【摘要】：2007年全球經(jīng)濟(jì)危機(jī)爆發(fā),使許多資本充足率符合統(tǒng)計(jì)監(jiān)管標(biāo)準(zhǔn)的系統(tǒng)重要性金融機(jī)構(gòu)面臨倒閉,進(jìn)而造成國金銀行體系遭到?jīng)_擊,而這次危機(jī)爆發(fā)的實(shí)質(zhì)是流動(dòng)性短缺的壓力,該風(fēng)險(xiǎn)來源于銀行為提高信用額度而導(dǎo)致的合同期限錯(cuò)配行為。因此,以資本監(jiān)管為核心的風(fēng)險(xiǎn)監(jiān)管理念開始受到質(zhì)疑,為了避免同類型的危機(jī)再次發(fā)生,各國監(jiān)管當(dāng)局開始提高對流動(dòng)性風(fēng)險(xiǎn)監(jiān)管的重視程度,國內(nèi)外理論界也針對流動(dòng)性風(fēng)險(xiǎn)成因、發(fā)展變遷、與經(jīng)濟(jì)環(huán)境、政策的相互關(guān)系、影響要素、巴塞爾協(xié)議Ⅲ新增的流動(dòng)性監(jiān)管內(nèi)容適用性等主要內(nèi)容做出了研究探討。同時(shí)巴塞爾協(xié)議新增了流動(dòng)性風(fēng)險(xiǎn)計(jì)量、標(biāo)準(zhǔn)和國際框架的內(nèi)容,將流動(dòng)性風(fēng)險(xiǎn)的統(tǒng)計(jì)監(jiān)管提升到與資本監(jiān)管同等重要的地位,構(gòu)建了更為全面穩(wěn)健的全面風(fēng)險(xiǎn)監(jiān)管框架,為國際銀行業(yè)的統(tǒng)一監(jiān)管提出了理論標(biāo)準(zhǔn)和依據(jù)。在這樣的金融發(fā)展背景下,本文以我國的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管發(fā)展為研究的主要內(nèi)容,主要研究對象包含我國已上市的13家主要商業(yè)銀行,從我國流動(dòng)性監(jiān)管的發(fā)展階段、發(fā)展水平、理論研究結(jié)論方面進(jìn)行較為全面的論述,并就流動(dòng)性風(fēng)險(xiǎn)監(jiān)管數(shù)據(jù)、和與巴塞爾協(xié)議Ⅲ相關(guān)內(nèi)容的比較分析說明流動(dòng)性風(fēng)險(xiǎn)監(jiān)管的現(xiàn)狀問題,包括流動(dòng)性風(fēng)險(xiǎn)治理結(jié)構(gòu)的依賴性與低效,流動(dòng)性風(fēng)險(xiǎn)監(jiān)管策略較為簡單零散,流動(dòng)性風(fēng)險(xiǎn)識別計(jì)量方式有待改進(jìn),監(jiān)管指標(biāo)體系有待加強(qiáng)、表外科目未并表管理帶來的監(jiān)管隱患,信息管理系統(tǒng)開發(fā)落后等。而發(fā)掘問題所在是為我國金融監(jiān)管主體加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)監(jiān)管的協(xié)調(diào)合作,制定穩(wěn)健有效的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管標(biāo)準(zhǔn)框架,為商業(yè)銀行調(diào)整流動(dòng)性風(fēng)險(xiǎn)監(jiān)管治理結(jié)構(gòu)、內(nèi)部監(jiān)管策略、量化流動(dòng)性風(fēng)險(xiǎn)提供改良的方向。另外對如何借鑒國際先進(jìn)的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管經(jīng)驗(yàn)提出方向性的建議。
[Abstract]:In 2007, the global economic crisis broke out, and the systemic importance financial institutions that made a lot of capital adequacy ratio conformed to the standard of statistical supervision were faced with the collapse of the financial institutions, which led to the impact of the national gold bank system. The essence of the crisis was the pressure of liquidity shortage, which came from the mismatch of the term of the contract due to the increase of the credit line. Therefore, the concept of risk supervision at the core of capital supervision has begun to be questioned. In order to avoid the recurrence of the same type of crisis, the regulatory authorities of various countries begin to raise the importance of the supervision of the convective risk. The theoretical circles both at home and abroad are also aiming at the causes of the liquidity risk, and the relationship with the economic environment and the policy. In addition, the main contents of the Basel Protocol III new liquidity supervision content are discussed. Meanwhile, the Basel agreement has added the content of liquidity risk measurement, standard and international framework, and promoted the statistical supervision of liquidity risk to the same important status as capital supervision, and built a more comprehensive and comprehensive and comprehensive comprehensive. The framework of risk regulation provides theoretical standards and basis for the unified supervision of international banking industry. Under such financial development, this paper focuses on the development of liquidity risk supervision in China as the main content. The main object of this study includes 13 major commercial banks in China, which are developed from the development stage of China's liquidity supervision. The level, the theoretical research conclusion is more comprehensive, and the liquidity risk supervision data, and the Basel Protocol III relative contents are compared and analyzed to explain the current situation of liquidity risk supervision, including the dependence and low efficiency of the liquidity risk management structure, the liquidity risk supervision strategy is simple and scattered, and the liquidity is relatively simple. The measurement method of risk identification needs to be improved, the regulatory index system needs to be strengthened, the hidden dangers from the outside table management and the development of the information management system are backward. The excavation problem is to strengthen the coordination and cooperation of the liquidity risk supervision for the financial regulators in China, and to formulate a robust and effective framework for the supervision of liquidity risk. For commercial banks to adjust the regulatory structure of liquidity risk regulation, internal regulatory strategies, and quantify liquidity risks, the direction of improvement is provided. In addition, suggestions on how to learn from the experience of international advanced liquidity risk supervision are put forward.
【學(xué)位授予單位】：對外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.33

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