我国商业银行市场风险管理实证研究

发布时间：2018-01-02 06:42

本文关键词：我国商业银行市场风险管理实证研究　出处：《东北农业大学》2013年硕士论文　论文类型：学位论文

【摘要】：市场风险管理能力关系到商业银行的核心竞争力，商业银行能否妥善的承担并管理风险将直接影响到商业银行的生存与发展。20世纪80年代以后随着商业银行发生了不可逆转的混业经营变革及业务经营管制的放松，商业银行经历了一场利率管制不断放松，存款利率不断攀升，金融竞争加剧的危机。商业银行的市场风险日益显现出来，商业银行也逐渐意识到市场风险对其经营带来的危害性以及进行风险管理的重要性。2006年，我国加入WTO，随着全球金融一体化的发展，我国商业银行越来越多的参与到国际银行业的竞争中，带来更多盈利机会的同时也遇到了更多前所未有的挑战。首先，随着我国汇率与利率市场化进程的加快、资产证券化试点工作在各大商业银行中的逐步推进以及中间业务中特别是表外业务规模的不断扩大使得商业银行面临着越来越大的市场风险；商业银行持有的交易性资产逐年增加，商业银行的非传统类账户也面临着越来越大的市场风险。其次，传统的分业经营界限越来越模糊，商业银行混业经营必将成为未来金融市场发展的趋势。金融衍生工具的不断创新以及与银行自身业务的不断融合，给银行利润增值保值的同时，也引发了重大的金融风险。在目前的金融形势下，全面分析商业银行所面临的市场风险，找出引起市场风险的原因，并建立完善的管理市场风险的机制，提升商业银行自身的抗风险能力，增强银行在金融市场的核心竞争力，成为商业银行一个亟待解决的课题。本文以阅读大量相关文献，总结前人研究成果为基础，从经济学、金融学和计量经济学等专业知识的角度出发。采用文献分析和比较分析相结合，定性与定量分析相结合以及实证分析的方法，以我国商业银行在现阶段经营中面临的主要市场风险为切入点进行研究，对加强我国商业银行的的市场风险管理，提升商业银行的核心竞争力，保证我国金融体系平稳，健康的运行有着非常重要的理论指导和现实意义。具体而言：首先阐述了商业银行市场风险的相关概念以及理论基础，分析了我国商业银行市场风险的成因以及商业银行现阶段风险管理存在的主要问题，其次，使用Eviews以利率风险为对象运用VaR的半参数方法对上海银行间同业拆借利率(SHIBOR)的800个样本进行量化分析；运用历史模拟法对2010年1月4日至2012年12月31日期间共730个交易日，美元、欧元和日元对人民币的汇率作为样本数据进行实证分析。最后，在总结实证分析的结果以及借鉴西方国家商业银行市场风险管理的先进管理经验基础上，，探讨并提出完善现阶段我国商业银行市场风险管理的建议与对策。
[Abstract]:Market risk management ability is related to the core competitiveness of commercial banks. Whether commercial banks can undertake and manage risks properly will directly affect the survival and development of commercial banks. After 80s of the 20th century, with the development of commercial banks, there has been irreversible mixed operation reform and business management control. Relax. Commercial banks have experienced a crisis of interest rate deregulation, deposit interest rate rising and financial competition intensifying. The market risks of commercial banks are becoming more and more obvious. Commercial banks are also gradually aware of the harm of market risks to their operations and the importance of risk management. In 2006, China joined WTO, along with the development of global financial integration. More and more Chinese commercial banks participate in the competition of international banking, which brings more profit opportunities, but also meets more unprecedented challenges. Firstly, with the acceleration of the process of marketization of exchange rate and interest rate in China. With the gradual promotion of asset securitization in commercial banks and the expansion of intermediary business, especially the scale of off-balance sheet business, commercial banks are facing more and more market risks. Commercial banks hold more and more transactional assets year by year, and the non-traditional accounts of commercial banks are also facing more and more market risks. Secondly, the boundaries of traditional separation are becoming more and more blurred. Commercial bank mixed operation will become the trend of financial market development in the future. The continuous innovation of financial derivatives and the continuous integration with the bank's own business at the same time to maintain the bank profits. In the current financial situation, the comprehensive analysis of the market risks faced by commercial banks, to find out the causes of market risks, and to establish a sound management mechanism of market risks. It is an urgent task for commercial banks to enhance their ability to resist risks and enhance their core competitiveness in the financial market. Based on reading a large number of relevant documents and summarizing the previous research results, this paper combines literature analysis with comparative analysis from the perspective of economics, finance and econometrics. Combining qualitative and quantitative analysis and empirical analysis, this paper studies the main market risks faced by Chinese commercial banks at the present stage, and strengthens the market risk management of Chinese commercial banks. To improve the core competitiveness of commercial banks, to ensure the smooth and healthy operation of our financial system has very important theoretical guidance and practical significance. First of all, it expounds the related concepts and theoretical basis of commercial bank market risk, analyzes the causes of commercial bank market risk and the main problems of commercial bank risk management at the present stage. Secondly. Using the semi-parametric method of Eviews to analyze the interest rate risk, 800 samples of Shanghai Interbank offered rate (IBOR) were analyzed quantitatively. The historical simulation method is used for 730 trading days from January 4th 2010 to December 31st 2012 in US dollars. Finally, on the basis of summarizing the results of empirical analysis and drawing lessons from the advanced management experience of market risk management of commercial banks in western countries. This paper probes into and puts forward some suggestions and countermeasures for perfecting the market risk management of commercial banks in our country at present.
【学位授予单位】：东北农业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

【参考文献】