【摘要】：上個(gè)世紀(jì)七八十年代以來,伴隨著金融自由化進(jìn)度的不斷的深化,越來越多的金融技術(shù)的開發(fā)和應(yīng)用,西方的銀行業(yè)已經(jīng)慢慢從傳統(tǒng)吸收存款和發(fā)放貸款的業(yè)務(wù)中轉(zhuǎn)型成功,轉(zhuǎn)而做和非利息收入相關(guān)的銀行業(yè)務(wù),特別是衍生金融工具的使用,更是掀起了業(yè)務(wù)轉(zhuǎn)型的浪潮,繼而成為銀行利潤來源的重要組成部分。 在國內(nèi),隨著市場(chǎng)化進(jìn)程的不斷發(fā)展的深化,商業(yè)銀行之間的競(jìng)爭(zhēng)也變的越來越激烈,一方面,我國商業(yè)的盈利模式發(fā)生了變化,單靠存貸利息差取得的利潤的傳統(tǒng)模式受到挑戰(zhàn),各大銀行紛紛開始拓展自己的中間業(yè)務(wù),這其中,衍生金融工具就起到了非常重要的作用,衍生金融工具展現(xiàn)出了非常強(qiáng)勢(shì)的一面,另一方面,金融衍生品因?yàn)槠涓吒軛U,復(fù)雜程度高的因素,其潛藏這巨大的危險(xiǎn),而且一些監(jiān)管機(jī)構(gòu)對(duì)于衍生金融工具的監(jiān)管有一些力不從心。因此,為了提高中國商業(yè)銀行的價(jià)值,增加銀行盈利模式的種類,提升銀行自身的競(jìng)爭(zhēng)力,研究衍生金融工具是非常有必要的,而且研究銀行衍生金融工具交易的決定因素有著非常深遠(yuǎn)的意義。 本文一開始介紹了金融衍生品的概念,介紹了衍生金融工具的風(fēng)險(xiǎn)理論、套期保值理論和投資收益不確定理論。對(duì)我國商業(yè)銀行衍生金融工具的發(fā)展現(xiàn)狀做了詳細(xì)分析,分別描述了我國商業(yè)銀行發(fā)展金融衍生工具的背景,我國商業(yè)銀行金融衍生工具的現(xiàn)狀以及我國商業(yè)銀行發(fā)展衍生金融工具的制約因素,我國商業(yè)銀行衍生金融工具交易的風(fēng)險(xiǎn)特征及風(fēng)險(xiǎn)傳導(dǎo)等內(nèi)容。對(duì)影響我國商業(yè)銀行衍生品交易的決定因素做實(shí)證分析,以我國14家上市商業(yè)銀行為研究對(duì)象,采用面板數(shù)據(jù)分析方法,以衍生金融工具的交易量為被解釋變量,解釋變量分別從資產(chǎn)變量指標(biāo)、盈利能力指標(biāo)、流動(dòng)性指標(biāo)、安全性指標(biāo)、發(fā)展能力指標(biāo)中選取,結(jié)合運(yùn)用EXCEL和EVIEWS軟件做回歸分析,最終得出結(jié)論。 第一章,緒論,闡述了我國國內(nèi)上市商業(yè)銀行應(yīng)用衍生金融工具的背景；介紹了國內(nèi)外研究衍生品交易量決定因素的現(xiàn)狀。然后介紹了論文的本篇文章創(chuàng)新點(diǎn)和不足點(diǎn)。 第二章,詳細(xì)闡述了衍生金融產(chǎn)品的理論知識(shí)。本章第一節(jié)先對(duì)衍生金融工具和其業(yè)務(wù)進(jìn)行了理論解釋,先是介紹了一下全球金融創(chuàng)新的背景,后對(duì)傳統(tǒng)金融工具和金融衍生工具做了對(duì)比,然后又介紹了金融衍生業(yè)務(wù)的發(fā)展和重要性,隨后對(duì)商業(yè)銀行衍生金融工具進(jìn)行分類,主要分以下幾個(gè)部分,利率期貨、期權(quán),外匯期貨、期權(quán),黃金期貨,權(quán)益類期貨、期權(quán)；第二節(jié)對(duì)衍生金融工具在商業(yè)銀行經(jīng)營中的重要性進(jìn)行分析,主要從投機(jī)、交易和套期保值理論這三個(gè)方面對(duì)衍生金融工具的重要性做一個(gè)介紹；第三節(jié)對(duì)衍生金融工具的風(fēng)險(xiǎn)理論做了詳細(xì)闡述其中主要是對(duì)銀行衍生金融工具面臨的操作風(fēng)險(xiǎn),市場(chǎng)風(fēng)險(xiǎn)和信用風(fēng)險(xiǎn)做一個(gè)比較詳細(xì)的闡述：第四節(jié)對(duì)衍生金融工具的套期保值理論進(jìn)行了概述,先是闡述了衍生金融工具套期保值的動(dòng)機(jī),主要從對(duì)沖匯率風(fēng)險(xiǎn),控制成本規(guī)避現(xiàn)貨價(jià)格風(fēng)險(xiǎn),投機(jī)等幾個(gè)進(jìn)行了說明,然后對(duì)衍生金融工具的套期保值財(cái)務(wù)風(fēng)險(xiǎn)的控制策略進(jìn)行了說明,分別從規(guī)范期貨業(yè)務(wù)流程,建設(shè)專業(yè)的套期保值團(tuán)隊(duì),加強(qiáng)衍生金融工具的財(cái)務(wù)信息披露等幾個(gè)方面論述。第五節(jié)論述了衍生金融工具的收益不確定理論。 第三章,主要概述了我國商業(yè)銀行金融衍生工具的發(fā)展現(xiàn)狀,第一節(jié)描述了我國商業(yè)銀行發(fā)展衍生金融工具的背景,一開始先是對(duì)商業(yè)銀行綜合經(jīng)營的大趨勢(shì)進(jìn)行描述,然后分別闡述了金融脫媒現(xiàn)象和利率市場(chǎng)化的問題；第二節(jié)對(duì)我國商業(yè)銀行衍生金融業(yè)務(wù)的現(xiàn)狀做了分析,先是描述了國內(nèi)商業(yè)銀行從事衍生品交易的歷史和交易量,然后又對(duì)我國商業(yè)銀行從事的衍生品的種類進(jìn)行了分析；第三節(jié)提出了我國商業(yè)銀行金融業(yè)務(wù)存在的問題,主要包括內(nèi)部管理機(jī)制的不完善,關(guān)聯(lián)公司公用一個(gè)保證金賬戶時(shí)可能產(chǎn)生的問題,缺乏定價(jià)能力和產(chǎn)品設(shè)計(jì)能力,缺乏人才,衍生工具應(yīng)用領(lǐng)域狹窄,各地發(fā)展不平衡,監(jiān)管機(jī)構(gòu)設(shè)置不當(dāng),立法不夠健全,信息披露不夠規(guī)范等反面進(jìn)行闡述；第三節(jié)探索性的論述了我國商業(yè)銀行發(fā)展衍生金融業(yè)務(wù)的機(jī)遇和空間,先是介紹了國際衍生金融工具市場(chǎng)發(fā)展的趨勢(shì)背景,又闡述了國際國內(nèi)金融監(jiān)管的完善對(duì)商業(yè)銀行衍生品業(yè)務(wù)的開展提供了必要條件,后說明了商業(yè)銀行為了增加收益和增強(qiáng)競(jìng)爭(zhēng)力加強(qiáng)了對(duì)衍生金融工具的應(yīng)用,后又闡述了因?yàn)槭袌?chǎng)風(fēng)險(xiǎn)的加大對(duì)衍生金融工具應(yīng)用的必要性,最后說明了場(chǎng)內(nèi)衍生金融工具的出現(xiàn)大大增強(qiáng)了衍生金融業(yè)務(wù)的市場(chǎng)條件。 第四章,對(duì)國內(nèi)上市銀行衍生品交易的決定因素的實(shí)證研究。