压力测试在商业银行流动性风险度量中的应用

发布时间：2018-01-24 14:58

本文关键词： 流动性风险压力测试流动性压力测试因子分析法　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：借短贷长是传统商业银行的主要盈利来源,其业务本质也决定了商业银行的高风险特征。美国金融危机之后,全球的注意力集中于银行业的流动性风险监控上。针对流动性风险“小概率”和“破坏强”的特点,压力测试技术的适用性得到了多方肯定并且正在崭露头角。近年来,国内银行业开放程度不断增加、银行系统的不确定性正逐步提高,并不能排除国内流动性出现短缺的可能。通过压力测试为代表的风险监管手段来提前预防潜在事件对银行的影响、保证我国金融系统的稳定性,是必要的,也是必须的。本文在总结现阶段我国银行业压力测试实施现状的基础上,分析了各代表性银行流动性风险压力测试实务,在阐述流动性风险执行步骤的同时,具体探讨在每一步骤下可选取的分析方法,最终构建起既符合理论逻辑又可供我国银行发挥创造性的流动性风险压力测试应用框架。文中对现阶段学术界通常采用的压力测试建模方法也进行了较为全面的介绍,对各种方法的优缺点总结的基础上,引出采用因子分析法的创新性。在实证部分,本文选择四大国有控股银行和除平安银行外的全国性上市股份制银行分别组成四行样本和股份制银行样本,由对流动性风险成因的分析导出不良贷款率等11个指标作为风险因子原始变量,通过因子分析方法分别构建压力测试模型、提取公因子变量、得出流动性综合得分评判式。将历史情景法和假设情景法结合后,设定三个压力等级,通过参照美国金融危机下的银行业表现和我国银监会的相关规定模拟出未来流动性危机产生时风险因子们的表现来量化冲击,代入模型之后,最终得出不同压力等级下的流动性评分。通过观察四个公因子的赋权和在不同压力等级下的表现可以对影响两样本流动性的因素进行深层次分析,由标准化后的总得分和标准化总得分的变动值可以对两样本银行在不用压力情境下的风险承受力进行评价。本文实证得出的主要结论为：经济环境变动是影响股份制银行流动性的首要因素,而四大国有控股银行流动性则主要受政策性经济变量的影响；2012年年末我国银行体系流动性充裕；在假设的危机情境下,系统重要性银行的流动性风险更突出；宏观经济下行对中小股份制银行的流动性冲击更严重；银行自身因素对流动性影响弱,但仍需注意隐藏的不确定性。由此便完成了对多指标压力测试模型的构建和我国不同规模银行流动性风险影响因素、抗风险能力的对比分析。此外,文章还对目前我国商业银行流动性风险压力测试运用中存在的问题进行了探讨,针对这些问题对商业银行和监管机构的改进方向提出了一些建议。最后,在总结本文不足之处的基础上,提出了未来的研究方向。
[Abstract]:The short loan length is the main profit source of the traditional commercial bank, its business essence also determines the high risk characteristic of the commercial bank. After the American financial crisis. Global attention has been focused on liquidity risk monitoring in the banking sector, targeting the "small probability" and "destructive" characteristics of liquidity risk. The applicability of stress testing technology has been affirmed by many parties and is emerging. In recent years, the degree of opening up of domestic banking is increasing, and the uncertainty of the banking system is gradually increasing. It is necessary to prevent the impact of potential events on banks in advance and to ensure the stability of our financial system by means of risk supervision represented by stress tests. It is also necessary. On the basis of summarizing the present situation of the implementation of the banking stress test in China, this paper analyzes the practice of the liquidity risk stress test of the representative banks, and expounds the implementation steps of the liquidity risk at the same time. The analysis methods that can be selected under each step are discussed in detail. Finally, the application framework of liquidity risk stress testing, which conforms to the theoretical logic and can be used by Chinese banks to play a creative role, is constructed. In this paper, a more comprehensive modeling method of stress test is also presented, which is usually used in the academic circles at the present stage. Introduction. On the basis of summarizing the advantages and disadvantages of various methods, the innovation of using factor analysis method is introduced. In the empirical part, this paper chooses four state-owned holding banks and national listed joint-stock banks except Ping an Bank to form four bank samples and stock bank samples respectively. By analyzing the causes of liquidity risk, 11 indicators, such as non-performing loan ratio, are derived as the original variables of risk factors. The stress test model is constructed by factor analysis method, and the common factor variables are extracted. After combining the historical scenario method with the hypothetical scenario method, three stress levels were established. By referring to the banking performance under the US financial crisis and the relevant regulations of China Banking Regulatory Commission to simulate the performance of risk factors when the future liquidity crisis arises to quantify the impact and replace it with the model. Finally, the liquidity score under different pressure grades is obtained. By observing the weights of the four common factors and the performance of the two samples under different pressure levels, the factors affecting the liquidity of the two samples can be analyzed at a deep level. From the changes of standardized total score and standardized total score, the risk tolerance of the two sample banks can be evaluated under the condition of no stress. The main conclusions of this paper are as follows:. The change of economic environment is the primary factor that affects the liquidity of joint-stock banks. The liquidity of the four state-owned holding banks is mainly influenced by the policy economic variables. At the end of 2012, China's banking system was full of liquidity; Under the hypothetical crisis situation, the liquidity risk of systemically important banks is more prominent. The impact of the macroeconomic downturn on the liquidity of small and medium-sized joint-stock banks is more serious; The influence of bank's own factors on liquidity is weak, but it still needs to pay attention to the hidden uncertainty. Thus, the construction of multi-index stress test model and the influencing factors of liquidity risk of different scale banks in China are completed. Contrastive analysis of risk resistance. In addition, the paper also discusses the problems existing in the application of liquidity risk stress testing in commercial banks in China. In view of these problems, some suggestions are put forward to improve the direction of commercial banks and regulators. Finally, on the basis of summarizing the shortcomings of this paper, the future research direction is proposed.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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