because there are more and more scattered indexes at present. In this paper, the principal component analysis (PCA) is used to integrate multiple indicators into one comprehensive index, and the actual value of commercial banks in China is used to measure the liquidity risk comprehensively. In order to further explore the liquidity risk of commercial banks to provide the necessary premise. Based on the above measurement of the liquidity risk of commercial banks, this paper uses the relevant data of 12 sample banks to select some variables that can reflect the macroeconomic development and the banks' own operating conditions. Through panel data model to explore the impact of bank liquidity risk factors. Finally, the paper summarizes the empirical results about the measurement of bank liquidity risk and the influencing factors. It shows that the liquidity risk of commercial banks is affected by many factors, and the influence of internal factors on liquidity risk is higher than that of external factors. In addition, this paper puts forward some policy suggestions on promoting liquidity risk management of commercial banks from the three aspects of macro-economic development, supervision level and management situation of commercial banks themselves.
【學(xué)位授予單位】：揚(yáng)州大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.33

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本文編號：1934813