我国上市银行的系统性风险评价研究

发布时间：2018-03-01 13:14

本文关键词： 上市银行系统性风险 AHP法模糊综合评价　出处：《东华理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：在对外开放程度不断加大的背景下,我国金融体系正面临着内部环境和外部环境的双重考验。本次爆发的美国金融危机以及欧债危机使世界范围内的实体经济和金融市场产生了较大的震荡。因此,如何有效地防范和化解金融系统性风险,避免金融危机的爆发是一个重要的世界性课题。银行是我国金融体系中最重要的组成部分,对我国银行的系统性风险进行有效的识别和评价,并采取适当的方法对系统性风险进行防范和化解显得尤为重要和紧迫。本文以我国上市银行的系统性风险评价为研究对象,深入分析了我国上市银行系统性风险的构成;建立了由银行、宏观经济、金融、房地产和国际收支五个子系统构成的风险评价指标体系,对我国上市银行的系统性风险进行评价和分析;根据系统性风险防范的国际经验,结合我国银行风险实情,提出了应对银行系统性风险的对策。本文的研究内容主要分为四个部分,共七章:第一部分为理论分析,包括第一、二、三章。在系统总结已有文献关于银行系统性风险内涵、成因和评价方法的研究基础上,对我国银行的系统性风险定义、特征和评价方法进行界定;对相关银行系统性风险理论进行阐释,为后续风险构成分析、指标体系建立和监管建议的提出奠定基础。第二部分为风险分析,包括第四章。以我国上市银行的系统性风险为研究对象,对我国银行的发展情况进行分析,结合系统性风险传染机制的特点,对我国上市银行的系统性风险构成进行分析,为风险评价指标体系的建立打下基础。第三部分为实证研究,包括第五章。构建了我国上市银行的系统性风险评价指标体系,将AHP法和模糊综合评价法相结合,对2012年我国16家A股上市银行的系统性风险情况进行评价和分析,得出我国上市银行的系统性风险处于轻度风险的结论。第四部分为对策提出,包括第六、七章。对防范银行系统性风险的国际经验进行解析,结合我国银行系统性风险的实际情况,提出我国应对银行系统性风险的对策。本文的创新点为:(1)建立了一个有我国银行发展特点的银行系统性风险分析框架体系。从系统性风险的特征、传染机制出发,结合银行系统性风险成因的理论研究,对银行系统性风险的构成进行分析。(2)构建了由银行、宏观经济、金融、房地产、和国际收支这五个子系统组成的评价指标体系,这个评价指标体系可以根据不同发展阶段的银行系统性风险特点进行调整,具有很强的适用性和灵活性。
[Abstract]:Against the backdrop of an increasing degree of opening to the outside world, China's financial system is facing a double test of both internal and external environment. The current financial crisis in the United States and the European debt crisis have made the real economy and the financial market in the world more volatile. How to effectively prevent and defuse the financial systemic risk and avoid the outbreak of financial crisis is an important worldwide issue. Banks are the most important part of our financial system. It is very important and urgent to identify and evaluate the systemic risk of Chinese banks effectively, and to take appropriate methods to prevent and resolve the systemic risk. This paper deeply analyzes the composition of systemic risk of listed banks in China, and establishes a risk evaluation index system composed of five subsystems: bank, macro economy, finance, real estate and balance of payments. To evaluate and analyze the systemic risk of listed banks in China, to combine with the fact of bank risk in our country, according to the international experience of systematic risk prevention, The research content of this paper is divided into four parts: the first part is the theoretical analysis, including the first, second and third chapters. On the basis of the research of the causes and evaluation methods, the definition, characteristics and evaluation methods of the systemic risk of Chinese banks are defined, and the theory of systemic risk of the relevant banks is explained in order to analyze the composition of the subsequent risks. The second part is risk analysis, which includes 4th chapters. Taking the systemic risk of listed banks in China as the research object, the paper analyzes the development of Chinese banks. Combined with the characteristics of systemic risk contagion mechanism, this paper analyzes the systematic risk composition of listed banks in China, and lays a foundation for the establishment of risk evaluation index system. The third part is empirical research. It includes 5th chapters. The systematic risk evaluation index system of China's listed banks is constructed. The systematic risk of 16 A-share listed banks in China in 2012 is evaluated and analyzed by combining the AHP method with the fuzzy comprehensive evaluation method. The author draws the conclusion that the systemic risk of listed banks in our country is mild risk. Part 4th is the countermeasures, including 6th and 7 chapters. It analyzes the international experience of preventing the systemic risk of banks. Combined with the actual situation of systemic risk in Chinese banks, The innovation of this paper is to set up a systematic risk analysis system of banks with the characteristics of the development of Chinese banks, which is based on the characteristics of systemic risk and contagion mechanism. Based on the theoretical study of the causes of bank systemic risk, this paper analyzes the composition of bank systemic risk and constructs an evaluation index system composed of five subsystems: bank, macro economy, finance, real estate, and balance of payments. The evaluation index system can be adjusted according to the characteristics of systemic risk in different stages of development, and has strong applicability and flexibility.
【学位授予单位】：东华理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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