第一節(jié)是對(duì)樣本種類的選擇和數(shù)據(jù)的來源進(jìn)說明整理分析,文章一共選取了14家上市銀行作為樣本,金融衍生品交易數(shù)據(jù)主要來自于各大銀行年報(bào)、金融時(shí)報(bào)、中國貨幣網(wǎng)、巨潮網(wǎng)2007-2011年公布的年度數(shù)據(jù)；第二節(jié)是對(duì)變量的設(shè)定,本文從五個(gè)方面選取變量：資產(chǎn)變量指標(biāo)、盈利能力指標(biāo)、流動(dòng)性指標(biāo)、安全性指標(biāo)、發(fā)展能力指標(biāo),其中資產(chǎn)變量指標(biāo)是銀行總資產(chǎn),流動(dòng)性指標(biāo)包括資產(chǎn)負(fù)債率,盈利變量包括,加權(quán)平均凈資產(chǎn)收益率,成本收入率,資產(chǎn)利潤率,安全性指標(biāo)包括,資本充足率、不良貸款率,發(fā)展能力指標(biāo)包括稅后利潤增長率；第三節(jié),模型的設(shè)定采用面板數(shù)據(jù)模型；第四節(jié)對(duì)數(shù)據(jù)進(jìn)行面板數(shù)據(jù)分析,從分析結(jié)果中得出結(jié)論如下：國內(nèi)上市銀行衍生金融工具交易量主要受到1.資產(chǎn)變量指標(biāo)：銀行總資產(chǎn)2.安全性指標(biāo)：資產(chǎn)負(fù)債率資本充足率3.盈利能力指標(biāo)：加權(quán)平均凈資產(chǎn)收益率4.發(fā)展能力指標(biāo)：稅后利潤增長率的影響,其中銀行資產(chǎn)總量、稅后利潤增長率、加權(quán)平均凈資產(chǎn)收益率對(duì)衍生金融工具的交易量呈現(xiàn)正相關(guān)的促進(jìn)作用,其他幾個(gè)變量呈現(xiàn)負(fù)相關(guān)的促進(jìn)作用。國內(nèi)上市銀行利率衍生金融工具交易量主要受到1.資產(chǎn)變量指標(biāo)：銀行總資產(chǎn)2.安全性指標(biāo)：資產(chǎn)負(fù)債率3.發(fā)展能力指標(biāo)：稅后利潤增長率的影響,其中資產(chǎn)總量,稅后利潤增長率對(duì)利率衍生金融工具呈現(xiàn)正相關(guān)促進(jìn)作用,其他變量呈現(xiàn)負(fù)相關(guān)促進(jìn)作用。 第五章,結(jié)論、建議和展望。第一節(jié)對(duì)核心思想進(jìn)行總結(jié)闡述,第二節(jié)提出政策建議,第三節(jié)對(duì)銀行業(yè)衍生金融工具未來的發(fā)展做出展望。 文章的創(chuàng)新點(diǎn)：1.由于中國衍生金融工具市場(chǎng)發(fā)展相對(duì)落后,市場(chǎng)數(shù)據(jù)披露不多,對(duì)于國內(nèi)衍生金融工具交易的決定因素更是鮮有涉及,本文選自14家國內(nèi)上市銀行作為研究對(duì)象,運(yùn)用截面數(shù)據(jù)分析方法,對(duì)國內(nèi)衍生品交易的決定因素進(jìn)行分析,在題目選擇上是創(chuàng)新的。2.文章研究內(nèi)容所涉及的因素更加合理,國外文獻(xiàn)中關(guān)于衍生金融工具交易的研究方向比較單一,或是單對(duì)風(fēng)險(xiǎn),或是對(duì)收益績效,得出的結(jié)論也是比較局限的,本文分別從資產(chǎn)變量的影響、公司盈利能力變量的因素、公司財(cái)務(wù)杠桿變量這幾方面全面尋找對(duì)衍生品交易產(chǎn)生影響的因素,內(nèi)容比較完整。
[Abstract]:Since the seventies of the last century, with the deepening of the progress of financial liberalization and the development and application of more and more financial technology, the western banking industry has gradually transformed from the traditional business of absorbing deposits and loans, In turn, the use of financial instruments related to non-interest income, especially the use of derivative financial instruments, has set off a wave of business transformation, and then becomes an important part of the source of bank profits. In the country, with the deepening of the development of the market-oriented process, the competition between the commercial banks is becoming more and more intense. On the one hand, the profit model of the business of our country has changed, and the traditional model of the profit obtained by the difference of the deposit and loan interest alone is selected The major banks are beginning to expand their intermediate business, which has played a very important role in the derivatives of financial instruments and, on the other hand, financial derivatives because of their high leverage and high complexity It's a great danger, and some regulators don't have some leverage on the regulation of derivative financial instruments Therefore, in order to increase the value of the Chinese commercial bank, to increase the type of the bank's profit model, to improve the competitiveness of the bank itself, it is necessary to study the derivative