金融信息化及资本监管标准下的银行风险行为分析

发布时间：2018-02-20 14:31

本文关键词： 金融信息化资本监管风险防范行为分析　出处：《天津大学》2012年硕士论文　论文类型：学位论文

【摘要】：在市场经济体系之中，金融体系是一个非常重要的环节，现在的商业银行管理也已经开始从传统管理向全面管理转变，不仅要强调其负债比例，还重视风险管理。为此，本文采用模型分析，在期权定价方法下，假设商业银行所产生的资产水平的变化与几何布朗运动相符合。同时通过ITO积分，将股权价值之类的内容都当做衍生品，建立了基本微分方程，并在适当的边界条件下，对个参数的解进行了讨论，分析了银行可以采取的最优策略。在此基础上设计和实现了基于监管标准的商业银行行为追踪和管理系统，该系统包括三个部分:资产与负债信息统计子系统；资产风险管理子系统;运行时控制子系统。结合该系统的统计功能与银行的历史资料，研究了债务利息支付、资产风险、检查监管等对银行承担风险带来的影响。文章最后得出这样的结论，资本的监管标准以及监管检查将会影响到商业银行风险承担。风险调整要求充足的资本，而过去所采用的资本比率的方法能够促使倾向于低风险资产状态；而且如果监管当局对银行实施的监管如果非常严格，那么银行也会倾向于低风险资产状态。但是不得不承认的是，文章最后所得到的结论也必须在特定假设条件下进行讨论。其中最重要的假设条件是银行的股东和管理者之间不存在代理成本，也就是说二者利益是相吻合的。与实际的操作相比，这还存在一定差距，尤其是在我国当前还没有形成健全的企业制度的背景下。所以，今后重要的研究方向，，将是放松论文模型假定。
[Abstract]:In the market economy system, the financial system is a very important link, now the commercial bank management has already begun to change from the traditional management to the overall management, not only to emphasize its debt ratio, but also to attach importance to the risk management. This paper uses model analysis, under the option pricing method, assumes that the change of the level of assets produced by commercial banks is consistent with the geometric Brownian motion. At the same time, through the ITO integral, the value of equity is treated as a derivative. In this paper, the basic differential equations are established, and the solutions of some parameters are discussed under the proper boundary conditions. Based on the analysis of the optimal strategies that banks can take, a commercial bank behavior tracking and management system based on supervision standards is designed and implemented. The system consists of three parts: asset and liability information statistics subsystem; Asset risk management subsystem; runtime control subsystem. Combining the statistical function of the system and the historical data of the bank, the paper studies the debt interest payment, asset risk, Finally, the paper draws such a conclusion that capital supervision standards and supervision and inspection will affect commercial banks' risk-taking. Risk adjustment requires sufficient capital. The capital-to-capital ratio approach used in the past has led to a preference for low-risk asset conditions, and banks tend to be low-risk if regulators are very strict with banks. But we have to admit that the conclusion of this paper must also be discussed under certain assumptions, the most important of which is that there is no agency cost between the shareholders and managers of the bank. That is to say, the interests of the two are consistent. Compared with the actual operation, there is still a certain gap, especially under the background that our country has not yet formed a sound enterprise system. Therefore, the important research direction in the future, It will be a relaxation of the paper model assumptions.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F831.1

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