大额支付系统流动性风险分析

发布时间：2018-09-03 10:55

【摘要】：当今世界的市场经济中,支付系统从诞生到现在都是一国或者某一地区在金融基础设施方面最为重要的部分。它的构成主要包括三个方面,即转移资金的相关规则、能够使支付指令传送并完成结算的手段以及提供支付清结算服务的相关金融机构。换而言之,支付系统是在金融制度上对清偿的债务和资金的转移所进行的一种宏观的安排。在金融体系中,所有的金融交易或金融活动都可以被归纳为资金在不同的机构之间或者部门之间进行流动。支付系统能够帮助金融机构偿还其债务、完成支付资金的结算,它是整个金融体系正常运行的“血液循环系统”,是金融服务的核心要素,是金融核心设施的主心骨。从上个世纪七八十年代开始,越来越多的国家或地区逐渐意识到了建设支付系统、维护支付系统安全与稳定的重要性。很多国家的中央银行、货币监管当局甚至各类金融服务机构对支付系统的重视和认识程度不断提高,他们都非常重视支付系统的稳定及建设。如果说金融是现代经济的支柱,那么支付系统就可以说是现代市场经济中金融体系的“血脉”,它可以为整个金融体系甚至社会经济输送“血液”。在国民经济运行中金融一直都处于重要的核心地位,支付系统面临风险就意味着金融体系面临风险,支付系统安全与稳定发展就更显重要。支付系统风险是指支付系统由于各方面的因素可能导致系统出现损失或者无法正常运行的不确定性。支付系统风险可能产生与支付系统的每个方面,可能是支付系统参与者引起或造成的,也可能是支付系统自身运作模式所附带的,还有可能是支付系统的周边环境、相关市场所带来的。不管这些风险来源于何处,风险的表现及传播都会对支付系统的正常运行造成不可忽视的损失,并通过支付系统的网络波及到经济、社会中的各类交易活动。要想对支付系统风险进行有效的控制和防范,必须针对其不同的表现形式进行风险细分,在风险分类的基础上,找出风险的源头,制定针对性的防范对策。在我国学术界,不同的学者对支付系统风险进行研究的方法或切入点不同,其分类方法也存在不同的差别,因而支付系统风险被细分为很多不同的种类。目前而言,国内出现较多的分类方法是,将支付系统风险细分为流动性风险、运行风险、法律风险、系统风险、信用风险五种类型,也有学者认为应该在这五类的基础上加入道德风险和外汇风险,还有学者认为应该加入新的风险类型。在这些不同的风险类别中,流动性风险是最为常见也最为基础的一类风险,它是指支付系统参与者在系统的规定时限内无法拥有足够的资金用于结算其在支付系统内的相关债务、从而对相关各方造成损失的可能性或不确定性。从支付系统流动性风险的概念出发,可以深入地研究支付系统流动性风险的表现特点、产生原因及其造成的后果影响。要想对支付系统的流动性风险进行有效的控制防范、实施风险管理的措施及对策,必须首先了解和分析流动性风险产生的原因。一般而言,流动性风险产生的原因可以分为外因和内因,外因是指来自于支付系统自身流动性设计机制方面的原因,而内因是支付系统参与者自身流动性方面的原因。从外因来看,流动性风险主要表现在大额支付系统的流动性机制设计以及流动性风险控制上的不完善。因而,我国应该借鉴和学习国际上一些先进支付系统在流动性风险管理控制方面的经验,例如美国的联邦储备体系资金转账系统FEDWIRE、美国纽约清算所私营的银行同业支付系统CHIPS、瑞士跨行清算系统SIC,它们都在流动性风险管理方面有着国际领先的技术或机制。FEDWIRE允许日间流动性透支、设置透支上限及期限、为证券记账凭证抵押担保;CHIPS为系统参与者提供一定信贷限额,并要求支付指令发送方在支付结算前在账户上预存一定备付金,成立董事会对申请加入系统的机构进行资质审核；SIC采用无透支机制,对不足以结算的支付进行排队等待,对由于流动性不充足而造成支付延迟的指令发送方加收利息。这些先进的经验都值得我国现代化支付系统CNAPS学习和借鉴。从内因来看,是由于系统参与者的自身原因造成流动性的不充足,从而蔓延引发系统的流动性风险。系统参与者的相关财务指标能够反映出参与者的经营状况及流动性管理能力,这些指标在影响机构自身短期偿债能力的同时,也会对系统造成潜在的流动性风险概率。因而,利用大额支付系统多个系统参与者的相关财务指标构成的面板数据,对大额支付系统潜在的流动性风险概率进行计量回归分析,在经过对模型有效性的检验之后,运用估计出的模型对系统整体的潜在风险进行评价,得出我国系统潜在风险概率逐年略有上升趋势、其概率水平该引起重视的结论。本文主要分为六章。第一章是绪论部分,内容包括三节。第一节介绍本文研究的背景和意义,第二节介绍论文的研究思路和研究方法,第三节介绍分析论文的创新点以及存在的不足之处。第二章将对国内外在支付系统风险的研究文献进行总结和梳理,形成文献综述。本章将分国内和国外两个方面来对前人的研究成果进行综述。由于我国对支付系统流动性风险的研究成果相对较少,笔者在对其进行总结的同时,也搜集整理了一些关于支付系统风险的研究文献,也将其进行了综述。第三章将对大额支付系统的流动性风险进行理论层面的分析,内容分为四节。第一节引入支付与支付系统的相关概念；第二节分析大额支付系统的系统参与者；第三节详细分析大额支付系统的流动性风险,包括其定义、特征、成因及后果；第四节分析流动性风险与大额支付系统其他风险之间的联系。第四章将比较国内外几个重要的大额支付系统对流动性风险进行管理和控制的机制,分析我国大额支付系统在流动性风险管理方面可以借鉴的地方。第一节将介绍美国的联邦储备体系资金转账系统FEDWIRE,第二节介绍美国纽约的清算所银行同业支付系统CHIPS,第三节分析瑞士的跨行清算系统SIC,第四节在对比前面三个支付系统的基础上介绍我国的大额支付系统CNAPS。第五章是本文的实证部分,将对我国大额支付系统的潜在流动性风险概率进行评估,从系统参与者——商业银行的角度出发,选取了四个解释变量构建计量模型,通过搜集整理的八家银行从2000年到2010年的面板数据,运用Eviews6.0计量软件来对系统潜在的流动性风险概率进行回归分析,得出相应的实证分析结果。第六章将总结全文,综合和总结前四章所得出的主要结果,得出本文的主要结论,并对我国大额支付系统的流动性风险管理提出一些建议。本文的创新之处主要体现在,在综述国内外先进研究成果的基础上,比较论述了国际上几个著名的支付系统对流动性风险进行防范控制的先进经验,并选取了相关指标变量对我国大额支付系统的潜在风险概率进行回归分析,对系统参与者和系统监管者提出针对性的建议。但是由于笔者的学术能力有限,理论深度和实证价值有所限制,论文仍然存在一定不足,笔者仅希望能以此文对相关领域的研究贡献自己的绵薄之力。
