我国商业银行安全评估及国际比较研究

发布时间：2018-07-10 05:38

本文选题：商业银行安全 + 非线性VaR　；参考：《复旦大学》2014年硕士论文

【摘要】：20世纪70年代以来,世界范围内的银行危机表现出范围更广、危害更深、传染性更强等新特点；在每一次银行危机发生过程中及之后,各国政府部门不断借鉴历史经验并推出创新举措,监管机构频繁地修正并实施新的监管标准,然而银行安全问题并未曾有所缓解。出现这种现象的原因是多方面且极为复杂的,但最为根本的原因在于缺乏一个能够全面、有效地度量商业银行整体风险的安全水平评估模型。2007年次贷危机发生以来,商业银行的安全运营暴露出新的问题。在次贷危机中,欧美国家的商业银行大量持有经由资产证券化及结构化金融分层技术处理的金融衍生产品。这类金融衍生品的非线性风险收益特性使得商业银行对于自身面临的全面风险更难发现和准确评估。本文在借鉴基于经典VaR的Z值模型基础上,构建基于非线性VaR的Z值模型,将商业银行的非线性风险考虑在内,对其安全水平进行更加全面、有效的评估。进一步的理论分析与实证计算表明,基于非线性VaR的Z值模型所作的改进是可靠、有效的：同时,实证结果还证明Gamma-Johnson非线性VaR测算方法比Gamma-CF非线性VaR测算方法更适用于商业银行安全水平的评估。本文的主要研究成果如下：第一,关于国内外商业银行安全水平的评估与比较。(1)通过纵向比较发现,我国银行业安全水平总体上处于持续改善的趋势。相比而言,大型国有商业银行的安全水平略低于中小股份制商业银行,其中,仅在2004至2007年国有银行改革攻坚时期短暂超过中小股份制商业银行；但若将国家对大型国有商业银行的各种隐性担保考虑在内,即便出现银行业危机,大型国有商业银行面临的真实风险也未必会比中小型股份制商业银行要大。近几年来,大型国有商业银行和中小型股份制商业银行间的安全水平差异逐渐缩窄。(2)通过横向比较发现,我国银行业安全水平在2001至2006年间低于国外银行业,但差异不断缩窄；从2007至2008年次贷危机席卷欧美国家开始,我国银行业安全水平超过国外银行业,并维持至今；后金融危机时期,国外大部分国家银行业开始复苏,其安全水平与我国银行业相比,出现逐渐趋同的迹象。特别地,在此轮金融危机中,我国银行业仅在2009年受到短暂的冲击,之后便马上恢复到危机前的较高水平。(3)从全球系统重要性程度来看,我国银行业安全水平与非全球系统重要性银行样本组相当。我们通过实证发现,全球系统重要性程度与银行安全水平之间存在先正向、后负向、再正向的非线性相关关系,由此我们预期：在我国银行业走向全球化经营的初期,银行业安全水平将持续上升；当我国大批银行加入激烈的全球竞争,全球化业务不断扩张时,我国银行业安全水平有可能会出现下降；继而,随着我国部分商业银行进入全球系统重要性银行中“最重要”的样本组后,我国银行业安全水平会恢复到缓慢上升的态势。第二,关于商业银行安全水平的影响因素及差异成因分析。(1)国内大型国有商业银行与中小型股份制商业银行之间的安全水平差异成因主要是由业务结构和不良贷款率变化导致。从业务结构角度看,由于国有商业银行的资金规模、密集的营业网点、品牌知名度、丰富的客户资源等优势在拓展非利息收入业务过程中起到重要作用,其非利息收入占比增加比股份制商业银行较快,而较高的非利息收入占比对商业银行安全水平具有促进作用,这使得国有商业银行安全水平逐渐提升。从不良贷款率角度看,2001年我国加入WTO及2003年底开始的国有银行注资、财务重组、股份制改造、挂牌上市以及引进海外战略投资者等一系列改革措施之后,国有商业银行内部治理机制落后的问题逐渐改善。国有银行内控机制变革和公司治理水平的提升促进不良贷款率不断下降,对国有银行安全水平产生显著的积极作用,我们认为这是国有银行安全水平逐渐接近股份制银行的另一个重要原因。(2)国内外商业银行之间的安全水平差异成因主要由GDP增长率、市场集中度及业务结构变化解释。从GDP增长率角度看,我国良好的宏观经济状况为提升我国商业银行盈利水平、改善资产质量以及扩充外部筹集能力产生积极作用,从而为我国商业银行安全水平提供了有利的外部环境。从市场集中度来看,进入2007年之后,我国银行业竞争性逐渐增加,且处于倒U型关系的前端,即通过减少大型银行的市场势力以改善商业银行的安全水平；与之相反,国外银行业集中度则缓慢提高,这与全球金融危机中暴露出的大型商业银行“大而不能倒”的问题对应,说明国外银行业市场集中度过高导致部分大型商业银行道德风险问题严重,从而对银行安全水平产生不利影响。从业务结构来看,近年来随着我国大型国有商业银行改革完成、加入WTO后面临更多国外银行的竞争压力等,我国商业银行开始更多地关注对非利息收入业务的拓展,促进商业银行盈利模式的转型与变革。可以预见,我国商业银行非利息收入占比在未来一段时间内还将持续上升,这为我国商业银行安全水平的提高提供了盈利模式支持。
[Abstract]:Since 1970s, the banking crisis in the world has shown a wider range, deeper harm, more infectious and other new characteristics. In the course of the crisis of each bank, the government departments of various countries continue to learn from historical experience and introduce innovative measures, and the regulatory agencies frequently amend and implement new regulatory standards, but banks Security problems have not been alleviated. The reasons for this phenomenon are multifaceted and extremely complex, but the most fundamental reason is the lack of a security level assessment model that can measure the overall risk of commercial banks in a comprehensive and effective way. The security operation of commercial banks has exposed new problems since the occurrence of the.2007 subprime crisis. In the subprime mortgage crisis, commercial banks in European and American countries hold a large number of financial derivatives treated by asset securitization and structured financial stratification technology. The nonlinear risk income characteristics of such derivatives make it harder for commercial banks to find and accurately assess their overall risks. This paper is based on the Z based on classic VaR. On the basis of the value model, the Z value model based on nonlinear VaR is constructed. The nonlinear risk of commercial banks is taken into account and its security level is more comprehensive and effective. Further theoretical analysis and empirical calculation show that the modification based on the Z value model