中国民生银行流动性风险实证研究

发布时间：2018-01-14 19:06

本文关键词：中国民生银行流动性风险实证研究　出处：《江西农业大学》2012年硕士论文　论文类型：学位论文

【摘要】：在现代金融经济中,盈利性、流动性和安全性的有机统一是商业银行经营及管理过程中的三项基本原则。其中,流动性可以说是整个商业银行体系的“命脉”。流动性风险成为商业银行所面临的最基本、最核心风险,它是商业银行所有风险最终的表现形式。因此,它的影响直接危及到商业银行的命运及整个金融体系的稳定。本文以商业银行流动性风险为研究对象,以中国民生银行(下称：民生银行)资产负债状况为研究样本,以中国人民银行、中国银监会颁布的相关政策法规及监管指标为参考,综合运用了文献研究法、数理统计法、定量分析法、比较分析法等研究手段,从资产负债管理角度研究了民生银行自1996年成立至2011年以来的流动性状况及影响因素,对流动性历史波动表现出来的流动性风险问题进行了相应分析。其中,重点考察了金融危机前后民生银行流动性历史波动情况,并对其原因进行了分析；此外,还对影响流动性的测度指标间的关联进行了初步的因果分析及灰度分析。在实证的基础上,结合民生银行目前流动性风险管理实际情况,总结出民生银行在流动性风险管理中存在的问题；最后,对改善民生银行流动性风险管理提出了宏观政策监管层面及微观经营管理层面的建议。
[Abstract]:In the modern financial economy, the organic unity of profitability, liquidity and security are the three basic principles in the process of commercial bank management and management. Liquidity can be said to be the lifeblood of the whole commercial banking system. Liquidity risk has become the most basic and core risk faced by commercial banks, and it is the ultimate manifestation of all risks in commercial banks. Its influence directly endangers the fate of commercial banks and the stability of the entire financial system. This paper takes the liquidity risk of commercial banks as the research object, taking the assets and liabilities of Minsheng Bank of China as the research sample, and the people's Bank of China. The relevant policies and regulations promulgated by China Banking Regulatory Commission and regulatory indicators for reference, comprehensive use of literature research, mathematical statistics, quantitative analysis, comparative analysis and other research means. From the perspective of asset liability management, this paper studies the liquidity status and influencing factors of Minsheng Bank since its establishment from 1996 to 2011. The paper makes a corresponding analysis on the liquidity risk of the historical fluctuation of liquidity. Among them, it focuses on the historical fluctuation of the liquidity of the people's livelihood bank before and after the financial crisis, and analyzes the reasons for it. In addition, the paper also carries on the preliminary causality analysis and the gray scale analysis to the correlation between the measure indexes which affect the liquidity. On the basis of the empirical analysis, combined with the actual situation of the current liquidity risk management of Minsheng Bank. Summarize the problems existing in the liquidity risk management of Minsheng Bank; Finally, some suggestions are put forward to improve the liquidity risk management of Minsheng Bank.
【学位授予单位】：江西农业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

【引证文献】