商业银行影子银行业务风险管理研究

发布时间：2019-06-09 20:27

【摘要】：全球金融危机爆发后，影子银行的概念浮出水面。我国商业银行在进行金融业务创新的同时，影子银行业务也不断得到发展。这些影子银行业务将传统的表内资产转到表外，具有监管套利的性质，给银行的运营带来了巨大的潜在风险，同时也加大了政府进行宏观调控的难度。本文立足于我国商业银行影子业务的发展现状，结合管理学和金融学相关知识，对商业银行影子银行业务风险管理问题进行研究。本文所做的主要研究工作有如下几点：第一，综述了我国商业银行内部所开展的各类影子银行业务的发展现状，对银信合作理财产品、委托贷款等影子银行业务进行逐一分析，探究其运行过程中出现的问题以及可能遇到的风险。第二，根据风险评价指标的选取的四个基本原则和影子银行业务的实际现状，共选取了对商业银行影子银行业务风险影响较大的29个评价指标，从外部环境和内部运营两方面分别建立了二层风险指标评价体系。第三，选取了2005-2012年我国商业银行影子银行业务的相关实际数据，采用熵权法和层次分析法设定权重，分别对外部环境和内部运营风险进行评价研究，作出风险评级，并对结果进行分析评价。第四，根据评分研究所得出的结果，采用logit模型进行回归估计与判别结果分析，从中选出关键性指标，进而构建外部环境和内部运营的风险预警模型。最后针对我国商业银行影子银行业务的特殊性，为我国影子银行业务更健康地发展提出合理化建议。通过研究，获得了以下研究成果与研究结论。第一，通过2005到2012年影子银行业务外部环境风险评价研究可以看出，最终造成E的总分之间的差距的主要原因来自宏观经济金融风险，而其中，造成分数过低的原因来自于社会融资规模增长率E13、存款增长率E14和贷款增长率E15这三个指标。其它指标的变化趋势也可以看出我国近几年金融市场波动较大，社会融资规模和信贷的不断扩张带来的潜在的金融风险积累不容忽视，商业银行影子银行业务抵抗外部环境风险的能力也应进一步提高。第二，，通过2006年到2012年内部运营风险评价研究结果可以看出，近三年的影子银行业务的内部运营风险状况整体好于2006年到2009年，表明监管当局近几年已经开始重视对于影子银行业务内部运营的风险控制。对评分结果进行进一步分析显示，总分的增长趋势和信用风险得分的变化趋势基本相同，所以最终造成总分之间的差距的主要原因来自信用风险。其中，资本充足率、不良资产比率和拨备覆盖率都呈逐年较好的趋势，说明影子银行业务信用风险指标整体乐观，信用风险转移风险目前也在可控的范围内。第三，根据影子银行业务外部环境风险评分研究结果进行logit回归分析，选取了居民消费价格指数增长率、社会融资规模增长率、存款增长率、贷款增长率和固定资产投资增长率这五个与外部环境脆弱性具有较高的相关性的指标，在中央财政金融风险中选取中央财政赤字比率，构建商业银行影子银行业务的外部环境风险预警模型，并且作了拟合效果图和曲线预测图。结果显示实际值和估计值的结果差距比较小，预测准确率接近90%，也进一步说明本文所选元素对构建外部环境的风险预警模型有显著效果，符合我们的预期。第四，根据影子银行业务内部运营风险评分研究结果进行logit回归分析，选取了资本充足率O11、表外融资规模占比O14、表外融资规模增长率O15、银信合作理财产品占比O16、资产流动性比例O21、存贷款比率O22、人民币超额备付金率O25和资本收益率O33几个对内部运营的风险影响较为显著的因素，剔除其余的指标，进行回归分析构建风险预警模型。结果显示，虽然残差值的曲线仍有小部分震荡较大，但是从数据显示误差率为0.1837，也就是说预警模型的预测准确率在80%以上，所构建的风险预警模型基本符合我们的预期。
[Abstract]:After the global financial crisis, the concept of shadow banking emerged. At the same time, the commercial bank of our country is in the process of financial business innovation, and the shadow banking business is also continuously developed. These shadow banking transfers the traditional intra-table assets to the outside of the table, and has the property of supervising the arbitrage, which brings great potential risks to the operation of the bank, and also increases the difficulty of the government to control the macro-control. Based on the present situation of the development of the shadow business of commercial banks in China, this paper studies the risk management of the shadow banking of commercial banks in the light of the related knowledge of management and finance. The main research work in this paper is as follows Point: First, the present situation of the development of various types of shadow banking in China's commercial banks is reviewed, and the shadow banking, such as the silver-letter cooperative financial product and the entrusted loan, is carried out on a by-by-case basis. an analysis that explores the problems that arise during its operation and may be encountered Second, according to the four basic principles of the risk evaluation index and the actual situation of the shadow banking, the influence of the risk of the shadow banking of the commercial bank is selected. The two-layer risk refers to the two aspects of external environment and internal operation. In the third part, we selected the relevant practical data of the shadow banking of our commercial bank in 2005-2012, using the entropy method and the analytic hierarchy process to set the weight, and conduct the evaluation and research on the external environment and the internal operation risk, and make the risk rating, and the knot 4, according to the results obtained from the scoring institute, the regression estimation and the discrimination result analysis are carried out by using the logit model, the key indexes are selected, and the external environment and the