我国商业银行系统性风险影响因素分析

发布时间：2018-06-19 20:39

本文选题：商业银行 + 系统性风险　；参考：《南京师范大学》2014年硕士论文

【摘要】：自2007年美国次债危机以及2009年的欧洲债务危机以来,全球金融的稳定成为最受关注的问题之一,而银行业作为金融体系的核心,其系统性风险的防范和控制提上了议事日程,趋于统一的金融监管协调迫在眉睫。在学术研究上,国内外学者从不同的理论基础分析了系统性风险产生的原因,从多角度探讨系统性风险的识别、度量、控制、管理等。但由于研究方法、研究对象等方面的不同,得出的结论也不尽相同。随着我国金融市场的发展、银行业机构日益复杂、金融产品的不断创新,地方性政府债务的扩大以及外在经济冲击等,我国商业银行业发生系统性风险的可能性加大。但是,我国银行业风险呈现其独有的特点,银行以其所享有的国家信誉为隐性担保。本文利用我国商业银行行业样本数据构建适合国情的、准确的系统性风险度量模型,为我国商业银行的系统性风险的全面管理提供技术支持。本文的结构是：首先,在前人已有文献研究的基础上,界定系统性风险的定义并且总结系统性风险的特征,主要分析系统性风险的生成机制、传染机制。其次,阐述我国银行业系统性风险的现状,从产权制度和风险管理制度方面,剖析我国银行业系统性风险产生的特殊原因以及风险传染路径。再次,本文以我国商业银行2006年一季度-2013年一季度数据为研究样本,理论与实证相结合地研究影响银行系统性风险的内生、外生因素。运用主成分分析法进行数据处理,提取出不相关的公因子,来构建我国特色的银行业系统性风险的测度模型。结果表明：我国商业银行系统性风险的主导因素在于资本充足水平、资产质量、流动性水平、盈利能力。此外,宏观的政策和货币风险水平对系统性财务风险也有一定的影响。最后,总结国际金融监管巴塞尔协议的发展,借鉴发达国家和地区的系统性风险的监管经验,提出我国银行业系统性风险防范的总体思路和控制措施,健全宏微观审慎监管制度以及构建我国银行业的金融安全网。
[Abstract]:Since the sub-prime crisis in the United States in 2007 and the European debt crisis in 2009, global financial stability has become one of the most concerned issues. As the core of the financial system, the banking industry has put the prevention and control of systemic risk on the agenda. The harmonization of financial supervision is imminent. In academic research, scholars at home and abroad analyze the causes of systemic risk from different theoretical bases, and discuss the identification, measurement, control and management of systemic risk from various angles. However, due to the different research methods, research objects and other aspects, the conclusions are not the same. With the development of our financial market, the increasingly complex banking institutions, the continuous innovation of financial products, the expansion of local government debt and the external economic impact, the possibility of systemic risks in our commercial banking industry has increased. However, the banking risk of our country presents its unique characteristic, the bank takes the national credit as the recessive guarantee. Based on the sample data of commercial banks in China, this paper constructs an accurate systematic risk measurement model, which is suitable for the national conditions, and provides technical support for the overall management of the systemic risks of commercial banks in China. The structure of this paper is as follows: firstly, on the basis of the previous literatures, we define the definition of systemic risk and summarize the characteristics of systemic risk, mainly analyze the mechanism of generating systemic risk and the mechanism of infection. Secondly, the paper expounds the present situation of banking systemic risk in China, and analyzes the special causes and risk contagion path of banking systemic risk in China from the aspects of property right system and risk management system. Thirdly, taking the data of Chinese commercial banks from the first quarter of 2006 to the first quarter of 2013 as the research sample, this paper studies the endogenous and exogenous factors that affect the systemic risk of the banks. The principal component analysis (PCA) is used to process the data and extract the unrelated common factors to construct the systematic risk measurement model of banking industry with Chinese characteristics. The results show that the dominant factors of commercial banks' systemic risk are capital adequacy level, asset quality, liquidity level and profitability. In addition, macro policies and monetary risk levels also have a certain impact on systemic financial risk. Finally, the paper summarizes the development of Basel Agreement on International Financial Supervision, draws lessons from the experience of the supervision of systemic risk in developed countries and regions, and puts forward the general ideas and control measures for the prevention of systemic risk in China's banking industry. Improve macro-micro-prudential supervision system and build a financial safety net for China's banking industry.
【学位授予单位】：南京师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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