某银行巴塞尔协议Ⅲ实施探讨
发布时间：2018-11-18 06:33
【摘要】：2007年爆发并席卷全球的金融危机，对以《巴塞尔协议II》为核心框架的现代银行业监管体系在商业银行流动性风险管理上提出了严峻的挑战。预警和防范机制的不足，迫使巴塞尔委员会加快了改革流动性风险管理的步伐，并最终在2010年底推出了《巴塞尔协议III》，这标志着全球商业银行流动性风险管理进入了一个新的阶段。 本文将对《巴塞尔协议III》新引入的一系列监管指标做介绍，着重介绍流动性监管指标。通过比较国内外不同监管机构在新协议制定上的差异，以及实施进度上的不同，在结合某银行实例数据的情况下，实证分析和验证净稳定资金比率，，资本充足率的计算。对比行业间不同银行之间的数据并做分析，对部分指标进行预估。最后介绍了系统的实现以及系统实施的影响。 本文结论中在总结《巴塞尔协议III》对银行业整体流动性风险管理水平的提升等各方面重要意义的同时，也对今后可能遇到的问题等提出了建议，希望我国银行业监管体系发展更完善。
[Abstract]:The financial crisis that broke out and swept the world in 2007 posed a severe challenge to the liquidity risk management of commercial banks in the modern banking regulatory system with Basel II as the core framework. The insufficiency of early warning and precaution mechanism forced the Basel Committee to accelerate the reform of liquidity risk management, and finally launched the Basel III at the end of 2010. This marks the global commercial bank liquidity risk management has entered a new stage. This paper introduces a series of new regulatory indicators introduced in Basel Accord III, with emphasis on liquidity supervision indicators. By comparing the differences between different regulators at home and abroad in the formulation of new agreements and the differences in implementation progress, this paper empirically analyzes and verifies the calculation of net stable capital ratio and capital adequacy ratio in the case of a bank case. Compare and analyze the data between different banks, and estimate some indicators. Finally, the implementation of the system and the impact of the system implementation are introduced. In conclusion, this paper summarizes the significance of Basel III in improving the level of liquidity risk management in the banking industry, and puts forward some suggestions on the problems that may be encountered in the future. We hope that the banking regulatory system of our country will be more perfect.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3
本文编号：2339160
[Abstract]:The financial crisis that broke out and swept the world in 2007 posed a severe challenge to the liquidity risk management of commercial banks in the modern banking regulatory system with Basel II as the core framework. The insufficiency of early warning and precaution mechanism forced the Basel Committee to accelerate the reform of liquidity risk management, and finally launched the Basel III at the end of 2010. This marks the global commercial bank liquidity risk management has entered a new stage. This paper introduces a series of new regulatory indicators introduced in Basel Accord III, with emphasis on liquidity supervision indicators. By comparing the differences between different regulators at home and abroad in the formulation of new agreements and the differences in implementation progress, this paper empirically analyzes and verifies the calculation of net stable capital ratio and capital adequacy ratio in the case of a bank case. Compare and analyze the data between different banks, and estimate some indicators. Finally, the implementation of the system and the impact of the system implementation are introduced. In conclusion, this paper summarizes the significance of Basel III in improving the level of liquidity risk management in the banking industry, and puts forward some suggestions on the problems that may be encountered in the future. We hope that the banking regulatory system of our country will be more perfect.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.3
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本文编号：2339160
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