internal environment are further constructed. The risk pre-warning model of operation is to be more healthy for the shadow banking of our country in view of the particularity of the shadow banking of our commercial bank. The development of rationalization proposals. The following research results and research conclusions. First, through the analysis of the external environment risk of the shadow banking from 2005 to 2012, it can be seen that the main reason for the difference between the total score of E and the total score of E comes from the macro-economic financial risk, and the reason that the score is too low is from the macro-economic financial risk. in that social finance scale growth rate E13, the deposit growth rate E14 and The change trend of the other indexes can not be ignored, and the external ring of the shadow banking of the commercial bank can not be ignored. The ability of the risk of the environment should also be further improved. Secondly, through the results of the internal operational risk evaluation of the period from 2006 to 2012, it can be seen that the internal operational risk of the shadow banking in the last three years is better than that of 2006 to 2009, indicating that the regulatory authorities have started to pay attention in recent years The risk control of the internal operation of the shadow banking. Further analysis of the result of the scoring shows that the trend of the total score and the trend of the credit risk score are basically the same, so the total score is finally caused. The main causes of the gap between the capital adequacy ratio, the ratio of the non-performing assets and the provision coverage show a good trend year by year, indicating the overall optimism of the credit risk index of the shadow banking and the credit wind. The risk of risk transfer is also in the controllable scope. Third, according to the study result of the external environment risk score of the shadow banking, the logit regression analysis is carried out, and the growth of the consumer price index is selected. The five indexes, such as the rate, the growth rate of social financing, the growth rate of deposit, the growth rate of the loan and the growth rate of fixed assets investment, have a high correlation with the vulnerability of the external environment. External environment risk early-warning mode of shadow banking The results show that the difference between the actual value and the estimated value is small, the accuracy of the prediction is close to 90%, and the risk of the selected element in this paper on the construction of the external environment is further explained. The early warning model has a remarkable effect and is in accordance with our expectations. Fourth, according to the study result of the internal operation risk score of the shadow banking business, the logit regression analysis is carried out, the capital adequacy ratio O11 is selected, the external financing scale of the table is the ratio of O14, the growth rate of the external financing scale O15 and the silver letter cooperation are selected. The ratio of the financial products to the O16, the proportion of the asset liquidity O21, the loan-to-deposit ratio O22, the excess reserve rate of the RMB O25 and the capital rate of return O33 is a significant factor for the risk of internal operations, and it is excluded. The result shows that although the curve of the residual value is still small, the error rate is 0.1837, that is, the prediction accuracy of the early-warning model is above 80%.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.2

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