financial instruments, and it is very far-reaching to study the determinants of the transaction of the bank-derived financial instruments. In this paper, the concept of financial derivatives is introduced, and the risk theory, hedging theory and investment income of derivative financial instruments are introduced. The paper makes a detailed analysis of the present situation of the development of the derivative financial instruments of China's commercial banks, and describes the background of the development of the financial derivatives, the present situation of the financial derivatives of the commercial banks of our country and the system of the development of the derivative financial instruments of the commercial banks in our country. The Risk Characteristics and the Risk Transmission of the Transaction of the Derivative Financial Instruments of Commercial Banks in China Based on the empirical analysis of the determinants of the derivatives trading in China's commercial banks, the paper takes 14 listed commercial banks of our country as the research objects, and uses the panel data analysis method. The trading volume of the derivative financial instruments is explained as the explanatory variable, and the explanatory variables are changed from the asset to the other. The quantitative index, the profitability index, the liquidity index, the safety index and the development ability index are selected, and the regression analysis is performed in combination with the EXCEL and the EVIWS software, and the final result The first chapter, the introduction, expounds the background of the application of derivative financial instruments in China's domestic market-listed commercial banks, and introduces the determination of the trading volume of the derivatives at home and abroad. The present situation of the factors is introduced, and the article is introduced in this paper. Points and underpoints. Chapter II, elaborates on the derivative finance The first part of this chapter first introduces the background of the global financial innovation, then compares the traditional financial instruments and the financial derivatives, and then introduces the financial derivative business. The development and importance of the derivative financial instruments of commercial banks are classified mainly by the following parts: interest rate futures, options, foreign exchange futures, options, gold futures, equity futures and options; and the second section of the derivative financial instruments in the operation of commercial banks This paper analyzes the importance of derivative financial instruments, mainly from the three aspects of the theory of speculation, trading and hedging. The operating risk, market risk and credit risk of derivative financial instruments are described in detail: the fourth section provides an overview of the hedging theory of derivative financial instruments, first, the motivation of the hedging of derivative financial instruments is described, mainly from the risk of the hedging exchange rate and the control cost rules. In order to avoid the risk of spot