表外业务发展对商业银行经营绩效及风险水平的影响研究

发布时间：2018-04-06 20:27

本文选题：表外业务　切入点：银行绩效　出处：《山东大学》2017年硕士论文

【摘要】：随着我国利率市场化的完成和传统信贷业务竞争的加剧,商业银行努力转换盈利模式,大力发展表外业务。但是表外业务的迅猛发展也给银行业带来了风险隐忧。表外业务发展对商业银行运营表现的影响成为政府、业界和学界关注的研究热点。本文主要从商业银行的经营绩效与风险水平两个方面,探讨表外业务对银行业运营表现的影响。全文分为五章,前两章介绍研究背景、研究意义以及文献综述。近几年商业银行为了规避监管和获取额外收益,大力发展表外业务,不仅在规模上日益激增,而且在种类上推陈出新。与之伴随的表外业务风险也引起了监管当局的高度关注,并且出台了一系列的监管文件。第二章的文献综述是从表外业务对银行运营风险的影响以及对银行经营绩效两个方面来整理汇总,发现对表外业务发展的利弊这一问题并没有达成一致的结论。一方面,由于不同国家、不同背景、不同历史下,所选取的样本银行表外业务发展程度有很大的区别,针对同一假设问题得出不同的结论;另一方面,由于表外业务的快速发展,其在会计信息披露、风险暴露方面存在一定的滞后性,加大了研究结论统一的难度。第三章是对表外业务发展做一个较为全面的阐述。主要包括表外业务的最新定义与业务种类、表外业务的发展历史以及表外业务所涉及的风险类型。我国银监会根据国际通用的《巴塞尔协议3》以及国内表外业务实际发展情况,对表外业务的发展和风险管理,做出明确的指引。表外业务发展的历史其实是商业银行不断创新的过程。表外业务的发展不仅改变了其原有的盈利模式与经营方向,同时也带来了表外业务风险,因此我国商业银行应该对表外业务有一个全面综合的认识。第四章是实证部分。首先是商业银行样本选取,按照类型全面、数据可靠的原则,本文选用了 34家商业银行2008年到2016年的经营数据,构建了银行经营绩效以及破产风险的多元回归模型,来探究表外业务的发展与银行的盈利能力、风险水平之间是否存在非线性关系。本文从表外业务资产规模、表外业务收入结构两个角度,选取了表外业务资产对数值、非利息收入占比、手续费及佣金收入占比三个衡量表外业务发展水平的指标。本文利用常用的绩效指标ROAA(平均资本回报率)、ROAE (平均股权回报率)以及破产风险指标Z-score,作为回归模型的被解释变量,进行实证回归。实证结果分析发现,表外业务的发展对我国商业银行的经营绩效有显著影响。另外表外业务资产规模对ROAA (平均资产回报率)与ROAE (平均股权回报率)的影响呈现明显的U型特征,而应非利息收入占比对ROAA的影响是显著呈现倒U型特征,表外业务的发展对我国商业银行的破产风险影响不显著。最后,本文提出应该要完善表外业务相关的法律法规,合理适度地开展表外业务,加强表外业务风控机制,监管当局与商业银行要相互合作,确保银行市场稳定健康发展。
[Abstract]:With China's interest rate marketization and the completion of the traditional credit business competition, the commercial banks to transfer profit model, vigorously develop OBSA. The rapid development of OBSA but also brings risks to the banking sector. Table worries affect the performance of other business development operations of commercial banks has become the government, industry and academia concern the focus of research. This article mainly from the two aspects of business performance and risk level of commercial banks, to explore the influence of OBSA to bank operation performance. The thesis is divided into five chapters, the two chapter introduces the research background, research significance and literature review. In recent years, commercial banks in order to avoid regulation and obtain additional benefits, vigorously the development of OBSA, not only in scale soaring, and new species. Along with the risk of OBSA has also attracted the attention of the regulatory authorities, and issued a Series of regulatory documents. The second chapter is from the impact of the operation of the bank balance sheet business risk as well as the two aspects of the operating performance of the bank to collect and find the pros and cons of off balance sheet business development of this issue and did not reach the same conclusion. On the one hand, because of the different countries, different backgrounds, different history. The selected sample of the bank balance sheet business development level there is a big difference for the same problem, assuming different conclusions; on the other hand, due to the rapid development of OBSA, in the disclosure of accounting information, there is a certain lag risk exposure, increasing the difficulty of the unified conclusion. The third chapter is on business development to do a more comprehensive exposition. Mainly includes the definition of new types of business and balance sheet business, risk type development history sheet business and sheet business involved in China's silver. The supervisor will according to the international general "Basel 3> as well as the domestic and external business actual situation, the development of off balance sheet business and risk management, make clear guidelines. OBSA development history is actually a process of commercial bank innovation. The development of OBSA is not only changed its original profit model and business at the same time, also brought a sheet business risk, so China's commercial banks should be off balance sheet business with a comprehensive understanding. The fourth chapter is the empirical part. The first is a commercial bank in accordance with the type of sample selection, comprehensive, reliable data principle, this paper selects the operation data of 34 commercial banks from 2008 to 2016 a regression model was set up, and the performance of bankruptcy risk of banks, and to explore the development of the bank balance sheet business profitability, whether there is nonlinear relationship between the level of risk. From the table outside the business assets, table two aspects of business income structure, select the table outside the business of asset value, the proportion of non interest income, fee and commission income accounted for more than three scale foreign business development level index. The performance index of common ROAA (average rate of return on capital), ROAE (the average rate of equity returns) and bankruptcy risk index Z-score regression model as explanatory variables, the empirical regression. The empirical results show that the development of OBSA has a significant impact on the operating performance of China's commercial banks. The other looks outside the business asset size of the ROAA (the average return on assets (ROAE) and average rate of equity returns) presenting the effects of type U characteristics, and the influence of non interest income ratio of ROAA is significant inverted U type characteristics, influence the development of OBSA of the bankruptcy risk of commercial bank in China is not significant. Finally, this paper proposes that we should improve the relevant laws and regulations of off balance sheet businesses, carry out the off balance sheet business reasonably and moderately, strengthen the risk control mechanism of off balance sheet businesses, and cooperate with the commercial banks to ensure stable and healthy development of the banking market.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.2;F830.42

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