基于巴塞尔协议Ⅲ的我国商业银行流动性风险管理研究
发布时间：2018-11-09 18:55
【摘要】：《巴塞尔协议Ⅲ》提出建立流动性覆盖率(LCR)和净稳定资金比例(NSFR)监测商业银行的流动性水平,从短期、长期和动态的角度全面关注银行业流动性风险。2013年6月针对我国商业银行“钱荒”事件,我国银监会出台《商业银行流动性风险管理指引》等系列法规加强对商业银行流动性风险的监管,理论界再次对贷存比指标的适用性进行了深入探讨。在新的历史条件下,商业银行的流动性风险成为理论界和实务界共同探讨的话题。本文在流动性风险监管的背景下研究当前我国商业银行的流动性风险管理现状,梳理国内外学者对于商业银行流动性风险的研究情况,重点提出本文的研究思路。其次,分析《巴塞尔协议Ⅲ》对于流动性风险的定义,以及商业银行流动性风险相关理论。第三章分析我国银监会确定的流动性指标差异,确定本文的指标变量,然后从整体和局部的角度选取17家商业银行进行分析我国银行业的流动性管理现状。第四章是实证分析,根据系统重要性银行的标准,选取2006年至2013年的我国商业银行的面板数据实证研究商业银行流动性风险影响因子,并且进行压力测试分析。最后,根据研究结论,从指标设计、商业银行和监管机构三个角度提出改善我国商业银行流动性风险管理的对策。
[Abstract]:Basel III proposes to establish liquidity coverage ratio (LCR) and net stable capital ratio (NSFR) to monitor the liquidity level of commercial banks. Focusing on the liquidity risk of the banking industry from a long-term and dynamic perspective. In June 2013, in response to the "money shortage" incident in China's commercial banks, China Banking Regulatory Commission (CBRC) has issued a series of regulations, such as "guidelines on liquidity risk Management of Commercial Banks", to strengthen the supervision of liquidity risks of commercial banks, and the applicability of the loan-to-deposit ratio index has been further discussed in the theoretical circle. Under the new historical conditions, the liquidity risk of commercial banks has become a common topic in theory and practice. Under the background of liquidity risk supervision, this paper studies the current situation of liquidity risk management of commercial banks in China, combs the research situation of domestic and foreign scholars on liquidity risk of commercial banks, and puts forward the research ideas of this paper. Secondly, it analyzes the definition of liquidity risk in Basel III and the theory of liquidity risk in commercial banks. The third chapter analyzes the liquidity index difference determined by China Banking Regulatory Commission, determines the index variables of this paper, and then selects 17 commercial banks from the overall and local perspective to analyze the liquidity management situation of China's banking industry. The fourth chapter is the empirical analysis. According to the criteria of systemically important banks, the panel data of Chinese commercial banks from 2006 to 2013 are selected to empirically study the influencing factors of liquidity risk of commercial banks, and carry on the stress test analysis. Finally, according to the conclusion of the study, the paper puts forward some countermeasures to improve the liquidity risk management of Chinese commercial banks from the three angles of index design, commercial banks and regulators.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.2
[Abstract]:Basel III proposes to establish liquidity coverage ratio (LCR) and net stable capital ratio (NSFR) to monitor the liquidity level of commercial banks. Focusing on the liquidity risk of the banking industry from a long-term and dynamic perspective. In June 2013, in response to the "money shortage" incident in China's commercial banks, China Banking Regulatory Commission (CBRC) has issued a series of regulations, such as "guidelines on liquidity risk Management of Commercial Banks", to strengthen the supervision of liquidity risks of commercial banks, and the applicability of the loan-to-deposit ratio index has been further discussed in the theoretical circle. Under the new historical conditions, the liquidity risk of commercial banks has become a common topic in theory and practice. Under the background of liquidity risk supervision, this paper studies the current situation of liquidity risk management of commercial banks in China, combs the research situation of domestic and foreign scholars on liquidity risk of commercial banks, and puts forward the research ideas of this paper. Secondly, it analyzes the definition of liquidity risk in Basel III and the theory of liquidity risk in commercial banks. The third chapter analyzes the liquidity index difference determined by China Banking Regulatory Commission, determines the index variables of this paper, and then selects 17 commercial banks from the overall and local perspective to analyze the liquidity management situation of China's banking industry. The fourth chapter is the empirical analysis. According to the criteria of systemically important banks, the panel data of Chinese commercial banks from 2006 to 2013 are selected to empirically study the influencing factors of liquidity risk of commercial banks, and carry on the stress test analysis. Finally, according to the conclusion of the study, the paper puts forward some countermeasures to improve the liquidity risk management of Chinese commercial banks from the three angles of index design, commercial banks and regulators.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.2
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