新监管框架下我国商业银行流动性风险压力测试应用研究

发布时间：2018-03-09 01:06

本文选题：流动性风险　切入点：压力测试　出处：《中国海洋大学》2013年硕士论文　论文类型：学位论文

【摘要】：自2008年金融危机爆发以来，全球金融机构都加强了对流动性风险的管理。巴塞尔协议III的出台，对流动性风险监管提出了新的要求，我国银监会也于2009年10月发布了《商业银行流动性风险管理指引》。在这种新的监管背景下，我国商业银行加强自身的流动性风险管理就显得更为重要。压力测试作为一种比较前沿的衡量商业银行风险的方法，已在很多国家得到广泛的应用。本文旨在研究在这种新监管背景下，压力测试在我国商业银行流动性风险管理中的应用。本文以资产总额20000亿为标准，将国内的商业银行分为中资全国性大银行和中资全国性中小银行两类，选取流动性风险监管指标中的流动性比例作为因变量来衡量流动性的大小，并通过灰色关联分析，对影响流动性比例的因素按照影响程度的大小进行排序，最终选取了法定存款准备金率、存贷比、同业拆借利率、GDP增长率等因素为自变量，建立了多元回归模型。然后，通过风险因子冲击分析了在各种不利条件下，这两类商业银行流动性风险的承压能力。最终得出了目前这两类商业银行的流动性风险承压能力较高，只有在重度压力下才会面临流动性风险的结论。根据压力测试的结果，，文章从监管和商业银行自身两个角度给出了商业银行流动性风险管理的对策。在监管层面，要求管理层加强对四大指标的监管，建立监管指标体系；从商业银行自身的角度而言，要求商业银行通过建立内部控制系统、内部数据库和培养流动性风险管理专门人才等措施来建立全面的流动性风险管理体系。文章最后还着重分析了当前压力测试在流动性风险管理应用中的不足之处，主要有指标选取单一、没有固定的模型和衡量标准、技术不成熟等，针对这些不足之处，提出了进一步强化流动性风险压力测试的对策建议：一是从监管角度、静态角度和动态角度三个方面，构建完整的流动性风险衡量指标体系；二是建议引入VaR模型、灰色系统模型、蒙特卡罗模拟等方法来完善商业银行流动性风险压力测试模型。
[Abstract]:Since the outbreak of the financial crisis in 2008, the global financial institutions have strengthened the management of liquidity risk. The introduction of Basel III has put forward new requirements for the regulation of liquidity risk. China's Banking Regulatory Commission also issued the "guidelines on liquidity risk Management of Commercial Banks" on October 2009. In this new regulatory context, It is more important for Chinese commercial banks to strengthen their own liquidity risk management. It has been widely used in many countries. This paper aims to study the application of stress testing in liquidity risk management of commercial banks in China under this new regulatory background. Based on the total assets of 2 trillion, this paper divides the domestic commercial banks into two categories: the large Chinese-funded national banks and the Chinese-funded national small and medium-sized banks. The liquidity ratio in the liquidity risk supervision index is selected as dependent variable to measure the liquidity, and the factors affecting liquidity ratio are ranked according to the degree of influence by grey relational analysis. Finally, the factors such as legal reserve ratio, deposit-loan ratio, interbank offered rate and GDP growth rate are selected as independent variables, and a multivariate regression model is established. Finally, the conclusion that the liquidity risk bearing capacity of these two kinds of commercial banks is relatively high, only under the severe pressure, will face the liquidity risk. According to the results of the stress test, the paper gives the countermeasures of liquidity risk management of commercial banks from the perspectives of supervision and commercial banks themselves. At the supervisory level, the management is required to strengthen the supervision of the four indicators and establish a regulatory index system. From the point of view of commercial banks themselves, commercial banks are required to establish internal control systems, The internal database and the training of specialized personnel in liquidity risk management are taken to establish a comprehensive liquidity risk management system. Finally, the paper analyzes the shortcomings of the current stress test in the application of liquidity risk management. There are single indicators, no fixed model and measurement standard, immature technology and so on. In view of these shortcomings, the countermeasures and suggestions to further strengthen the liquidity risk stress test are put forward: first, from the perspective of supervision, The static angle and the dynamic angle are three aspects to construct a complete liquidity risk measurement index system. Secondly, it is suggested to introduce VaR model, grey system model, Monte Carlo simulation and other methods to perfect the liquidity risk pressure test model of commercial banks.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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