基于VaR模型的我国城市商业银行市场风险管理研究
发布时间：2018-09-05 17:30
【摘要】：我国长期以来实行的计划经济体制使得利率和汇率水平较为稳定,因而大多数商业银行对市场风险没有给予足够的重视。随着金融改革进程的推进,我国商业银行所面对的市场风险不断增大。与国有银行和股份制商业银行相比,城市商业银行的规模小、资源少、公司治理不成熟,其风险管理意识不足,风险管理方法落后,管理体制和管理水平已经不足以应对日渐增大的市场风险。为了更好的应对激烈的同业竞争,城市商业银行有必要借鉴先进的国际经验,加强对市场风险的管理意识,并采用更加先进和完备的市场风险管理方法。 VaR模型是西方国家已应用数年的先进的市场风险管理模型,由于我国理论研究和实践工作起步较晚,VaR模型暂时未得到有效推广。通过调整市场风险计量方法和管理理念,以VaR模型为基础建成更高效完善的风险管理体系,可以显著提升城市商业银行的市场风险管理水平,以与巴塞尔协议的要求和国际惯例接轨。因此,研究并引入VaR模型来管理我国城市商业银行的市场风险具有重要的意义和作用。 本文从商业银行的市场风险理论出发,首先在第一章提出对城市商业银行进行市场风险管理研究的意义,总结了以往的研究成果。接着在第二章论述了我国城市商业银行的发展现状和其在现阶段面临的市场风险现状,之后在第三章分析了城市商业银行市场风险管理中存在的各项问题和其原因,具体包括计量模型不适应当前需求、管理意识薄弱、组织结构不完善、信息系统落后、人才匮乏和外部环境不完善。然后在第四章介绍了几种常用的市场风险计量模型,以我国外汇管理局公布的美元对人民币的中间价数据为基础,运用VaR模型中的GARCH算法对我国城市商业银行面临的市场风险水平进行了简要的实证分析,实证结果通过了KuPiec检验。最后在第五章针对我国城市商业银行市场风险管理的薄弱环节,从计量体系、管理理念、组织结构、信息系统、人才培养五方面提出了改善其市场风险管理体系的对策建议。
[Abstract]:The planned economy system in our country for a long time makes the level of interest rate and exchange rate more stable, so most commercial banks do not pay enough attention to the market risk. With the development of financial reform, the market risks faced by Chinese commercial banks are increasing. Compared with state-owned banks and joint-stock commercial banks, urban commercial banks are small in scale, few in resources, immature in corporate governance, lack of awareness of risk management, and backward in risk management methods. The management system and management level are not enough to cope with the increasing market risk. In order to deal with the fierce competition, it is necessary for the city commercial banks to learn from the advanced international experience and strengthen their awareness of the management of market risks. The VaR model is an advanced market risk management model that has been applied in western countries for several years. The VaR model has not been popularized effectively because of the late start of theoretical research and practice in China. By adjusting the market risk measurement methods and management concepts, and building a more efficient and perfect risk management system based on VaR model, the market risk management level of urban commercial banks can be significantly improved. In line with the requirements of the Basel Accord and international practice. Therefore, it is of great significance and function to study and introduce VaR model to manage the market risk of urban commercial banks in China. Based on the market risk theory of commercial banks, this paper first puts forward the significance of market risk management research on urban commercial banks in the first chapter, and summarizes the previous research results. Then in the second chapter, it discusses the current situation of the development and the market risk of the city commercial bank in our country. Then, in the third chapter, it analyzes the existing problems and the reasons of the market risk management of the city commercial bank. The metrological model is not suitable for the current demand, the management consciousness is weak, the organization structure is not perfect, the information system is backward, the talent is scarce and the external environment is not perfect. Then, in the fourth chapter, we introduce several commonly used market risk measurement models, which are based on the median value of US dollar to RMB published by the Administration of Foreign Exchange of China. Using the GARCH algorithm in the VaR model, this paper makes a brief empirical analysis of the market risk level faced by the city commercial banks in China, and the empirical results pass the KuPiec test. Finally, in the fifth chapter, aiming at the weak links of the market risk management of the city commercial banks of our country, this paper puts forward the countermeasures and suggestions to improve the market risk management system of the city commercial banks from five aspects: measurement system, management idea, organization structure, information system and talent training.
【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
本文编号：2224958
[Abstract]:The planned economy system in our country for a long time makes the level of interest rate and exchange rate more stable, so most commercial banks do not pay enough attention to the market risk. With the development of financial reform, the market risks faced by Chinese commercial banks are increasing. Compared with state-owned banks and joint-stock commercial banks, urban commercial banks are small in scale, few in resources, immature in corporate governance, lack of awareness of risk management, and backward in risk management methods. The management system and management level are not enough to cope with the increasing market risk. In order to deal with the fierce competition, it is necessary for the city commercial banks to learn from the advanced international experience and strengthen their awareness of the management of market risks. The VaR model is an advanced market risk management model that has been applied in western countries for several years. The VaR model has not been popularized effectively because of the late start of theoretical research and practice in China. By adjusting the market risk measurement methods and management concepts, and building a more efficient and perfect risk management system based on VaR model, the market risk management level of urban commercial banks can be significantly improved. In line with the requirements of the Basel Accord and international practice. Therefore, it is of great significance and function to study and introduce VaR model to manage the market risk of urban commercial banks in China. Based on the market risk theory of commercial banks, this paper first puts forward the significance of market risk management research on urban commercial banks in the first chapter, and summarizes the previous research results. Then in the second chapter, it discusses the current situation of the development and the market risk of the city commercial bank in our country. Then, in the third chapter, it analyzes the existing problems and the reasons of the market risk management of the city commercial bank. The metrological model is not suitable for the current demand, the management consciousness is weak, the organization structure is not perfect, the information system is backward, the talent is scarce and the external environment is not perfect. Then, in the fourth chapter, we introduce several commonly used market risk measurement models, which are based on the median value of US dollar to RMB published by the Administration of Foreign Exchange of China. Using the GARCH algorithm in the VaR model, this paper makes a brief empirical analysis of the market risk level faced by the city commercial banks in China, and the empirical results pass the KuPiec test. Finally, in the fifth chapter, aiming at the weak links of the market risk management of the city commercial banks of our country, this paper puts forward the countermeasures and suggestions to improve the market risk management system of the city commercial banks from five aspects: measurement system, management idea, organization structure, information system and talent training.
【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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