商业银行资本结构对风险的影响研究

发布时间：2018-06-21 02:48

本文选题：银行风险 + 资本结构　；参考：《安徽财经大学》2014年硕士论文

【摘要】：资本监管作为商业银行监管的重点,合理的资本结构不仅是商业银行资金补充效率的体现,也是抵御风险能力的体现。随着商业银行制度的不断优化,我国商业银行的资本结构也发生了较大变化。但变化后的资本结构具体怎样对风险水平产生影响,通过什么路径传导,成了我们亟待解决的问题。这些问题的解决,有利于从风险控制角度优化银行资本结构,有助于实现市场价值最大化,提升核心竞争力,使商业银行在激烈的竞争中具有竞争优势,并取得自身的长远发展。本文以理论分析为基础,重点分析了资本结构对风险影响的传导路径,并且对两者的关系进行了梳理。其次,通过选取表示股权集中度、股权性质和股权流动性的九个指标衡量银行资本结构；而对银行风险,主要从经营风险和财务风险两方进行衡量,并对资本结构与风险的关系进行描述性统计分析。结果显示：银行资本结构与财务风险和经营风险存在相关关系,且融资结构与财务风险的相关关系显著。在此基础上,通过计算风险因子得分衡量银行综合风险,接着运用面板回归分析中的随机效应模型实证分析了银行资本结构对风险的影响。研究表明：融资结构、股权结构和债务结构对银行均存在影响,其中融资结构具有显著的正向影响,股权结构影响不显著,而债务结构影响较大。主要是因为：融资结构衡量指标的资产负债率偏高,造成银行财务杠杆较大,因而产生较大的财务风险；股权结构的影响主要通过股权对股东不平衡的激励与约束,导致股东风险行为发生变化,但是这种行为的变化并没有统一的规则,它主要取决于股东的个人素质、风险偏好以及市场预期等因素的综合作用,从而导致股权结构的影响不稳定；由于广义的资本结构包括短期负债,债务结构对风险的影响主要表现为长短期债务资本期限配置问题产生的风险,且较多的短期负债容易提高流动性风险。最后,从完善融资结构,优化股权结构,改善债务结构三方面提出相应的政策建议。
[Abstract]:Capital supervision is the focus of commercial bank supervision. A reasonable capital structure is not only the embodiment of the efficiency of capital supplement of commercial banks, but also the embodiment of the ability to resist risks. With the continuous optimization of commercial banking system, the capital structure of commercial banks in China has also undergone great changes. However, how the changing capital structure affects the risk level and through which path transmission becomes the urgent problem. The solution of these problems is helpful to optimize the capital structure of banks from the angle of risk control, to maximize the market value, to enhance the core competitiveness, and to make commercial banks have competitive advantages in the fierce competition. And to achieve their own long-term development. On the basis of theoretical analysis, this paper analyzes the transmission path of capital structure to risk, and combs the relationship between them. Secondly, the capital structure of the bank is measured by selecting nine indicators of equity concentration, equity nature and equity liquidity, while the bank risk is mainly measured from two aspects: operating risk and financial risk. And carries on the descriptive statistical analysis to the capital structure and the risk relation. The results show that the capital structure of the bank is related to the financial risk and the operating risk, and the relationship between the financing structure and the financial risk is significant. On this basis, the comprehensive risk of the bank is measured by calculating the risk factor score, and then the impact of the bank capital structure on the risk is empirically analyzed by using the stochastic effect model in the panel regression analysis. The results show that: financing structure, equity structure and debt structure all have influence on bank, among them, financing structure has significant positive influence, equity structure has no significant influence, but debt structure has great influence. The main reason is that: the ratio of assets and liabilities of the financing structure is on the high side, which causes the banks to have a large financial leverage, and the influence of the equity structure is mainly through the incentive and restriction of the equity to the shareholders' imbalance. It leads to the change of shareholder's risk behavior, but the change of this kind of behavior has no uniform rules. It mainly depends on the comprehensive function of the shareholder's personal quality, risk preference and market expectation, etc. As a result, the influence of equity structure is unstable. Because the generalized capital structure includes short-term liabilities, the impact of debt structure on risk is mainly the risk of long-term and short-term debt capital maturity allocation problem. And more short-term liabilities tend to increase liquidity risk. Finally, the corresponding policy suggestions are put forward from three aspects: perfecting the financing structure, optimizing the equity structure and improving the debt structure.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

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