[Abstract]:In today's world market economy, payment system is the most important part of financial infrastructure in a country or a region from its birth to the present. Its composition mainly includes three aspects, namely, the relevant rules of transfer of funds, the means by which payment orders can be transmitted and settled, and the phase by which payment and settlement services can be provided. In other words, the payment system is a macro arrangement for the liquidation of debts and the transfer of funds in the financial system. In the financial system, all financial transactions or financial activities can be summarized as the flow of funds between different institutions or departments. The payment system can help finance. Institutions repay their debts and complete the settlement of payment funds, which is the normal operation of the entire financial system "blood circulation system", is the core elements of financial services, is the backbone of the core financial facilities.
Since the 1970s and 1980s, more and more countries or regions have gradually realized the importance of building payment systems and maintaining the security and stability of payment systems. If finance is the pillar of the modern economy, then the payment system can be said to be the "blood" of the financial system in the modern market economy. It can transport "blood" to the whole financial system and even to the social economy. Facing risks means that the financial system is facing risks, and the security and stability of payment system is more important.
Payment system risk refers to the uncertainty that the payment system may suffer losses or fail to operate normally due to various factors. Payment system risk may occur in every aspect of the payment system, which may be caused or caused by the participants in the payment system, or may be attached to the operation mode of the payment system itself, and No matter where these risks originate, the performance and dissemination of the risks will cause losses that can not be ignored in the normal operation of the payment system, and spread to all kinds of transactions in the economy and society through the network of the payment system. Effective control and prevention must be aimed at its different manifestations of risk segmentation, on the basis of risk classification, identify the source of risk, formulate targeted countermeasures.
In the academic circles of our country, different scholars have different research methods or entry points on the risk of payment system, and their classification methods are also different, so the risk of payment system is divided into many different categories. There are five types of risk: insurance, legal risk, system risk and credit risk. Some scholars believe that moral risk and foreign exchange risk should be added to the five types of risk. Others believe that new types of risk should be added.
