论巴塞尔资本协议Ⅲ下我国商业银行流动性风险管理

发布时间：2017-12-31 08:27

本文关键词：论巴塞尔资本协议Ⅲ下我国商业银行流动性风险管理　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：商业银行的流动性风险具有极强的传染力、破坏力，是银行最致命的风险之一。尤其是在2008年全球金融危机爆发,使得商业银行流动性监管存在的问题凸显。巴塞尔资本协议Ⅲ是此次金融危机之后巴塞尔委员会出台的新一轮金融监管改革举措，此次改革将流动性监管提升到与资本监管同样重要的位置，提出了流动性覆盖率和净稳定资金比例两个全球统一的监管指标，引领全球商业银行实施更为严格、更为精细的监管。在我国，商业银行流动性一直处于较为充足的状态，但近年来由于我国银行业对外开放程度的加大、资本跨国流动更加自由，一些潜藏的流动性风险开始显现，国家隐性担保的作用渐渐开始淡出，因此我国商业银行加强流动性风险管理成为当务之急。为此，我国银监会在2011年10月起草了《商业银行流动性风险管理办法（试行）》（征求意见稿），旨在构建更为精细化、专业化的流动性风险管理体系。在此国内外新形势下，我国商业银行流动性风险管理值得关注和研究。本文共分为五个部分：第一章分析了的选题意义及研究背景，回顾了国内外学者对商业银行流动性风险管理的相关研究成果，同时指出本文的创新之处及不足。第二章介绍了巴塞尔资本协议Ⅲ中流动性风险管理的相关概念及监管革新之处。本章首先提出了商业银行流动性风险的定义及流动性风险监管历史演进的四个阶段；其次分析了后危机时代流动性风险监管原则、两个新监管指标及五个监管工具；最后分析流动性风险监管新框架的特点及其在长期和短期对银行业的影响。第三章通过我国商业银行相关数据分析出目前商业银行存在的流动性风险隐患，指出宏观经济政策对银行流动性的影响以及目前我国银行业流动性风险监管存在的缺陷。本章首先指出由不良贷款、资产负债期限错配、过高的贷款比重、银行业的全面开放等因素带来的流动性风险隐患；其次分析了货币政策、政府隐性担保、金融市场如何影响商业银行流动性；最后指出我国商业银行流动性监管存在的三个问题：银行内部管理动力不足、流动性指标体系存在局限、对现金流关注不够。第四章通过分析国际上流动性风险监管的优秀经验，指出我国商业银行可以借鉴之处，同时也提出了国际上流动性监管的改革趋势及展望。本章先是分析了英国的差别化监管、德意志银行“工具箱”管理方式对优化我国商业银行流动性风险管理带来的启示；后又指出了国际上流动性风险监管重视扩大监管范围、强化单体金融机构监管、加强监管的国际合作、注重事前监管这些改革趋势。最后一章指出我国银行业监管部门应该在巴塞尔资本协议Ⅲ的指导下，认清流动性覆盖率和净稳定资金比例在我国的适用情况，在流动性监管指标的选择上应更加重视动态监管指标的引入、更加关注宏观经济政策的影响、关注国际金融业务中的流动性风险、设计更为灵活的监管指标等；通过引导银行拓展融资渠道、实施分类监管、加强期限错配及现金流管理、颁布流动性风险指导性限额这四个方面分析监管部门应逐步改善并推动监管理念；更为重要的是,商业银行应通过管理意识的增强、风险内控体系的完善、专门的流动性风险管理部门的设置等方式来提高自身控制流动性风险的能力。
[Abstract]:The liquidity risk of commercial banks is extremely contagious and destructive, is one of the most deadly bank risk. Especially the outbreak of the global financial crisis in 2008, which highlights the supervision of commercial bank liquidity problems. Basel Capital Accord is after the financial crisis the Basel Committee issued a new round of financial regulatory reform initiatives this reform, the liquidity regulation as important as regulatory capital position, put forward the liquidity coverage ratio and net stable funding ratio of the two global regulatory indicators, the world's leading commercial banks implement more stringent, more fine regulation. In our country, the liquidity of commercial banks has been in a more adequate the state, but in recent years due to the increase in the openness of China's banking industry, cross-border capital flows more freely, some potential liquidity risks began to appear, the country hidden The guarantee function gradually began to fade out, so China's commercial banks to strengthen liquidity risk management has become a pressing matter of the moment. Therefore, China Banking Regulatory Commission in October 2011 drafted the "commercial bank liquidity risk management measures (Trial)" (Draft), aims to build a more sophisticated system of liquidity risk management professional. In this new situation at home and abroad, China's commercial bank liquidity risk management is worthy of attention and research. This paper is divided into five parts:
The first chapter analyzes the significance and background of the topic selection, reviews domestic and foreign scholars' research results on liquidity risk management of commercial banks, and points out the innovations and shortcomings of this paper.
The second chapter introduces the related concepts of risk management and regulatory innovations flow of Basel Capital Accord III. This chapter first puts forward the definition of commercial bank liquidity risk and liquidity risk supervision of the historical evolution of four stages; followed by analysis of the post crisis era of liquidity risk supervision principle, two new regulatory indicators and five a regulatory tool; finally analyzing the characteristics of the new framework for liquidity risk supervision and in the long-term and short-term effects of the banking industry.
The third chapter through the analysis of relevant data of China's commercial banks liquidity risk of commercial banks currently exist, pointed out that macroeconomic policy influence on bank liquidity and deficiencies in China's current banking liquidity risk supervision. This chapter first pointed out by non-performing loans, asset liability maturity mismatches, the high proportion of loans. The liquidity risk caused the banking industry opening and other factors; followed by analysis of the monetary policy, the government implicit guarantee, how financial markets affect the liquidity of commercial banks; finally pointed out three problems of Chinese commercial banks liquidity management: lack of bank internal management, liquidity index system limitations, the cash flow attention is not enough.
The fourth chapter through the analysis of the international experience of liquidity risk supervision, points out that Chinese commercial banks can be used for reference, and puts forward the reform trend and Prospect of international supervision flow. This chapter first analyzes the difference in UK, Deutsche Bank "tool box" management mode to optimize our business to bring bank liquidity risk management; and points out the international liquidity risk supervision to expand the scope of supervision, strengthen the single supervision of financial institutions, strengthen international cooperation on supervision, focus on the trend of the reform of regulation in advance.
The last chapter points out that China's banking supervision department should be in the Basel capital accord under the guidance of recognizing the liquidity coverage ratio and net stable funding ratio is applicable in our country, the liquidity supervision index selection should pay more attention to the introduction of dynamic regulatory indicators, pay more attention to the impact of macroeconomic policies, liquidity concerned about the risk of international financial business, design more flexible regulatory indicators; through guide banks to expand financing channels, strengthen the implementation of the classification regulation, the maturity mismatch and cash flow management, promulgated the liquidity risk guiding limit analysis of the four aspects of supervision departments should gradually improve and promote the concept of supervision is more important; is that commercial banks should be adopted to enhance management consciousness, perfecting the risk control system, setting methods of liquidity risk management departments dedicated to improve their liquidity risk control Ability.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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