本文關(guān)鍵詞： 商業(yè)銀行 資產(chǎn)負(fù)債管理 流動(dòng)性風(fēng)險(xiǎn) 期限錯(cuò)配 優(yōu)化方法　出處：《東北財(cái)經(jīng)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：流動(dòng)性風(fēng)險(xiǎn)是商業(yè)銀行面臨的“最致命的風(fēng)險(xiǎn)”。銀行的流動(dòng)性不僅會(huì)影響商業(yè)銀行的信譽(yù)和盈利能力,在極端情況下,還會(huì)導(dǎo)致銀行破產(chǎn),當(dāng)這一風(fēng)險(xiǎn)從銀行體系蔓延到實(shí)體經(jīng)濟(jì)中時(shí),就會(huì)使整個(gè)國(guó)家經(jīng)濟(jì)陷入困境,導(dǎo)致經(jīng)濟(jì)危機(jī)。2008年金融危機(jī)中有上百年歷史的國(guó)際大銀行的倒閉,給銀行敲響了流動(dòng)性警鐘,使銀行開始重視流動(dòng)性風(fēng)險(xiǎn)。 全球金融危機(jī)案例表明,銀行危機(jī)的實(shí)質(zhì)在于資產(chǎn)負(fù)債配置失誤而導(dǎo)致的流動(dòng)性危機(jī),而配置失誤的其中一個(gè)重要方面就是商業(yè)銀行資產(chǎn)負(fù)債的期限錯(cuò)配,也就是資金來(lái)源短期化,資金運(yùn)用長(zhǎng)期化。這種期限錯(cuò)配是商業(yè)銀行盈利的常態(tài)手段,同時(shí)也蘊(yùn)含著流動(dòng)性風(fēng)險(xiǎn)。在經(jīng)濟(jì)形勢(shì)穩(wěn)定的情況下,這種錯(cuò)配可以依靠活期存款循環(huán)來(lái)支撐。但是當(dāng)期限錯(cuò)配嚴(yán)重,經(jīng)濟(jì)形勢(shì)發(fā)生改變時(shí),短期資金不足以應(yīng)對(duì)客戶對(duì)短期資金的提取,則容易誘發(fā)商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn),因此,資產(chǎn)負(fù)債期限錯(cuò)配程度分析是衡量商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的一個(gè)重要方法。 過(guò)去,由于宏觀流動(dòng)性的充裕和居民高儲(chǔ)蓄現(xiàn)象的存在,商業(yè)銀行能很容易地以較低成本獲得資金。從2007年起,我國(guó)商業(yè)銀行開始全面對(duì)外開放,面臨來(lái)自其他外資銀行的競(jìng)爭(zhēng),隨著股份制銀行的發(fā)展和城市商業(yè)銀行的興起,同業(yè)競(jìng)爭(zhēng)也越來(lái)越激烈。近年來(lái),我國(guó)商業(yè)銀行存款短期化、貸款長(zhǎng)期化趨勢(shì)明顯。同時(shí),存款增速的減緩和貸款增速的加快增大了我國(guó)商業(yè)銀行面臨的流動(dòng)性風(fēng)險(xiǎn)。因此,從資產(chǎn)負(fù)債期限錯(cuò)配角度研究商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn),具有現(xiàn)實(shí)意義。 為了合理配置銀行的資產(chǎn)負(fù)債期限結(jié)構(gòu),在銀行日常管理中,進(jìn)行合理的資產(chǎn)負(fù)債管理很重要。資產(chǎn)負(fù)債管理是在一定負(fù)債總量和結(jié)構(gòu)的前提下,以安全性、流動(dòng)性和盈利性的協(xié)調(diào)為目標(biāo),對(duì)銀行資產(chǎn)進(jìn)行合理配置的一種綜合平衡管理方法。資產(chǎn)負(fù)債管理方法是當(dāng)今商業(yè)銀行進(jìn)行經(jīng)營(yíng)管理的重要方法之一。 本文應(yīng)用銀行資產(chǎn)負(fù)債管理理論,建立了以銀行利息收益最大化為目標(biāo)函數(shù)、以資產(chǎn)負(fù)債的期限匹配和商業(yè)銀行監(jiān)管法規(guī)為約束條件的資產(chǎn)負(fù)債結(jié)構(gòu)優(yōu)化模型,來(lái)限制期限錯(cuò)配程度并為商業(yè)銀行風(fēng)險(xiǎn)管理提供決策意見。在模型中,利用HP濾波法得到活期存款的長(zhǎng)期穩(wěn)定部分,并將其作為長(zhǎng)期存款來(lái)源進(jìn)行資產(chǎn)分配。本文通過(guò)案例分析和模型敏感性分析,證明模型的可用性。 在實(shí)證分析方面,本文以15家上市銀行為例,將其存款結(jié)構(gòu)分別輸入資產(chǎn)負(fù)債優(yōu)化模型,得到各自最優(yōu)解中中長(zhǎng)期資產(chǎn)占比,然后將模型結(jié)果與真實(shí)情況作對(duì)比,來(lái)衡量銀行資產(chǎn)負(fù)債期限錯(cuò)配的狀況,判定其面臨的流動(dòng)性風(fēng)險(xiǎn)大小。通過(guò)實(shí)證分析,可以得到如下結(jié)論：我國(guó)商業(yè)銀行普遍存在期限錯(cuò)配的問(wèn)題,其中國(guó)有商業(yè)銀行期限錯(cuò)配程度比其他商業(yè)銀行要高,股份制商業(yè)銀行總體比國(guó)有銀行錯(cuò)配程度低,城市商業(yè)銀行相互差別很大；商業(yè)銀行長(zhǎng)期穩(wěn)定資金來(lái)源增加,可以增加最優(yōu)解中中長(zhǎng)期資產(chǎn)占比。 最后,本文在實(shí)證分析的基礎(chǔ)之上,針對(duì)期限錯(cuò)配問(wèn)題為商業(yè)銀行提出了一些建議,期望能夠?yàn)槲覈?guó)銀行業(yè)在流動(dòng)性風(fēng)險(xiǎn)管理方面提供一些參考。
[Abstract]:The liquidity risk of commercial banks is facing the most deadly risk. The bank's liquidity will not only affect the commercial bank's reputation and profitability, in extreme cases, can lead to bankruptcy, when the spread of the risk from the banking system to the real economy, will make the whole national economic difficulties, resulting in hundreds of years of history of the international big bank failures of economic crisis.2008 financial crisis, liquidity to banks sounded the alarm, the bank began to pay attention to liquidity risk.
