金融危机后我国商业银行系统性风险研究

发布时间：2018-01-10 20:05

本文关键词：金融危机后我国商业银行系统性风险研究　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：2008年随着雷曼兄弟的破产，美国金融危机全面爆发，给全球金融经济带来了严重的负面冲击，这给人们了解系统性风险提供了一个活生生的案例。系统性风险凭借其极度的传染性和巨大的破坏性引起了政府部门和学界的高度关注，加强对系统性风险的监管也成为了金融危机后各国金融监管改革的重中之重。在此次金融危机中，我国银行业未受到严重冲击，但这并不表明我国银行体系有多么的完善，虽然自改制上市以来，各家银行的资本充足水平和不良贷款情况明显改善，风险抵抗能力显著增强，但与国外先进银行相比，我国银行在产权制度、公司治理、内控管理、风险防范方面还存在着很大的缺陷。随着中国银行业逐步对外开放，中国银行业将融入到世界银行体系的波动中，到时候国外银行危机将给中国银行业带来更大的冲击。因此，研究我国商业银行的系统性风险对于维护我国金融稳定具有重大意义。本文从商业银行系统性风险的概念出发，，阐述了商业银行系统性风险的主要特征和形成理论。再从盈利性、安全性、流动性三个方面对金融危机后我国商业银行的经营现状作出总体分析，接着探讨了我国商业银行系统性风险产生的四个可能来源。然后运用单指数模型对14家样本银行在2008-2012年间的系统性风险进行实证分析。研究结果表明，我国商业银行系统性风险主要来自行业外部；“小银行大风险”问题突出；相对于其他行业，我国银行业系统性风险较高。最后提出了四点防范商业银行系统性风险的政策建议。
[Abstract]:In 2008, with the bankruptcy of Lehman Brothers, the American financial crisis broke out, which brought a serious negative impact to the global financial economy. This provides a living case for people to understand systemic risk, which, with its extreme infectivity and great destruction, has attracted great attention from government departments and scholars. Strengthening the supervision of systemic risk has also become the most important part of the financial supervision reform after the financial crisis. In this financial crisis, the banking industry of our country has not been seriously impacted. But this does not show how perfect the banking system in China, although since the reform of the listing, the capital adequacy of banks and the situation of non-performing loans has improved significantly, and the ability of risk resistance has been significantly enhanced. However, compared with foreign advanced banks, Chinese banks have great defects in property right system, corporate governance, internal control management and risk prevention. China's banking sector will be integrated into the volatility of the World Bank system, when the foreign banking crisis will bring a greater impact on the Chinese banking sector. It is of great significance to study the systemic risk of commercial banks in order to maintain the financial stability of our country. Starting from the concept of systemic risk of commercial banks, this paper expounds the main characteristics and formation theory of systemic risk of commercial banks, and then from profitability, security. Three aspects of liquidity of China's commercial banks after the financial crisis to make a general analysis of the status quo. Then four possible sources of systemic risk of commercial banks in China are discussed. Then the empirical analysis of systemic risk of 14 sample banks from 2008 to 2012 is carried out by using a single index model. It turns out. The systemic risk of commercial banks in China mainly comes from the outside of the industry. The problem of "big risk of small bank" is prominent; Compared with other industries, the systemic risk of China's banking industry is relatively high. Finally, four suggestions are put forward to prevent the systemic risk of commercial banks.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.33

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