price, speculation and so on, the control strategy of the financial risk of the hedging of derivative financial instruments is described, and the financial information disclosure of derivative financial instruments is enhanced from the standard futures business process, the construction of the professional hedging team and the strengthening of the derivative financial instruments, respectively. In section V, the paper discusses the derivative financial instruments. The third chapter mainly summarizes the development of the financial derivatives of commercial banks in China. The first section describes the background of China's commercial banks' development of derivative financial instruments. In the second section, the paper analyzes the present situation of China's commercial bank-derived financial business, first, it describes the domestic commercial banks' work on the derivatives The paper analyses the history and trading volume of the transaction, and then analyzes the types of the derivatives of the commercial bank of our country. The third part puts forward the problems of the financial business of the commercial bank of our country, mainly including the imperfect of the internal management mechanism and the public deposit account of the related company. Possible problems in households, lack of pricing power and product design capacity, lack of talent, narrow application area of derivative instruments, unbalanced development of various parts, improper arrangement of regulatory authorities, inadequate legislation and insufficient information disclosure In the third section, the paper discusses the opportunity and space of China's commercial bank's development and derivative financial business, first introduces the trend background of the development of the international derivative financial instrument market, and expounds the perfection of the international domestic financial supervision to the commercial bank's derivative business. The necessary conditions are provided, and then the application of the commercial bank to the derivative financial instruments has been strengthened in order to increase the income and enhance the competitiveness. The necessity of the application of the financial tools, and finally, the emergence of the derivative financial instruments in the field has greatly enhanced the derivation The market conditions of the financial business. Chapter four, the exchange of derivatives of domestic listed banks The first part is the analysis of the choice of the sample kind and the source of the data. The paper selects 14 listed banks as the sample, and the data of the financial derivatives mainly comes from the annual report of the major banks, the financial times, the Chinese currency network and the giant tide network 2007-2. The first section is the annual data published in 011. The second section is the setting of the variable. The variable is selected from five aspects: the asset variable index, the profitability index, the liquidity index, the safety index and the development ability index, in which the asset variable index is the total assets, the