我国商业银行流动性风险评价及其监管研究

发布时间：2018-01-01 18:39

本文关键词：我国商业银行流动性风险评价及其监管研究　出处：《华中科技大学》2014年硕士论文　论文类型：学位论文

【摘要】：商业银行通过吸收存款和发放贷款等资金运作来实现业务运作，，在运营过程中可能会引发流动性风险。流动性风险一旦产生将会改变商业银行的日常运作规律，对其持续经营和支付能力产生重大影响，并伴随着破坏性。2007年，随着源自美国次贷危机的全球金融危机全面爆发后，银行业的流动性风险一触即发，银行业面临着巨额的资金压力，由于无法满足存款人的提款要求和贷款人的借款要求，许多历史悠久的大型商业银行纷纷宣布破产倒闭，使全球银行业的流动性风险问题进一步凸显。本文将选取12家上市商业银行样本，从Wind行业数据库中整理得到这些商业银行2013年的年度部分财务数据作为原始数据，对数据做一定调整后，运用SPSS软件做主成分分析，对我国上市商业银行的流动性风险状况作评价。实证结果表明，五大行的流动性风险普遍高于其他上市股份制商业银行，而且不同性质商业银行的流动性风险影响因素不同。另外，《中国银行业监督管理委员会年报》（2012）数据显示，我国银行业相对于欧美发达国家来说流动性风险较低，但是这并不意味着我国商业银行不存在流动性风险，近两年的钱荒现象表明我国银行业确实存在流动性风险隐患，所以一方面商业银行必须重视日常流动性管理，另一方面银监会必须针对我国银行业的特征对其实施有针对性的监管。为此，要从不同商业银行流动性风险的引发机制出发，遵循创新性、差异性、高效性、适应性、稳定性、协调性和渐进性的原则，从监管指标体系、监管机构、操作流程、业务模式、反馈机制、整体构架、危机处理等多角度考虑加强我国金融机构风险监管和危机处理能力。
[Abstract]:Commercial banks through the absorption of deposits and loans and other funds to achieve business operations, in the operation process may lead to liquidity risk. Once liquidity risk will change the day-to-day operation of commercial banks. In 2007, with the outbreak of the global financial crisis originating from the sub-prime mortgage crisis in the United States, the liquidity risk of the banking industry was imminent. The banking industry is facing huge financial pressure, because it can not meet the requirements of depositors and lenders to borrow money, many large commercial banks with a long history have declared bankruptcy. Make the liquidity risk problem of global banking more prominent. This paper will select 12 listed commercial banks samples from the Wind industry database to collate these commercial banks 2013 annual part of the financial data as the original data, after a certain adjustment of the data. The liquidity risk of China's listed commercial banks is evaluated by using SPSS software as principal component analysis. The empirical results show that the liquidity risk of the five banks is generally higher than that of other listed joint-stock commercial banks. Moreover, the influencing factors of liquidity risk of commercial banks are different. In addition, the annual report of the China Banking Regulatory Commission (CBRC) (No. 2012) shows that. Compared with the developed countries in Europe and the United States, the liquidity risk of China's banking industry is relatively low, but this does not mean that there is no liquidity risk in our commercial banks. The phenomenon of money shortage in recent two years shows that there is a hidden risk of liquidity in China's banking industry, so on the one hand, commercial banks must attach importance to daily liquidity management. On the other hand, the CBRC must carry out targeted supervision according to the characteristics of the banking industry in China. Therefore, we should proceed from the initiation mechanism of liquidity risk of different commercial banks, follow the innovation, diversity and high efficiency. Principles of adaptability, stability, coordination and progressiveness, from the regulatory indicator system, the regulatory body, the operation process, the business model, the feedback mechanism, the overall framework. Crisis management and other perspectives to strengthen China's financial institutions risk supervision and crisis management capacity.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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