巴塞尔协议Ⅲ下商业银行资产负债管理优化研究

发布时间：2018-04-16 18:03

本文选题：巴塞尔协议Ⅲ + 资产负债管理　；参考：《南开大学》2012年博士论文

【摘要】：资产负债管理能力是商业银行经营能力的基础，由于商业银行对一国经济的重要性，因此不断提高资产负债管理能力是商业银行常新的主题。资产负债管理是商业银行为了达到其经营目标，对自身经营业务全方位全过程的管理，以实现安全性、流动性和盈利性的平衡，其核心是风险管理和价值创造。自20世纪70年代以来，经济全球化的全面推进使得商业银行经营环境发生了根本性的变化，金融监管的放松导致金融创新的速度不断加快，金融衍生工具的广泛使用增加了市场的波动性，使商业银行的风险加大。为有效防范风险，做好资产负债管理，商业银行资产负债管理的内涵不断丰富，金融技术不断更新。但是金融危机仍然不时爆发，间隔时间愈来愈短，造成的损失愈来愈大，2007年次贷危机爆发后，使得全球经济从一个高增长低通胀的大稳健时期进入全面震荡、经济衰退时期，历时五年仍未摆脱，成为自20世纪30年代以来损失最严重影响最广的一次危机，欧美各大商业银行在本次危机中损失惨重，不少金融机构或破产或被收购，从而引起全球金融行业及监管机构对商业银行经营管理的反思，，催生了巴塞尔协议Ⅲ的出台，资本约束进一步加强，初次在全球统一出台流动性约束指标。我国商业银行能够在本次危机中避免损失过重，不是因为我国商业银行资产负债管理能力较强，而是由于我国金融市场开放程度低、金融监管较严、金融产品较少。危机前，我国正在推进巴塞尔Ⅱ协议的实施，在巴塞尔协议Ⅲ出台后，我国在一年内立即出台了中国版巴塞尔Ⅲ，自2012年1月1日起全面实施，中国银行业将面临比全球标准更严格的资本和流动性管制，传统根据专家评价法和简单资产负债比例管理再也不能满足中国商业银行面临的严峻形势。因此对商业银行建立流动性和负债约束下的资产负债管理优化模型就具有重要意义。本文第一章首先对本课题研究的背景和意义进行阐述，综合归纳和总结了国内外研究成果，最后介绍了本文的研究思路、研究的主要内容及创新之处；第二章回顾了西方商业银行资产负债管理理论和策略的发展过程，为本文的研究搭建了理论基础；接着第三章对2007年金融危机产生的原因进行了深刻的分析，从而引出巴塞尔协议Ⅲ的变化及中国版巴塞尔协议Ⅲ具体标准出台的原因，分析了未来对商业银行资产负债管理的重大影响。随后，论文第四章和第五章对商业银行资本约束和流动性进行了详细研究。在对流动性和资本约束的定义进行详细阐述后，论文对商业银行流动性和资本约束具体计量方法进行了评述，根据我国商业银行实际情况选择了适合的计量方法，建立了流动性和资本约束模型。第六章在前文流动性和资本约束模型的基础上，采用线性规划模型，根据我国商业银行实际利润构成情况建立银行净收益最大化函数，最后构建流动性和资本双约束下的资产负债优化模型，并进行了实证研究；第七章对中国银行业如何进行资产负债管理的改革提出了政策建议。文章最后对全文进行总结并对下一步研究进行了展望，在总结全文研究内容的基础上，反思了现有的不足及将来有待深入研究的方向。
[Abstract]:Asset - liability management ability is the basis of commercial banks ' operation ability , and because commercial banks are of great importance to a country ' s economy , the management ability of assets and liabilities is often the new subject of commercial banks . Asset - liability management is a new subject of commercial banks . Asset - liability management is the balance of the overall process of the operation of commercial banks in order to achieve their business objectives , and to realize the balance of safety , liquidity and profitability , the core of which is risk management and value creation .

Since the 1970s , the overall promotion of economic globalization has caused fundamental changes in the operation environment of commercial banks , and the relaxation of financial supervision has led to the rapid development of financial innovation .

China ' s commercial banks are able to avoid excessive losses in the current crisis , not because China ' s commercial banks have a strong ability to manage their assets and liabilities , but because China ' s financial market is open to a low degree , financial supervision is stricter and financial products are less . In the year after the Basel II agreement , China ' s banking industry will face more restrictive capital and liquidity control than the global standard . The traditional Chinese banking industry will no longer meet the severe situation faced by China ' s commercial banks . Therefore , it is of great significance to establish a model of asset - liability management optimization under the constraints of liquidity and liabilities .

In the first chapter , the thesis expounds the background and significance of the research of the subject , summarizes and summarizes the research results at home and abroad , and finally introduces the research ideas , the main contents and innovations of the research .
The second chapter reviews the development process of asset liability management theory and strategy in western commercial banks , and sets up a theoretical basis for the study of this paper .
Then the third chapter deeply analyzes the causes of the financial crisis in 2007 , thus leading out the changes of Basel III and the reasons for the specific standards of Basel III in China , and analyzes the major impact of the future on the management of assets and liabilities of commercial banks .

In chapter 4 and chapter 5 , the capital constraints and liquidity of commercial banks are studied in detail . After detailed description of the definition of liquidity and capital constraints , the paper reviews the specific measures for the liquidity and capital constraints of commercial banks . According to the actual situation of commercial banks in China , the appropriate measurement methods are selected , and the liquidity and capital constraint models are established .

In the sixth chapter , on the basis of the former liquidity and the capital constraint model , a linear programming model is adopted to establish the net income maximization function of the bank according to the actual profit structure of the commercial banks in China . Finally , the optimization model of the assets and liabilities under the liquidity and capital double constraints is constructed , and the empirical research is carried out ;
Chapter 7 puts forward policy suggestions on how to carry out the management of assets and liabilities in China ' s banking industry .

At last , the paper summarizes the full text and looks forward to the next study . On the basis of summarizing the contents of the whole text , the article reflects the shortcomings and the direction to be further studied in the future .

【学位授予单位】：南开大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.33

【参考文献】