flow of the bank, The mobility index includes the asset-liability ratio, the profit variable includes, the weighted average net assets yield, the cost income rate, the asset profit rate, the security index including, the capital adequacy ratio, the non-performing loan rate, the development ability index including the after-tax profit growth rate, the third section, the model, The panel data model is adopted for setting the data, and the data is analyzed by panel data analysis in the fourth section, and the result of the analysis is as follows: the domestic market-listed bank-derived gold The trading volume of the melting tool is mainly affected by 1. Assets Variable index: total assets of bank 2. Safety index: Asset-liability ratio capital adequacy ratio 3. Profitability index: Weighted average net assets yield 4. Development capacity index: the effect of the rate of after-tax profit growth, in which the total amount of the bank assets, the rate of after-tax profit growth, the weighted average net assets yield have a positive effect on the trading volume of the derivative financial instruments, and the other several changes The promotion of negative correlation between domestic market-listed bank interest rate and domestic market-listed bank interest rate The trading volume of the melting tool is mainly affected by 1. Assets Variable index: total assets of the bank: 2.an Total sex index: debt-liability ratio 3. Development capacity index: the effect of after-tax profit growth rate, in which total assets and after-tax profit growth rate have positive correlation to interest rate derivative financial instruments, and others There was a negative correlation between the two variables. Chapter 5, conclusions, suggestions and prospects. The first section summarizes the core ideas, section II puts forward the policy suggestions, and the third section is derived from the banking industry. The Future Development of Financial Instruments The innovation point of the article is:1. Since the development of China's derivative financial instruments is relatively backward, the market data is not much disclosed, and the decision factors for the domestic derivative financial instruments transaction are very few, and this paper is selected from 14 domestic listed banks The study object, using the method of cross-section data analysis, carries on the decision factors of the domestic derivative trade In this paper, the author makes an analysis on the selection of the subject.2. The factors involved in the study are more reasonable, the research direction of the foreign literature on the transaction of derivative financial instruments is single, or the risk, or the performance of the income, the conclusion is also the comparison bureau. At the same time, the paper, from the influence of the asset variables, the factors of the company's profitability, and the financial leverage of the company, is to find the derivatives in a comprehensive way.
【學(xué)位授予單位】：西南財(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)】：F832.33;F832.5

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