The case shows that the global financial crisis, liquidity crisis essence of bank crisis is the allocation of assets and liabilities caused by the mistakes and errors, the allocation of one important aspect is the commercial bank assets and liabilities maturity mismatch, which is short-term funding, long-term use of funds. The term mismatch is the norm means of profit in commercial bank at the same time, also contains a liquidity risk. In the economic situation is stable, this mismatch can depend on the current deposit cycle to support. But the current limit mismatch is serious, the economic situation changes, short-term funds will not be sufficient to deal with the customer on the extraction of short-term funds to the liquidity risk of commercial banks, by so balance the degree of maturity mismatch analysis is an important method to measure the liquidity risk of commercial banks.
In the past, due to the macro ample liquidity and high household savings phenomenon, commercial banks can easily obtain funds at low cost. Since 2007, China's commercial banks began opening, from other facing the competition of foreign banks, with the rise of the development of joint-stock banks and city commercial banks, interbank the competition is increasingly fierce. In recent years, China's commercial bank deposits and short-term loans, long-term trend is obvious. At the same time, deposit growth slowed and loan growth accelerated to increase liquidity risk in China's commercial banks. Therefore, the liquidity risk from the asset liability maturity mismatch angle of commercial bank, has the reality meaning.
In order to rationally allocate the assets of the bank debt maturity structure, in the daily management of the bank, it is important for asset liability management. Reasonable management of assets and liabilities in the premise of certain liabilities in quantity and structure, to coordinate security, liquidity and profitability as the goal, a comprehensive balance management method for the rational allocation of silver for assets. The asset liability management is an important method for management of the commercial bank.
Asset liability management based on the theory of the bank, established with the largest bank interest income as the objective function, the optimization model of the structure of assets and liabilities to assets and liabilities of commercial bank supervision regulations and the term matching as the constraint conditions, to limit the degree of maturity mismatch and provide suggestions of risk management of commercial banks. In the model, long-term stability part of the demand deposits by using the HP filtering method, and as a long-term source of deposits for asset allocation. Through case analysis and model sensitivity analysis to prove the usability of the model.
In the empirical analysis, this paper takes 15 listed banks as an example, the structure of the deposit are input balance optimization model, get their optimal solution in long-term assets ratio, and the model results are compared with the real situation, to measure the bank assets and liabilities maturity mismatch, liquidity risk facing to determine its size. Through empirical analysis, the conclusions are as follows: common term mismatch problems of commercial banks in China, the term of the state-owned commercial bank mismatch degree than other commercial banks, joint-stock commercial banks than the state-owned banks overall mismatch degree low, city commercial banks are very different; commercial banks long-term stable funding increase, can increase the optimal solution in long-term assets ratio.
Finally, based on the empirical analysis, this paper puts forward some suggestions for commercial banks in view of the term mismatch problem, hoping to provide some references for China's banking industry in the aspect of liquidity risk management.

【學(xué)位授予單位】：東北財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F830.42;F832.33

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