我国商业银行流动性风险衡量与影响因素研究

发布时间：2018-12-23 18:52

【摘要】：通过合理的流动性风险管理来保持适度的流动性，控制流动性风险一直是商业银行流动性风险管理的热点与重点。巴塞尔委员会也曾指出测度与管理其流动性是商业银行最为重要的业务之一。但是因为大部分人认为银行即使出现流动性危机，政府也会进行救助，，致使流动性风险曾一度被国内外学者忽视。然而，近年来，银行业不断出现流动性风险问题，使加强流动性风险管理再次成为商业银行的关注热点。因此，准确测度商业银行流动性风险，并深入研究流动性风险影响因素，对我国银行业甚至金融业的良性发展有重要意义，鉴于此，本文围绕这些问题针对我国商业银行展开研究，具体包括以下五部分：首先，界定流动性、流动性风险的定义，梳理商业银行流动性风险管理的相关理论，并介绍本文运用的分析方法及其原理。其次，回顾我国商业银行流动性风险发展历程与现状，并全方位、深入分析当前我国商业银行流动性风险管理中存在的问题。然后，运用静态、动态流动性风险衡量方法对我国商业银行流动性风险进行衡量，并在我国现有的商业银行流动性风险衡量指标的基础之上，懫用主成分分析方法，构造出一个衡量商业银行流动性综合水平的指标。再次，以构造的流动性综合水平为被解释变量，从银行内外部选取解释变量对我国不同规模上市商业银行建立面板数据模型进行实证分析，以探求我国商业银行流动性风险的影响因素。最后，在流动性风险现状及问题分析的基础上、结合影响因素的实证分析结果，从银行自身层面、宏观政策层面以及第三方监督层面对我国商业银行流动性管理提出相应对策建议。
[Abstract]:Through reasonable liquidity risk management to maintain appropriate liquidity, liquidity risk control has been the focus of commercial banks liquidity risk management. The Basel Committee has also pointed out that measuring and managing its liquidity is one of the most important business of commercial banks. But because most people believe that even if banks have a liquidity crisis, the government will also rescue, resulting in liquidity risk was once ignored by domestic and foreign scholars. However, in recent years, the liquidity risk has appeared continuously in the banking industry, which makes the strengthening of liquidity risk management become the focus of commercial banks again. Therefore, it is of great significance to measure the liquidity risk of commercial banks accurately and to study the influencing factors of liquidity risk for the benign development of banking and even financial industry in China. This paper focuses on these problems in China's commercial banks, including the following five parts: first, define liquidity, liquidity risk definition, combing the commercial banks liquidity risk management theory, The analysis method and principle used in this paper are also introduced. Secondly, the paper reviews the development course and present situation of liquidity risk of commercial banks in China, and analyzes the existing problems in liquidity risk management of commercial banks in China. Then, using the static and dynamic liquidity risk measurement method to measure the liquidity risk of commercial banks in China, and on the basis of the existing liquidity risk measurement indicators of commercial banks in China, the principal component analysis method is used. This paper constructs an index to measure the comprehensive level of liquidity of commercial banks. Thirdly, taking the synthetic level of liquidity as the explanatory variable, the paper analyzes the panel data model of China's listed commercial banks with different sizes by selecting the explanatory variables from the inside and outside of the banks. In order to explore the liquidity risk of commercial banks in China. Finally, on the basis of the analysis of the current situation and problems of liquidity risk, combined with the empirical analysis results of influencing factors, from the bank's own level, The macroscopic policy level and the third party supervision level put forward the corresponding countermeasure suggestion to our country commercial bank liquidity management.
【学位授予单位】：燕山大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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