我国商业银行流动性风险监管研究

发布时间：2018-01-10 02:01

本文关键词：我国商业银行流动性风险监管研究　出处：《华南理工大学》2013年硕士论文　论文类型：学位论文

【摘要】：流动性风险是商业银行所面临的最致命风险，，也是各类风险最终的表现形式。此次全球金融危机的爆发表明，商业银行流动性风险的隐蔽性、传染性、叠加性和亲周期特征均有所增强。在极端压力事件下，流动性可以从过剩状态迅速逆转为全面紧缩，即使是资本充足、各项指标均达到监管标准的银行，也可能发生严重的流动性风险。伴随此轮危机不断深化，国际监管组织及主要国家地区的监管当局都对商业银行流动性风险管理与监管进行了深入反思，出台了新的流动性风险监管框架和指标要求。本文从流动性风险的基础理论出发，概述了商业银行流动性风险的成因、分类、主要特征和管理理念变迁，以及国际流动性风险监管改革动向。同时，对2010年至2012年这3个年度我国主要商业银行、四个类型银行机构的流动性风险监管指标进行了测算分析，认为主要商业银行的流动性管理总体稳健，近期发生流动性风险的几率不高，但仍存在一些流动性风险隐患，由于存款波动加剧和“活期化”、“理财化”趋势明显，银行更多通过资金批发市场实施主动负债，负债稳定性有所下降，同时中长期贷款占比上升，平台和房地产行业贷款集中度偏高，存在资产配置过度集中问题。从不同类型银行看，国有大型银行、股份制银行、城市商业银行、农村商业银行由于在经营理念、业务模式、融资渠道、资产结构等方面存在差异，流动性管理水平和风险状况也有所不同。从监管指标测算看，国有大型银行、城市商业银行、农村商业银行的流动性风险尚不显著，而股份制银行有效管理流动性面临的压力最大，一旦经济持续处于下行区间，银行坏账大面积暴露或市场流动性因突发事件出现严重紧缩，将可能直接触发个别股份制银行的流动性风险暴露。为提高我国商业银行流动性风险预判的敏感度和前瞻性，本文借鉴国际监管改革研究成果，进一步完善我国流动性监管指标体系。对5个主要流动性风险监管指标，运用主成份分析法，构建了“主要商业银行流动性风险监管综合指数”和“城市商业银行流动性监管综合指数”，分别用于评价我国主要商业银行、地方中小法人银行的总体流动性风险状况。同时，对我国现行的流动性监管指标体系进行补充修正，提出流动性监管的其它配套政策，以提高流动性风险监管有效性，具有重要意义。
[Abstract]:Liquidity risk is the most fatal risk faced by commercial banks, and it is also the ultimate manifestation of all kinds of risks. The outbreak of the global financial crisis shows that the liquidity risk of commercial banks is hidden and infectious. In extreme stress events, liquidity can quickly reverse from excess to across-the-board tightening, even if capital is sufficient and all indicators meet regulatory standards. With the deepening of the crisis, international regulatory organizations and regulatory authorities in major countries have made a thorough reflection on the liquidity risk management and supervision of commercial banks. Introduced a new regulatory framework for liquidity risk and indicators requirements. Based on the basic theory of liquidity risk, this paper summarizes the causes, classification, main characteristics and changes of management concepts of liquidity risk of commercial banks, as well as the trend of international liquidity risk supervision reform. From 2010 to 2012, this paper calculates and analyzes the liquidity risk supervision index of the main commercial banks and four types of banking institutions in China. It is considered that the liquidity management of major commercial banks is generally sound and the probability of liquidity risk is not high in the near future, but there are still some hidden risks of liquidity risk, due to the intensification of deposit fluctuation and "demand". "financing" trend is obvious, banks more through the wholesale capital market to implement active debt, debt stability has declined, while the proportion of medium and long-term loans increased, the platform and real estate industry loan concentration is on the high side. From different types of banks, large state-owned banks, joint-stock banks, urban commercial banks, rural commercial banks due to business philosophy, business models, financing channels. There are differences in asset structure, liquidity management level and risk status. From the indicators of supervision, the liquidity risk of large state-owned banks, urban commercial banks and rural commercial banks is not significant. Stock banks face the greatest pressure to manage liquidity effectively. Once the economy continues to be in a downward range, banks' bad loans are exposed in large areas or market liquidity is severely tightened due to unexpected events. It will be possible to directly trigger the exposure to liquidity risk of individual joint-stock banks. In order to improve the sensitivity and foresight of liquidity risk prediction of commercial banks in China, this paper draws lessons from the research results of international regulatory reform. Further improve China's liquidity supervision index system. For the five main liquidity risk monitoring indicators, the principal component analysis method is used. The main commercial banks' liquidity risk supervision index and the city commercial bank liquidity supervision comprehensive index are constructed to evaluate the main commercial banks in China respectively. At the same time, the current liquidity supervision index system of our country is supplemented and revised, and other supporting policies of liquidity supervision are put forward. It is of great significance to improve the effectiveness of liquidity risk supervision.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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