本文關(guān)鍵詞： 系統(tǒng)性風險 銀行間市場 矩陣法　出處：《湘潭大學》2014年碩士論文　論文類型：學位論文

【摘要】：2007年，美國次貸危機對全球金融體系和實體經(jīng)濟造成重創(chuàng)。于是，監(jiān)管者開始重新審視金融體系的穩(wěn)健性，將監(jiān)管重點從以往的微觀審慎監(jiān)管轉(zhuǎn)移到宏觀審慎監(jiān)管，更多地關(guān)注如何保障整個金融系統(tǒng)尤其是銀行系統(tǒng)的安全。由于銀行相互之間存在高度信貸關(guān)聯(lián)，單個銀行倒閉會引發(fā)一連串銀行或倒閉或遭受一定程度的資產(chǎn)損失，最終可能波及到整個金融體系。因此次貸危機之后，各國開始高度關(guān)注銀行間風險傳染效應(yīng)的評估和監(jiān)管。 本文依據(jù)矩陣法原理，基于2011年各上市銀行的年報數(shù)據(jù)，不考慮金融安全網(wǎng)的作用來模擬我國銀行間市場系統(tǒng)性風險。銀行同業(yè)往來狀況主要反映在銀行資產(chǎn)負債表的四個科目中，分別是存放同業(yè)、拆放同業(yè)、同業(yè)存放、同業(yè)拆放，每個科目按照交易對象及交易地區(qū)的不同，又劃分為境內(nèi)（外）同業(yè)、境內(nèi)（外）非銀行金融機構(gòu)四個子科目。本文首先將境內(nèi)非銀行金融機構(gòu)及境外同業(yè)往來數(shù)據(jù)剔除后對我國銀行間市場交易矩陣進行模擬，然后考慮到非銀行金融機構(gòu)在銀行同業(yè)交易中的比重不斷上升，將非銀行金融機構(gòu)的同業(yè)拆借數(shù)據(jù)包括在內(nèi)再次測算銀行間市場傳染風險，研究結(jié)果顯示：（1）系統(tǒng)性風險傳染程度除了與清償能力相關(guān)外，還與資產(chǎn)損失率θ相關(guān)，，θ越高，系統(tǒng)性風險波及的范圍越大，導致的后果越嚴重；（2）改進后的矩陣模型模擬銀行同業(yè)拆借市場的傳染風險時，五大國有銀行和興業(yè)銀行都成為風險傳染源，而改進之前的風險傳染源只有工商銀行，這說明與非銀行金融機構(gòu)的同業(yè)往來在上述傳染源銀行，尤其是在中國銀行、建設(shè)銀中和工商銀行中占據(jù)很大比例，由此才會產(chǎn)生數(shù)據(jù)樣本增加后的不同測算結(jié)果；（3）當θ=1時，中國銀行倒閉引起建設(shè)銀行資不抵債，同時建設(shè)銀行一旦倒閉同樣引起中國銀行倒閉，說明中國銀行、建設(shè)銀行同業(yè)往來密切；工商銀行倒閉引發(fā)中國銀行倒閉，但中國銀行倒閉并沒有使工商銀行倒閉，說明工商銀行在同業(yè)拆借市場中的抗風險能力較強；（4）在股份制商業(yè)銀行中，招商銀行的抗風險能力最強。
[Abstract]:In 2007, the subprime mortgage crisis in the United States caused heavy damage to the global financial system and the real economy. Therefore, regulators began to re-examine the soundness of the financial system, shifting the focus of supervision from microprudential supervision to macro-prudential supervision. Paying more attention to the security of the financial system as a whole, especially the banking system. Because of the high credit relationship between banks, the failure of a single bank can lead to a series of bank failures or some degree of asset losses, As a result, after the subprime mortgage crisis, countries began to pay close attention to the assessment and regulation of the contagion effect between banks. Based on the principle of matrix method and the annual report data of each listed bank in 2011, Without considering the role of the financial safety net, we can simulate the systemic risk in the interbank market in China. Interbank transactions are mainly reflected in the four subjects of the bank balance sheet, namely, depositing interbank, interbank depositing, interbank depositing, and interbank offering. Each subject is divided into domestic (external) peers according to the object of the transaction and the region in which it is traded. Four sub-subjects of domestic (external) non-bank financial institutions. Firstly, this paper simulates the interbank market transaction matrix of our country after the data of domestic non-bank financial institutions and foreign interbank transactions are removed. Then taking into account the increasing proportion of non-bank financial institutions in interbank transactions, including the interbank lending data of non-bank financial institutions, the risk of contagion in the interbank market is again measured. The results show that the degree of systemic risk contagion is not only related to solvency, but also to asset loss rate 胃. The higher 胃 is, the larger the scope of systemic risk spread is. The more serious the consequences, the more serious the improved matrix model is when it comes to simulating the contagion risk in the interbank lending market, the five major state-owned banks and industrial and commercial banks are both the source of risk contagion, while the only source of risk infection before the improvement is the Industrial and Commercial Bank. This shows that interbank exchanges with non-bank financial institutions account for a large proportion of the above-mentioned source banks, especially the Bank of China, and ICBC, which will result in different results after the increase of data samples.) when 胃 = 1:00, The failure of the Bank of China caused the China Construction Bank to be insolvent, and the collapse of the Construction Bank also led to the collapse of the Bank of China, indicating that the Bank of China and the Construction Bank had close interbank exchanges; the collapse of the Industrial and Commercial Bank of China caused the collapse of the Bank of China. However, the failure of Bank of China did not cause ICBC to fail, indicating that ICBC has stronger ability to resist risks in the interbank lending market. (4) among joint-stock commercial banks, China Merchants Bank has the strongest ability to resist risks.
【學位授予單位】：湘潭大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.3;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 李宗怡;李玉海;;我國銀行同業(yè)拆借市場“傳染”風險的實證研究[J];財貿(mào)研究;2005年06期

2 范小云;肖立晟;方斯琦;;危機損失、經(jīng)濟復蘇與金融結(jié)構(gòu)比較——什么樣的金融體系更能擺脫危機[J];當代經(jīng)濟科學;2011年02期

3 苗永旺;王亮亮;;金融系統(tǒng)性風險與宏觀審慎監(jiān)管研究[J];國際金融研究;2010年08期

4 李守偉;何建敏;;銀行系統(tǒng)性風險研究綜述[J];南京航空航天大學學報(社會科學版);2009年03期

5 馬君潞;范小云;曹元濤;;中國銀行間市場雙邊傳染的風險估測及其系統(tǒng)性特征分析[J];經(jīng)濟研究;2007年01期

6 包全永;銀行系統(tǒng)性風險的傳染模型研究[J];金融研究;2005年08期

7 李文泓;;關(guān)于宏觀審慎監(jiān)管框架下逆周期政策的探討[J];金融研究;2009年07期

8 周小川;;金融政策對金融危機的響應(yīng)——宏觀審慎政策框架的形成背景、內(nèi)在邏輯和主要內(nèi)容[J];金融研究;2011年01期

9 劉紅忠;趙玉潔;周冬華;;公允價值會計能否放大銀行體系的系統(tǒng)性風險[J];金融研究;2011年04期

10 陳耀輝;銀行系統(tǒng)風險評估方法研究[J];科研管理;2003年02期

本文編號：1512312