【摘要】：從巴塞爾委員會(huì)于2010年底發(fā)布巴塞爾協(xié)議III以來(lái),加強(qiáng)和提高了國(guó)際流動(dòng)性風(fēng)險(xiǎn)監(jiān)管的一致性,金融體系的穩(wěn)定性得以進(jìn)一步提高。同步推進(jìn),我國(guó)監(jiān)管機(jī)構(gòu)對(duì)國(guó)內(nèi)商業(yè)銀行在該監(jiān)管框架上的計(jì)量實(shí)施總體上是優(yōu)良的,使得商業(yè)銀行的在風(fēng)險(xiǎn)加權(quán)資產(chǎn)、資本及其質(zhì)量、全面的風(fēng)險(xiǎn)管理的工作越來(lái)越全面、完善和精細(xì)化。雖然我國(guó)銀行業(yè)改革發(fā)展取得了令人矚目的成就,但要與我國(guó)日益龐大的實(shí)體經(jīng)濟(jì)需求相適應(yīng),與國(guó)際領(lǐng)先同業(yè)相比,仍需要較快且穩(wěn)健地發(fā)展。同時(shí)在流動(dòng)性方面也在不斷地積累問(wèn)題和風(fēng)險(xiǎn),對(duì)我國(guó)的監(jiān)管體系提出了新的挑戰(zhàn)和要求。總結(jié)以往的流動(dòng)性風(fēng)險(xiǎn)管理經(jīng)驗(yàn)以及應(yīng)對(duì)新的流動(dòng)性風(fēng)險(xiǎn)問(wèn)題需要深入地進(jìn)行研究。本文以流動(dòng)性風(fēng)險(xiǎn)管理體系為研究對(duì)象,通過(guò)廣泛閱讀相關(guān)文獻(xiàn)、深入研究各類風(fēng)險(xiǎn)管理理論和模型的基礎(chǔ)上,運(yùn)用定性定量實(shí)證分析方法探索流動(dòng)性風(fēng)險(xiǎn)的主要影響因素。文章首先研讀國(guó)內(nèi)外相關(guān)文獻(xiàn),歸納綜述風(fēng)險(xiǎn)管理尤其是流動(dòng)性風(fēng)險(xiǎn)管理的研究成果。在參考和借鑒大量研究成果的基礎(chǔ)上,建立本文的研究思路,為后文展開(kāi)研究指引了方向;其次,深入研究市場(chǎng)因素以及各類風(fēng)險(xiǎn)的內(nèi)容,并結(jié)合流動(dòng)性風(fēng)險(xiǎn)管理的內(nèi)容和特點(diǎn),為本文構(gòu)建理論基礎(chǔ);再次,運(yùn)用相關(guān)性分析和回歸分析模型等經(jīng)濟(jì)學(xué)術(shù)領(lǐng)域普遍應(yīng)用的定性分析方法,通過(guò)采集和處理國(guó)內(nèi)商業(yè)銀行各個(gè)風(fēng)險(xiǎn)指標(biāo)的數(shù)據(jù)和宏觀經(jīng)濟(jì)指標(biāo)數(shù)據(jù),構(gòu)建的多元線性回歸方程并定量方程中各變量的系數(shù),從而分析出各解釋變量對(duì)被解釋變量的影響程度,即各影響因素對(duì)流動(dòng)性風(fēng)險(xiǎn)的影響程度;最后,總結(jié)本文研究成果,并結(jié)合本文研究結(jié)論針對(duì)國(guó)內(nèi)商業(yè)銀行和市場(chǎng)監(jiān)管者提出建設(shè)性意見(jiàn),具有一定的現(xiàn)實(shí)意義和實(shí)踐價(jià)值。本文重點(diǎn)對(duì)信用風(fēng)險(xiǎn)、市場(chǎng)風(fēng)險(xiǎn)、流動(dòng)性風(fēng)險(xiǎn)、資本等影響因素使用其相對(duì)應(yīng)的監(jiān)測(cè)指標(biāo)和內(nèi)容,包括資本充足率、杠桿率、流動(dòng)性比率、存貸比、不良貸款率、市場(chǎng)利率、匯率、貨幣政策等,對(duì)流動(dòng)性覆蓋率進(jìn)行了實(shí)證分析。實(shí)證分析的結(jié)論表明,市場(chǎng)因素和資本因素以及流動(dòng)性風(fēng)險(xiǎn)因素與流動(dòng)性覆蓋率指標(biāo)是息息相關(guān)的,其中資本因素是影響流動(dòng)性覆蓋率的最主要因素,即是說(shuō)銀行自身因素是影響流動(dòng)性的主要因素,市場(chǎng)因素和信用風(fēng)險(xiǎn)因素因素雖然也有一定程度的影響,但是影響力度相對(duì)較小。在本文的結(jié)尾處,結(jié)合本文研究成果,為銀行業(yè)監(jiān)管層、商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理者們提出了相關(guān)的建議。
[Abstract]:Since the Basle Committee issued the III at the end of 2010, the consistency of international liquidity risk regulation has been strengthened and improved, and the stability of the financial system has been further improved. At the same time, the measurement and implementation of domestic commercial banks on this regulatory framework by our regulatory institutions is generally excellent, which makes the work of commercial banks in risk-weighted assets, capital and their quality, and comprehensive risk management more and more comprehensive. Perfect and fine. Although the reform and development of China's banking industry has made remarkable achievements, in order to adapt to the increasing demand of China's real economy, compared with the international leading peers, it still needs to develop quickly and steadily. At the same time, the liquidity is also accumulating problems and risks, which puts forward new challenges and requirements