本文選題：商業(yè)銀行 + 資產(chǎn)負(fù)債管理��； 參考：《武漢大學(xué)》2013年博士論文

【摘要】：本輪金融危機(jī)充分暴露出資本監(jiān)管的缺陷,為此巴塞爾委員會(huì)制定了第三版巴塞爾協(xié)議,采取嚴(yán)格資本監(jiān)管標(biāo)準(zhǔn)、引入流動(dòng)性監(jiān)管要求等一系列措施,以促進(jìn)商業(yè)銀行的穩(wěn)健運(yùn)行,這些監(jiān)管變革勢(shì)必對(duì)商業(yè)銀行的資產(chǎn)負(fù)債管理產(chǎn)生深刻影響。 本文結(jié)合巴塞爾協(xié)議Ⅲ在中國(guó)的實(shí)踐,從資產(chǎn)負(fù)債總量和結(jié)構(gòu)安排、資本管理、流動(dòng)性管理及定價(jià)管理等4個(gè)方面,對(duì)中國(guó)商業(yè)銀行的資產(chǎn)負(fù)債管理現(xiàn)狀進(jìn)行了分析。研究結(jié)論表明,資產(chǎn)負(fù)債管理在中國(guó)商業(yè)銀行經(jīng)營(yíng)管理中正逐步受到重視,管理水平不斷得到提升,但在巴塞爾協(xié)議Ⅲ的框架下,資產(chǎn)負(fù)債管理仍具有一定的被動(dòng)性,資產(chǎn)負(fù)債管理目標(biāo)協(xié)調(diào)難度較大,資產(chǎn)負(fù)債結(jié)構(gòu)還不太合理,風(fēng)險(xiǎn)對(duì)沖手段有限。巴塞爾協(xié)議Ⅲ的實(shí)施顯著影響中國(guó)商業(yè)銀行的資產(chǎn)負(fù)債結(jié)構(gòu),促進(jìn)商業(yè)銀行謀求更廣的資金來(lái)源和更多的資金運(yùn)用渠道,降低資產(chǎn)負(fù)債的依存度；加大了資本充足率達(dá)標(biāo)壓力,反映出資本補(bǔ)充、風(fēng)險(xiǎn)資產(chǎn)管理精細(xì)化程度以及內(nèi)部資本管理機(jī)制的不完善；資本監(jiān)管加強(qiáng)后導(dǎo)致資產(chǎn)負(fù)債管理行為異化,帶來(lái)的流行性風(fēng)險(xiǎn)隱患不容忽視,同時(shí)流動(dòng)性風(fēng)險(xiǎn)監(jiān)測(cè)的缺陷,給流動(dòng)性管理帶來(lái)較大挑戰(zhàn)；在利率市場(chǎng)化加快推進(jìn)的過(guò)程中,商業(yè)銀行定價(jià)能力正在形成,但定價(jià)管理才剛起步,基礎(chǔ)工作尚顯薄弱�？傮w來(lái)看,中國(guó)商業(yè)銀行資產(chǎn)負(fù)債管理的理念、方法、工具與巴塞爾協(xié)議ⅡⅢ的要求還存在一定差距。 為更好地適應(yīng)巴塞爾協(xié)議Ⅲ實(shí)施后所帶來(lái)的新形勢(shì),中國(guó)商業(yè)銀行資產(chǎn)負(fù)債管理要順勢(shì)而為,加快轉(zhuǎn)變工作思路和管理理念,加快改革創(chuàng)新力度,從管理主線、完善措施、保障機(jī)制等方面,建立起穩(wěn)健的、可持續(xù)的資產(chǎn)負(fù)債管理體系。
[Abstract]:This round of financial crisis has fully exposed the defects of capital supervision. For this reason, the Basel Committee has formulated the third edition of the Basel Accord, adopted a series of measures such as strict capital supervision standards, introduction of liquidity supervision requirements, and so on. In order to promote the steady operation of commercial banks, these regulatory changes are bound to have a profound impact on the management of assets and liabilities of commercial banks. Based on the practice of Basel III in China, this paper analyzes the current situation of asset-liability management in Chinese commercial banks from four aspects: total amount and structure of assets and liabilities, capital management, liquidity management and pricing management. The results show that asset liability management is being paid more and more attention to in the management of Chinese commercial banks, and the management level has been improved constantly. However, under the framework of Basel III, asset liability management is still passive. The goal of asset liability management is difficult to coordinate, the structure of assets and liabilities is not reasonable, and the means of risk hedging are limited. The implementation of Basel III has significantly affected the asset-liability structure of Chinese commercial banks, promoted commercial banks to seek a wider source of funds and more channels for the use of funds, reduced the dependence on assets and liabilities, and increased the pressure on the capital adequacy ratio to meet the standards. Reflecting the capital supplement, the fine degree of risk asset management and the imperfection of the internal capital management mechanism, the strengthening of capital supervision leads to the dissimilation of assets and liabilities management behavior, and the hidden danger of epidemic risk can not be ignored. At the same time, the defects of liquidity risk monitoring bring greater challenges to liquidity management. In the process of accelerating the promotion of interest rate marketization, the pricing ability of commercial banks is being formed, but pricing management has just started, and the basic work is still weak. In general, there is still a gap between the concept, methods and tools of asset-liability management in Chinese commercial banks and the requirements of Basel II 鈪，

本文編號(hào)：1849736