流动性风险监管下我国商业银行盈利模式研究

发布时间：2018-01-15 03:25

本文关键词：流动性风险监管下我国商业银行盈利模式研究　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：2008年波及全球的金融危机,暴露了商业银行原有的风险监管漏洞,各国逐渐意识到流动性风险监管的重要性。2010年巴塞尔委员会出台《巴塞尔协议Ⅲ》,将流动性风险监管放在重要位置,随后又出台《巴塞尔协议Ⅲ:流动性风险计量、标准和监控的国际框架》等一系列流动性风险管理文件,全球商业银行流动性风险监管进入定量监管的重要阶段。随着国际金融监管,特别是流动性风险监管的加强,我国商业银行流动性风险监管体系也发生转变。中国银监会积极顺应国际监管变化,相继颁布《商业银行流动性风险管理指引》《商业银行流动性风险管理办法(试行)》等监管办法,初步构建和完善我国商业银行流动性监管体系。同时,从我国商业银行盈利模式来看,由于利率市场化进程加快、金融机构竞争加剧和金融监管的加强,我国商业银行盈利模式面临优化转变的压力,盈利模式如何转变已成为我国商业银行发展中的重要命题。基于上述背景,本研究运用历史分析法、实证分析法和比较分析法,从流动性风险监管着手,通过对当前国际和国内流动性风险监管的进展以及如何影响银行盈利模式等方面进行研究,分析了流动性风险监管与银行盈利模式研究的理论基础,侧重分析当前全新流动性风险监管指标及其对我国商业银行盈利模式的影响。以美国和瑞士两个发达国家为例,通过分析两国商业银行盈利模式发展历程和发展特征,为我国商业银行盈利模式转型提供借鉴经验。在国别分析的基础上,进而剖析我国商业银行流动性风险监管发展现状和盈利模式现状及特点,以及两者相关性分析,非利息收入占营业收入比与流动性比例基本呈正相关关系。通过面板数据分析方法,对我国16家上市商业银行流动性风险监管与盈利模式的关系进行实证分析,得出流动性风险监管对我国商业银行非利息收入占比具有正向影响的结论。在短时间内,流动性比例的变动对非利息收入占比影响并不十分明显。但随着全球对流动性风险监管的趋严,监管指标亦将更加严格,长期来看,中国商业银行也将面临流动性监管的压力,商业银行应兼顾流动性风险控制和盈利性的同时,合理调整利差收入和非利差收入的比例,寻找适合商业银行各阶段发展的盈利模式。最后为我国商业银行转变盈利模式提出几点建议,在引入最新流动性风险监管后,从银行策略角度来看,我国商业银行应该快速转变经营管理思路,借鉴他国管理经验,积极发展中间业务、债券投资和资产证券化等多元业务,合理增加流动资产,建立动态流动监管,适应流动监管要求,创新开发金融产品,防范风险提高盈利,关注流动性与盈利性之间的关系,在满足流动性风险监管指标的同时实现盈利模式的转变。从监管策略角度来看,中国银监会应加强流动性动态监控,为商业银行提供投资策略,同时要合理安排过渡期,为商业银行调整盈利模式留足时间。
[Abstract]:In 2008 the global financial crisis, the original regulatory loopholes exposed to the risk of commercial bank, countries come to realize the importance of liquidity risk supervision in Basel.2010 Basel 3 Commission issued < >, the liquidity risk supervision in an important position, followed by a "Basel III: liquidity risk measurement standard, and the monitoring of the international framework > a series of liquidity risk management documents, the global commercial bank liquidity risk supervision into quantitative supervision of an important stage. With the international financial regulation, especially to strengthen the supervision of liquidity risk, liquidity risk supervision of commercial banks in China are also changing. China CBRC actively comply with international regulatory changes. Promulgated" measures of liquidity risk management of commercial bank liquidity risk management guidelines (Trial) > > of commercial banks and other regulatory measures, establish and perfect our preliminary Commercial bank's liquidity supervision system. At the same time, from the profit model of commercial banks in China, the market interest rates to accelerate the process, strengthen the intensifying competition among financial institutions and financial supervision, the profit pattern of commercial banks in China facing the optimization of pressure in the transformation, how to change the profit model has become an important proposition in the development of China's commercial banks. Based on the above background, this research uses the method of historical analysis, empirical analysis and comparative analysis, starting from the liquidity risk supervision, through the research progress on the current international and domestic liquidity risk supervision and how to affect the bank profit model, analyzed the theoretical basis of research on the profit model of liquidity risk supervision and banking. Focus on the analysis of the current new liquidity risk supervision index and its impact on the profit pattern of commercial banks in China. In the United States and Switzerland in two developed countries as an example Through the analysis of the commercial bank, the profit model of the development process and development characteristics, providing a reference for China's commercial banks profit model transformation. Based on the analysis of the country, and then analyzes the development of China's commercial banks liquidity risk supervision situation and profit model status and characteristics, and analysis of the correlation between non interest income to total operating income. Ratio and liquidity ratio of positive relation. Through the panel data analysis, the empirical analysis of the relationship between China's listed 16 commercial banks liquidity risk supervision and profit model, the liquidity risk supervision on interest income has positive influence the conclusion of China's commercial banks. In a short period of time, flow the ratio of the change of the proportion of non interest income effect is not very obvious. But with the global liquidity risk of tighter regulation, regulatory indicators will also be more strict, Long term, commercial banks will face China liquidity regulatory pressure, commercial banks should take into account the liquidity risk control and profitability at the same time, reasonable adjustment of interest income and non interest income ratio for each stage of the development of the commercial bank profit model. Finally proposes some suggestions to the transformation of China's commercial banks profit model. In the introduction of the new liquidity risk supervision, banks from the strategic point of view, China's commercial banks should quickly change management ideas, drawing on the management experience of other countries, and actively develop intermediary business, investment in bonds and asset securitization and other diversified business, a reasonable increase in current assets, the establishment of dynamic flow regulation, flow meet regulatory requirements, innovation the development of financial products, to prevent the risk of increase profits and paying attention to the relationship between liquidity and profitability, in order to meet the liquidity risk control indicators and profitability Changing the mode of supervision. From the strategy point of view, China CBRC should strengthen liquidity monitoring, provides investment strategy for the commercial bank, and to make reasonable arrangements for the transitional period, the commercial banks to adjust the profit pattern of sufficient time.

【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F830.42

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