城市商业银行流动性风险管理研究

发布时间：2018-04-30 18:53

本文选题：城市商业银行 + 流动性风险　；参考：《中国海洋大学》2012年硕士论文

【摘要】：2007年9月美国爆发的次贷危机，使美国部分银行出现巨额亏损甚至倒闭，迅速波及全球其他国家，并最终演变成了一场全球性的金融风暴。在危机冲击下，全球金融市场陷入流动性短缺困境，给全球金融稳定和经济可持续发展带来了严峻挑战。同时，2010年以来，在通货膨胀压力居高不下、欧美日实施量化宽松货币政策的背景下，我国中央银行开始实施稳健货币政策，我国商业银行流动性风险管理能力受到严峻考验，面临的外部宏观和内部微观环境日益严峻和复杂。在这种背景下，国内外学者研究商业银行流动性风险管理的问题再次迅速升温，如何加强商业银行的流动性风险管理，也是仁者见仁、智者见智。本文采用理论与实证相结合的研究方法，对商业银行流动性风险管理从理论依据上进行详细阐述，，对当前城市商业银行潜在的流动性风险进行识别，对商业银行流动性风险进行评估和计量，并结合实证结论提出加强城市商业银行流动性风险管理的相关结论。实证部分，选取一家样本城市商业银行—LS银行，利用聚类分析法和因子分析法，通过对搜集的流动性风险指标时间序列数据处理，与部分上市银行流动性风险进行横向比较，对其自身2008年以来流动性风险状况进行纵向比较分析，进一步验证城市商业银行潜在的流动性风险及管理不足。论文中大量的数据资料均根据权威统计资料进行计算，增强了论文的严谨度和可信度，提高了文章的说服力。本文可能的创新之处在于在研究过程中采用聚类分析和因子分析方法对目前极具代表性的城市商业银行的流动性风险管理实践进行实证分析，具有较强的理论价值和现实应用价值，为商业银行流动性风险管理理论提供了一个较好的实证案例；同时，运用大量数据，通过计量分析，对比了当前我国城市商业银行与其他银行流动性风险的现状，较为全面地提出了完善城市商业银行流动性风险管理的政策建议。本文共六部分：第一部分是导论，介绍论文的选题背景和研究意义、相关问题的国内外研究现状、本文的结构框架及创新和不足之处等；第二部分为商业银行流动性风险管理综述，主要介绍流动性风险管理的相关概念，分析流动性风险的成因、分类，阐述流动性风险管理主要理论，介绍了衡量流动性风险主要评价方法等；第三部分是风险识别部分，以山东省城市商业银行数据为例，对当前城市商业银行潜在的流动性风险进行识别和分析，并对当前城市商业银行流动性风险成因从管理角度进行探讨；第四部分为城市商业银行流动性风险的实证计量部分，利用多家银行时间序列数据，通过计量分析模型，对城市商业银行流动性风险进行实证评价；结合前面的论述和分析，第五部分给出了加强城市商业银行流动性风险管理的政策建议；第六部分是结论和展望部分，为下一步延伸研究提供思路。
[Abstract]:In September 2007, the subprime crisis broke out in the United States, which made some American banks lose huge losses and even bankrupt, quickly spread to other countries in the world, and eventually turned into a global financial storm. Under the impact of the crisis, the global financial market fell into a dilemma of liquidity shortage, which brought serious financial stability and sustainable economic development. At the same time, since 2010, in the context of high inflation pressure and the implementation of quantitative easing monetary policy in Europe and the United States and Japan, the Central Bank of China began to implement robust monetary policy. The liquidity risk management ability of commercial banks in our country is severely tested, and the external macro and internal micro environment is increasingly severe and complicated. Under the background, the domestic and foreign scholars study the liquidity risk management of commercial banks again rapidly. How to strengthen the liquidity risk management of commercial banks is also different from different people.
Based on the theoretical and empirical research methods, this paper expounds the liquidity risk management of commercial banks in detail, identifies the potential liquidity risks of the current urban commercial banks, evaluates and measures the liquidity risk of commercial banks, and puts forward the empirical conclusions to strengthen the flow of urban commercial banks. The empirical part, empirical part, selected a sample City Commercial Bank - LS bank, using cluster analysis and factor analysis method, through the collection of the liquidity risk index time series data processing, and some listed banks liquidity risk horizontal comparison, to its own liquidity risk situation since 2008. Longitudinal comparative analysis is carried out to further verify the potential liquidity risk and lack of management of urban commercial banks. A large number of data in this paper are calculated according to authoritative statistics, which enhances the degree of rigor and credibility of the paper, and improves the persuasiveness of the article.
The possible innovation of this paper is to use cluster analysis and factor analysis in the research process to carry out empirical analysis on the liquidity risk management practice of the most representative city commercial banks, which has strong theoretical value and practical application value, and provides a better theory for the liquidity risk management theory of commercial banks. At the same time, by using a large amount of data, the current situation of the liquidity risk of urban commercial banks and other banks in China is compared through a large amount of data, and the policy suggestions for improving the liquidity risk management of urban commercial banks are put forward in a more comprehensive way.
This article consists of six parts: the first part is the introduction, which introduces the background and significance of the topic, the status of domestic and foreign research, the structure of this paper, the innovation and inadequacies, and the second part is a summary of the liquidity risk management of commercial banks, mainly introducing the related concepts of liquidity risk management, and analyzing the liquidity risk. The main theory of liquidity risk management is introduced, and the main evaluation method of liquidity risk is introduced. The third part is the risk identification part. Taking the data of Shandong City Commercial Bank as an example, the potential liquidity risk of the current urban commercial banks is identified and analyzed, and the current urban commercial banks are flowing. The fourth part is the empirical measurement of the liquidity risk of urban commercial banks, the empirical evaluation of the liquidity risk of urban commercial banks through the econometric analysis model, and the fifth part of the city commercial bank's liquidity risk. The policy recommendations of liquidity risk management for commercial banks; the sixth part is the conclusion and outlook part, providing ideas for further research.

【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

【引证文献】