影子银行对商业银行信用风险管理的影响研究

发布时间：2018-07-09 22:59

本文选题：影子银行 + 信用风险管理　；参考：《首都经济贸易大学》2014年硕士论文

【摘要】：影子银行问题是2008年金融危机后的一个备受关注的问题,近年来中国的影子银行规模迅速增长,引起越来越多的注意。我国金融市场的市场化程度相对较低、利率市场化改革刚刚起步、分业经营与分业监管等金融环境一定程度上促进了影子银行的发展。现有对国内影子银行的文献多是研究对影子银行风险监管问题,这些文献中对影子银行对商业银行信用风险管理的影响研究很少,从商业银行角度研究对影子银行监管对策的文献更少。本文首先回顾了近年来信用风险管理和影子银行相关文献和理论。在分析现代信用风险度量和信用衍生品对信用风险转移的机制的基础上,结合我国影子银行的实际情况,为影子银行影响商业银行信用风险管理的实证分析奠定了理论依据。文章分别选择美国银行控股公司2008 Q1-2012 Q4的季度财务报表和信用违约互换持有量的面板数据,在使用单位根检验、协整检验、Hausman检验和F统计量检验确定面板数据使用模型类型的基础上分析考察信用衍生品交易对信用风险管理的影响,实证结果表明：信用违约互换对银行控股公司的信用风险并没有显著的影响。究其原因,一方面,购入“信用保护”的银行控股公司可能存在动机扭曲,降低对信贷的审核标准,而主动承担更高风险。另一方面,信用衍生品大量依靠现代风险度量工具,其中缺乏金融环境变化影响信用风险的度量,且其本质在于分散、转移而非消除信用风险。在理论分析和实证分析的基础上,指出大量使用信用风险转移工具导致信用风险急剧膨胀,埋下金融危机的种子。在我国,以理财产品为主的影子银行系统中,商业银行居主导地位,并从中获得利益。监管机构应从资本、规模、风险真实转让等角度加以监管,并着力提高我国金融市场的市场化程度,充分利用影子银行扩展融资渠道优势的同时规避相应风险。
[Abstract]:The issue of shadow banking is a matter of great concern after the financial crisis of 2008. In recent years, the scale of shadow banking in China has grown rapidly and attracted more and more attention. The degree of marketization of financial market in our country is relatively low, the reform of interest rate marketization has just started, the financial environment such as separate operation and separate supervision has promoted the development of shadow bank to some extent. The current literature on shadow banking in China is mostly concerned with the supervision of shadow banking risks. There is little research on the impact of shadow banking on the credit risk management of commercial banks. From the perspective of commercial banks, there is less research on shadow banking regulatory countermeasures. This paper first reviews the relevant documents and theories of credit risk management and shadow banking in recent years. Based on the analysis of modern credit risk measurement and the mechanism of credit derivatives transferring to credit risk, combined with the actual situation of shadow banking in China, this paper lays a theoretical foundation for the empirical analysis of shadow bank influencing commercial bank credit risk management. The paper selects the quarterly financial statements of Bank of America holding company 2008 Q1-2012 Q4 and the panel data of credit default swap holdings in the unit root test. On the basis of cointegration test Hausman test and F statistic test to determine the model types of panel data, this paper analyzes the impact of credit derivatives trading on credit risk management. The empirical results show that credit default swaps have no significant impact on the credit risk of bank holding companies. The reason is that, on the one hand, bank holding companies that buy "credit protection" may have a distorted incentive to lower the standards of credit review and take on higher risks. On the other hand, credit derivatives rely heavily on modern risk measurement tools, in which the lack of financial environment influence the measurement of credit risk, and its essence is to disperse, transfer rather than eliminate credit risk. On the basis of theoretical analysis and empirical analysis, it is pointed out that the massive use of credit risk transfer tools leads to the rapid expansion of credit risk, which sows the seeds of financial crisis. In China, commercial banks play a dominant role in the shadow banking system, which is dominated by financial products. Regulators should supervise from the aspects of capital, scale, real transfer of risk, and try to improve the marketization of our financial market, make full use of shadow bank to expand the financing channel advantage and avoid the corresponding risks.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.3

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