关于我国上市商业银行市场风险压力测试的实证研究

发布时间：2018-05-12 13:54

本文选题：上市商业银行 + 市场风险　；参考：《南京大学》2014年硕士论文

【摘要】：2007年美国次贷危机引发的金融危机给全球商业银行敲响了警钟,同时也让银行认识到压力测试的重要性,而不仅仅是依赖VaR模型。压力测试主要具有在极端情况下量化银行的风险暴露进而建立起风险因素与银行财务状况关联性的功能,目前,国际银行业及风险管理组织都着力强调压力测试的重要性,并作为当前市场风险管理的重点。随着我国的利率和汇率的不稳定性风险越来越大,以及我国商业银行业务规模不断扩大,压力测试在我国商业银行市场风险管理中的地位也越来越重要。目前我国商业银行压力测试主要用于信用风险的实证分析,在市场风险压力测试方面的研究相对较少。在这样的背景下,本文主要针对我国16家上市商业银行的市场风险进行压力测试实证研究,以期为今后我国商业银行在进行市场风险压力测试方面提供一些参考。通过对以往文献的回顾,发现我国学者在压力测试方面主要关注压力测试理论、国外研究经验借鉴和信用风险实证上,在市场风险压力测试方面的研究却相对比较少,因此本文主要以我国目前16家上市银行为样本,对其利率和汇率风险进行分析,并通过压力测试进行实证。通过对市场风险压力测试模型的回顾与分析,在利率风险压力测试方面,本文主要利用利率敏感性缺口中的再定价缺口模型来分析银行利率风险；在汇率风险压力测试方面,本文主要利用汇率敏感性缺口模型中的净汇总敞口(NAP)模型来分析银行汇率风险。本文根据我国2002年至2012年间的利率走势情况以及2005年4月至2013年12月人民币对美元汇率走势情况来分别分析确定利率和汇率风险压力测试的情景,并以此为基础对16家上市商业银行市场风险进行压力测试实证研究。通过实证分析结果发现,在利率风险方面,包括交通银行在内的五大国有商业银行面临的极端利率风险普遍高于其他股份制商业银行,这与目前我国国有商业银行主要仍依赖于存贷差盈利的模式有关,在未来的利率市场化过程中,国有商业银行应当重视其面临的利率风险,并有效改善自己的盈利结构,避免严重的利率风险；而在汇率风险方面,持有大量外汇的工商银行和中国银行面临的汇率风险远高于其他银行,中国银行主要由于其外汇业务的特殊性而面临高汇率风险,而工商银行近年来所持外汇数量不断攀升,一旦汇率风险激增,那么其汇率风险将可能超过中国银行,在未来的发展过程中,工商银行应予以重视。总体来讲,汇率风险总体上对我国一般商业银行的影响较小。
[Abstract]:The financial crisis triggered by the U.S. subprime mortgage crisis in 2007 sounded alarm bells for commercial banks around the world, but also made banks realize the importance of stress testing, not just relying on VaR models. Stress testing mainly has the function of quantifying the risk exposure of banks in extreme circumstances and establishing the correlation between risk factors and banks' financial situation. At present, international banking and risk management organizations emphasize the importance of stress testing. And as the current focus of market risk management. With the increasing risk of instability of interest rate and exchange rate and the expansion of commercial bank business in China, stress testing plays an increasingly important role in the market risk management of commercial banks in China. At present, the stress test of commercial banks in China is mainly used in the empirical analysis of credit risk, but the research on market risk stress test is relatively few. In this context, this paper mainly focuses on the market risk of 16 listed commercial banks in China to carry out empirical research on the market risk, in order to provide some references for the future market risk testing of Chinese commercial banks. By reviewing the previous literatures, it is found that Chinese scholars mainly pay attention to the theory of stress testing in the field of stress testing, while foreign research experiences and credit risk empirical studies are relatively few in the field of market risk stress testing. Therefore, this paper mainly takes 16 listed banks as samples, analyzes the interest rate and exchange rate risk, and carries on the demonstration through the stress test. Through the review and analysis of the market risk stress test model, this paper mainly uses the repricing gap model in the interest rate sensitivity gap to analyze the bank interest rate risk, and in the exchange rate risk pressure test, the paper mainly uses the repricing gap model in the interest rate sensitivity gap to analyze the bank interest rate risk. In this paper, the net aggregate exposure (NAP) model in the gap model of exchange rate sensitivity is used to analyze the exchange rate risk of banks. According to the trend of interest rate in China from 2002 to 2012 and the trend of RMB exchange rate against US dollar from April 2005 to December 2013, this paper analyzes the situation of interest rate and exchange rate risk stress test respectively. On the basis of this, the market risk of 16 listed commercial banks is tested empirically. Through empirical analysis, it is found that, in terms of interest rate risk, the extreme interest rate risk faced by five state-owned commercial banks, including Bank of Communications, is generally higher than that of other joint-stock commercial banks. This is related to the mode that the state-owned commercial banks still rely on the profit of deposit and loan. In the future interest rate marketization process, the state-owned commercial banks should pay attention to the interest rate risk they face and improve their profit structure effectively. In terms of exchange rate risks, ICBC and Bank of China, which hold a large amount of foreign exchange, face much higher exchange rate risks than other banks. The Bank of China faces high exchange rate risks mainly because of the particularity of its foreign exchange operations. The amount of foreign exchange held by ICBC has been rising in recent years. Once the exchange rate risk surges, the exchange rate risk will probably exceed that of Bank of China. In the future development process, ICBC should pay attention to it. Generally speaking, exchange rate risk has little influence on Chinese commercial banks.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

【相似文献】