利率市场化与商业银行信用风险研究

发布时间：2018-03-10 19:00

本文选题：利率市场化　切入点：商业银行　出处：《天津财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着金融全球化的发展和金融市场的剧烈波动,信用风险变得越来越突出和严重。尽管金融创新领域有了一些进步,对于大多数银行来说,信用风险仍是引起银行破产的主要原因。二十世纪八十年代以来,西方银行开始渐渐重视信用风险问题,不仅专注于信用风险的原因、量化和管理,还将信用风险管理纳入银行运营绩效的考核标准之一。在我国,由于传统的经营模式和管理体制使得信用风险成为商业银行所面临的最重大、最复杂的风险种类之一,那么对商业银行的信用风险研究就显得极为重要。近年来,央行频繁的利率调整预示着利率市场化的逐步逼近。利率市场化必将使商业银行面临更为复杂的经济状况,更为激烈的竞争局面。我们不禁开始思考,利率市场化对我国商业银行的信用风险会产生怎样的影响。本文首先从信息不对称理论出发,分析了利率市场化下商业银行所面临的道德风险和逆向选择风险,然后结合我国特殊的二元经济结构分析了国有企业道德风险所引致的利率非敏感性及利率市场化下的利率上升趋势,最后在此基础上讨论了利率市场化下我国商业银行所面临的逆向选择问题,由此推出我国商业银行信用风险加剧。基于此理论基础,采用宏观压力测试来分析我国商业银行的信用风险与宏观经济变量之间的关系。实证分析结果表明,我国商业银行的信用风险与银行间同业拆借利率、GDP增长率及货币供应量增长率等三个宏观因子有关。通过压力情景设置银行间同业拆借利率骤升的情况来模拟利率市场化下利率上升的状况,由此发现商业银行的信用风险显示出不断加剧的倾向。通过实证分析证实了利率市场化下我国商业银行的信用风险增加的推论。最后针对信用风险产生的原因,提出了一些管理我国商业银行信用风险的措施建议。
[Abstract]:With the development of financial globalization and the violent fluctuation of financial market, credit risk becomes more and more prominent and serious. Although there has been some progress in the field of financial innovation, for most banks, Credit risk is still the main cause of bank bankruptcy. Since 1980s, Western banks have begun to pay more and more attention to the problem of credit risk, focusing not only on the causes of credit risk, but also on quantification and management. In our country, because of the traditional management mode and management system, credit risk has become one of the most important and complex kinds of risks faced by commercial banks. In recent years, the frequent interest rate adjustment by the central bank indicates the gradual approach of interest rate marketization. The marketization of interest rate will make commercial banks face more complicated economic conditions. In a more competitive situation, we can not help thinking about the impact of interest rate marketization on the credit risk of commercial banks in China. Based on the theory of asymmetric information, this paper first analyzes the moral hazard and adverse selection risk faced by commercial banks under the interest rate marketization. Then it analyzes the insensitivity of interest rate caused by moral hazard of state-owned enterprises and the rising trend of interest rate under the marketization of interest rate combined with the special dual economic structure of our country. Finally, the paper discusses the problem of adverse selection faced by Chinese commercial banks under the interest rate marketization, and concludes that the credit risk of Chinese commercial banks is aggravated. The relationship between credit risk and macroeconomic variables of commercial banks in China is analyzed by means of macro stress test. The credit risk of commercial banks in China is related to three macro factors, I. E. interbank lending rate, GDP growth rate and money supply growth rate. The situation of interest rate rising under the marketization of interest rate, It is found that the credit risk of commercial banks shows an increasing tendency. Through empirical analysis, the corollary of the increase of credit risk of commercial banks in China under the interest rate marketization is confirmed. Finally, the causes of credit risk are pointed out. Some measures to manage the credit risk of commercial banks in China are put forward.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F822.0;F832.3;F224

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