to the regulatory system of our country. Summing up the previous experience of liquidity risk management and dealing with new liquidity risk problems need to be deeply studied. This paper takes the liquidity risk management system as the research object, through extensive reading of relevant literature, deeply studies all kinds of risk management theories and models, and uses qualitative and quantitative empirical analysis methods to explore the main influencing factors of liquidity risk. First of all, this paper studies the relevant literature at home and abroad, summarizes the research results of risk management, especially liquidity risk management. On the basis of referring to and drawing lessons from a large number of research results, the research ideas of this paper are established, which guides the direction of the later research. Secondly, it deeply studies the market factors and the content of all kinds of risks, and combines the contents and characteristics of liquidity risk management to build a theoretical basis for this paper. Thirdly, by using qualitative analysis methods widely used in economic and academic fields, such as correlation analysis and regression analysis model, the data of risk indicators and macroeconomic indicators of domestic commercial banks are collected and processed. The multiple linear regression equation and the coefficient of each variable in the quantitative equation are constructed, and the influence degree of each explanatory variable on the explained variable, that is, the influence degree of each influencing factor on liquidity risk, is analyzed. Finally, it is of practical significance and practical value to summarize the research results of this paper and put forward constructive suggestions for domestic commercial banks and market regulators. This paper focuses on the corresponding monitoring indicators and contents for credit risk, market risk, liquidity risk, capital and other influencing factors, including capital adequacy ratio, leverage ratio, liquidity ratio, deposit-loan ratio, non-performing loan ratio, market interest rate. Exchange rate, monetary policy and so on, this paper makes an empirical analysis of liquidity coverage. The conclusion of empirical analysis shows that market factors and capital factors, as well as liquidity risk factors, are closely related to liquidity coverage indicators, among which capital factor is the most important factor affecting liquidity coverage. That is to say, the bank itself is the main factor affecting liquidity, although the market factors and credit risk factors also have a certain degree of impact, but the impact is relatively small. At the end of this paper, combined with the research results of this paper, some suggestions are put forward for the banking regulatory layer and the liquidity risk managers of commercial banks.
【學(xué)位授予單位】：對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.33
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本文編號(hào)：2478992