Among these different risk categories, liquidity risk is the most common and basic one. It refers to the possibility or uncertainty of loss caused by the participants in the payment system who can not have enough funds to settle their debts within the specified time limit of the system. Starting from the concept of system liquidity risk, we can deeply study the performance characteristics, causes and consequences of liquidity risk in payment system. In order to effectively control and prevent the liquidity risk in payment system, we must first understand and analyze the origin of liquidity risk. Generally speaking, the causes of liquidity risk can be divided into external factors and internal factors. External factors refer to the reasons from the design mechanism of the liquidity of the payment system itself, while internal factors are the reasons for the liquidity of the participants in the payment system itself.
From the external point of view, liquidity risk is mainly manifested in the design of Liquidity Mechanism and the control of liquidity risk in the large-scale payment system. Therefore, China should learn from some advanced international payment systems in the management and control of liquidity risk, such as the Federal Reserve System Fund Transfer System (FEDW) in the United States. IRE, the NYC Private Interbank Payment System (CHIPS) and Swiss Interbank Clearing System (SIC), all have internationally leading technologies or mechanisms for liquidity risk management. Set a credit limit and require the sender of the payment order to deposit a certain amount of reserve money in the account before payment and settlement, and set up a board of directors to examine the qualifications of the institutions applying to join the system; SIC uses a no-overdraft mechanism to queue up payments that are insufficient to settle, and sends instructions that are delayed due to insufficient liquidity. The interest is collected by the side. These advanced experiences are worth learning and drawing lessons from our modern payment system CNAPS.
From the point of view of internal factors, it is the insufficient liquidity caused by the system participants themselves, which spreads and causes the system liquidity risk. The relevant financial indicators of the system participants can reflect the participants'operating conditions and liquidity management ability, and these indicators can affect the short-term solvency of the organization itself, but also pair with each other. Therefore, the potential liquidity risk probability of large-scale payment system is analyzed by econometric regression using panel data composed of multiple system participants'relevant financial indicators. After checking the validity of the model, the potential liquidity risk probability of large-scale payment system is estimated by using the estimated model. In the risk assessment, it is concluded that the probability of system potential risk in China has a slightly increasing trend year by year, and the probability level should be paid attention to.
This article is mainly divided into six chapters.
The first section introduces the background and significance of this study, the second section introduces the research ideas and methods, and the third section introduces the innovation and shortcomings of the analysis paper.
The second chapter will summarize and sort out the domestic and foreign research literature on the risk of payment system, and form a literature review. This chapter will be divided into domestic and foreign two aspects to review the previous research results. Some research literatures on risk of payment system were also reviewed.
The third chapter will analyze the liquidity risk of large-sum payment system from the theoretical level, which is divided into four sections. The first section introduces the related concepts of payment and payment system; the second section analyzes the system participants of large-sum payment system; the third section analyzes the liquidity risk of large-sum payment system in detail, including its definition, characteristics, causes and afterwards. Guo; the fourth section analyzes the relationship between liquidity risk and other risks of large payment system.
Chapter 4 will compare several important large-sum payment systems at home and abroad to manage and control liquidity risk, and analyze what China's large-sum payment system can learn from in liquidity risk management. The third section analyzes the Swiss inter-bank clearing system SIC, and the fourth section introduces China's large-sum payment system CNAPS on the basis of comparing the previous three payment systems.
The fifth chapter is the empirical part of this paper, which will evaluate the potential liquidity risk probability of China's large-scale payment system. From the perspective of the system participants-commercial banks, this paper selects four explanatory variables to construct the econometric model, collects the panel data of eight banks from 2000 to 2010, and uses Eviews 6.0 to measure the software. The regression analysis of the potential liquidity risk probability of the system is carried out, and the corresponding empirical analysis results are obtained.
Chapter 6 will summarize the full text, synthesize and summarize the main results of the first four chapters, draw the main conclusions of this paper, and put forward some suggestions on liquidity risk management of large-scale payment system in China.
The innovation of this paper is mainly embodied in that, on the basis of reviewing the advanced research results at home and abroad, this paper compares and discusses the advanced experience of several famous international payment systems in preventing and controlling the liquidity risk, and selects the relevant index variables to make regression analysis on the potential risk probability of large-sum payment system in China, and gives the system parameters. However, due to my limited academic ability, theoretical depth and empirical value, there are still some shortcomings in this paper. I only hope that this paper can contribute to the research in related fields.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.2

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