大型商业银行流动性风险的度量及其影响因素研究

发布时间：2018-09-08 19:29

【摘要】：缘起次级流通债券再证券化的2008年次贷危机不仅将美国推入了经济衰退,更是一夜之间让流动性成为了全球商业银行关注的焦点。由流动性危机引发的众多银行破产事件令全球金融市场一度风声鹤唳。为了应对经济衰退以及金融市场的动荡,包括中国政府在内的各国政府都实行了程度不同的财政刺激政策。然而,伴随着中国政府“4万亿”财政刺激政策的是更为宽松的货币政策。宽松货币政策的实行直接助长了银行资产负债表的急剧扩张。事实上,后来的数据资料显示当时大量资金流向了房地产、基础设施以及一些产能过剩行业的国企,这无疑加重了大型商业银行1“短借长用”的资金期限错配程度,成为了其流动性问题的潜在不安因素。众所周知,商业银行的资金来自于高流动性的低成本负债,而去向多为缺乏流动性的高利润资产。因而,大型商业银行不仅为整个社会创造流动性,也同时面对着整个社会的流动性冲击。作为大型商业银行面临的主要风险之一,流动性风险管理是其一项基本而重要工作。因此,计量大型商业银行流动性风险的水平以及对其影响因素进行研究分析是极具意义的。文章首先阐述了商业银行流动性问题的概念以及产生的途径,同时总结了西方商业银行流动性风险度量理论：包括流动性风险的静态和动态衡量方法。在对商业银行流动性衡量方法总结的基础上,本文分析了五家大型商业银行基于资产负债结构的内部流动性现状,包括对存贷比、个人储蓄存款中定期存款占比等指标进行比较研究。结果显示,各家大型商业银行存在着存款活期化,长期贷款占比大等流动性问题。承接上文流动性风险度量理论以及现状分析的是实证部分。本文实证紧紧围绕着大型商业银行流动性风险的度量和影响因素两部分来展开。在介绍了西方商业银行一些传统的流动性静态指标以及动态衡量方法后,本部分通过主成分分析法将包括存贷比在内的三个指标转换成一个综合得分,以此得到五家大型商业银行十年间的流动性状况的综合评价。对于大型商业银行流动性风险的影响因素这一部分,我们将主成分分析法得到的综合得分序列作为流动性风险变量,运用灰色关联分析法比较研究流动性风险状况与其影响因素之间的关联度。最后,本文将现状比较、理论分析、实证研究相结合,从微观和宏观两个方面提出加强大型商业银行流动性风险管理的对策建议。
[Abstract]:The subprime mortgage crisis of 2008, which led to the resecuritization of subprime bonds, not only pushed the United States into recession, but also made liquidity the focus of global commercial banks overnight. Bank failures triggered by the liquidity crisis have rattled global financial markets. In response to the recession and turmoil in financial markets, governments, including the Chinese government, have adopted fiscal stimulus policies of varying degrees. However, the Chinese government's "4 trillion" fiscal stimulus was accompanied by looser monetary policy. The implementation of loose monetary policy directly contributed to the rapid expansion of bank balance sheets. In fact, later data showed that a large amount of money was flowing into real estate, infrastructure, and state-owned enterprises in some industries with overcapacity, which undoubtedly aggravated the mismatch of large commercial banks'"short borrowing and long term" funds. It has become a potential source of unease for its liquidity problems. It is well known that commercial banks' funds come from highly liquid, low cost liabilities, and to illiquid, highly profitable assets. Therefore, large commercial banks not only create liquidity for the whole society, but also face the liquidity impact of the whole society. As one of the main risks faced by large commercial banks, liquidity risk management is a basic and important work. Therefore, it is of great significance to measure the level of liquidity risk of large commercial banks and analyze its influencing factors. This paper first expounds the concept of liquidity problem of commercial banks and the ways to produce it. At the same time, it summarizes the measurement theory of liquidity risk in western commercial banks, including the static and dynamic measurement methods of liquidity risk. On the basis of summing up the methods of measuring liquidity of commercial banks, this paper analyzes the present situation of internal liquidity of five large commercial banks based on the structure of assets and liabilities, including the ratio of deposit to loan. This paper makes a comparative study on the proportion of time deposits in personal savings deposits. The results show that large commercial banks have liquidity problems such as deposit demand and long-term loans. To undertake the liquidity risk measurement theory and current situation analysis is the empirical part. This paper focuses on the measurement and influencing factors of liquidity risk of large commercial banks. After introducing some traditional static liquidity indicators and dynamic measurement methods of western commercial banks, this part converts three indexes, including deposit to loan ratio, into a comprehensive score by principal component analysis. In this way, five large commercial banks for 10 years of comprehensive evaluation of the liquidity situation. For the part of influencing factors of liquidity risk of large commercial banks, we take the synthetic score sequence obtained by principal component analysis as liquidity risk variable. The relationship between liquidity risk and its influencing factors is studied by grey relational analysis. Finally, this paper compares the current situation, theoretical analysis, empirical research, from the micro and macro two aspects of strengthening the liquidity risk management of large commercial banks countermeasures.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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