我国上市商业银行风险管理存在问题及对策研究

发布时间：2019-01-17 09:43

【摘要】：一直以来,商业银行在国民经济发展过程中扮演着重要的角色,尤其是随着国际金融市场开放程度的提高和金融产品的不断创新,为我国商业银行提供了巨大发展机遇的同时,也提出了重大的挑战,2008年爆发的金融危机更是历史性地改变了美国金融市场的格局。我国上市商业银行作为一个独立的板块,注定要发挥着更重要的作用,也面临着更严峻的挑战,这些挑战来自国际银行的竞争、银行自身内部机制的完善、信息披露的完整度及银行自身价值提升等问题。在这样一个背景下,我国上市商业银行的风险管理也日益重要,研究这些风险产生的原因及补救措施也顺应了现实的需要。因此,本文在积极吸收国内外关于银行风险管理理论的基础上,运用比较分析和历史分析的方法,参照巴塞尔新协议的内容,结合我国上市商业银行抗风险管理的特点,重点对我国上市商业银行当前存在的信用风险、市场风险、操作风险进行了实证分析,并以此作为我国上市商业银行抗风险管理能力的重要指标,研究发现：首先,当前我国商业银行的风险主要以信用风险为主,并选用不良贷款率对我国上市商业银行2005-2011年间的信用风险进行了实证分析,结果发现我国上市商业银行整体的不良贷款率呈逐年下降的趋势,说明各上市商业银行在经过股份制改革之后总体抗信用风险能力有了较大的提升；其次,本文选用资本充足率和利率风险来衡量市场风险的大小。从分析结果来看,当前我国上市商业银行的资本充足率比较平稳,但这一结果的计算公式与巴塞尔新资本协议中的计算公式有出入,否则结果可能会被放大。而利率市场存在很大的不确定性,大起后往往伴随着大落；最后,由于操作风险的数据较难获得且这是一个小概率但影响大的事件,因此对上市商业银行的操作风险进行度量比较困难,当前主要采用指标法和回归分析对进行衡量,本文重点对浦发银行和民生银行进行了分析,结果是指标法更适用于规模较小的银行,而VaR模型更适合操作系统更为复杂、规模更大的银行。针对上述研究结论,总结出当前我国上市商业银行的风险管理过程中普遍存在产权制度和管理体制不健全、风险意识不强、管理人才缺失、管理技术落后好风险数据缺失等问题,并分别从整体战略管理和交叉管理、强化风险意识、改善风控体制,完善风险管理方法和技术等方面提出了相应的对策建议。
[Abstract]:The commercial bank has always played an important role in the development of the national economy, especially with the improvement of the opening degree of the international financial market and the continuous innovation of the financial products. The financial crisis, which broke out in 2008, has also changed the pattern of the financial market in the United States in a historic way. As an independent block, China's listed commercial banks are bound to play a more important role and face a more serious challenge. These challenges come from the competition of the international banks, the perfection of the internal mechanism of the bank itself, the complete degree of information disclosure and the improvement of the value of the bank itself. In such a background, the risk management of China's listed commercial banks is also becoming more and more important, and the causes and remedies to study these risks are also in line with the needs of the reality. Therefore, on the basis of actively absorbing the domestic and foreign bank risk management theories, this paper makes use of the methods of comparative analysis and historical analysis, referring to the contents of the Basel new agreement, and combining with our country's listed commercial bank's anti-risk management. The paper makes an empirical analysis on the current credit risk, market risk and operational risk of the listed commercial bank in China, and this is the important index of the anti-risk management ability of the listed commercial bank in China, and the research is made. Now: First, the current risk of commercial banks in China is mainly the credit risk, and the non-performing loan ratio is used to analyze the credit risk of the listed commercial bank in 2005-2011. The result shows that the total non-performing loan rate of the listed commercial bank in China is decreasing year by year. The trend of capital adequacy ratio and interest rate risk is used to measure the market risk. From the analysis result, the capital adequacy ratio of China's listed commercial banks is relatively stable, but the calculation formula of this result is different from the calculation formula in the Basel new capital agreement, or the result may be As a result, the data of operation risk is difficult to obtain and it is a small probability but has a large impact, so the operation risk of the listed commercial bank is measured. It is more difficult to use the index method and the regression analysis to measure. The paper focuses on the analysis of the Pudong Development Bank and the Minsheng Bank, and the result is that the index method is more suitable for smaller banks, and the VaR model is more complex and larger in scale. In view of the above-mentioned research conclusion, it is concluded that the system of property right system and management system in the risk management process of listed commercial banks in our country are not sound, the consciousness of management is not strong, the management personnel are missing, and the management technology is behind the risk data The problems such as missing and so on are put forward from the aspects of overall strategy management and cross-management, strengthening consciousness of consciousness, improving wind control system, improving risk management method and technology, etc.
【学位授予单位】：中南林业科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33

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