based on nonlinear VaR is reliable and effective: at the same time, the empirical results also prove G The amma-Johnson nonlinear VaR calculation method is more suitable for the evaluation of the safety level of commercial banks than the Gamma-CF nonlinear VaR calculation method. The main research results of this paper are as follows: first, the evaluation and comparison of the safety level of commercial banks both at home and abroad. (1) through the longitudinal comparison, the security level of the banking industry in China is in a continuous change. In comparison, the security level of large state-owned commercial banks is slightly lower than that of small and medium-sized joint-stock commercial banks, of which, only in the period of 2004 to 2007, the state-owned banks were short of small and medium-sized joint-stock commercial banks in the period of reform and attack, but if the state was taken into consideration of the hidden guarantee of the state to large state-owned commercial banks, even the banking industry appeared. The real risks faced by large state-owned commercial banks are not necessarily larger than those of small and medium-sized joint-stock commercial banks. In recent years, the difference of security level between large state-owned commercial banks and small and medium sized joint-stock commercial banks has gradually narrowed. (2) through horizontal comparison, the security level of China's banking industry is lower than that of foreign countries during the period of 2001 to 2006. Banking industry, but the difference is narrowing; from 2007 to 2008 the subprime crisis swept the European and American countries, the security level of China's banking industry exceeded that of foreign banks and maintained so far. In the period of the post financial crisis, most of foreign countries' banking industry began to recover. In this round of financial crisis, China's banking industry was briefly shocked in 2009 and immediately returned to a high level before the crisis. (3) from the importance of the global system, the security level of China's banking industry is equivalent to the non global systematic importance bank sample group. There is a positive, negative, and then positive nonlinear correlation between the safety level of the bank, and we expect that the security level of the banking industry will continue to rise at the beginning of the globalization of the banking industry in our country. When a large number of banks in China join the fierce global competition and the global business expands, the security level of the banking industry in our country There may be a decline, and then, with some of our commercial banks entering the "most important" sample group in the global system of importance, the security level of China's banking industry will be back to a slow rising trend. Second, the factors affecting the safety level of commercial banks and the analysis of the causes of differences. (1) large state-owned commercial banks in China The cause of the difference in security level between the small and medium sized joint-stock commercial banks is mainly caused by the change of the business structure and the rate of bad loans. From the perspective of business structure, the advantages of the state-owned commercial banks, such as the capital size, the dense business outlets, the brand awareness, the rich customer resources and so on, play an important role in expanding the non interest income business process. The important role is that the proportion of non interest income increase is faster than that of the joint-stock commercial banks, and the higher non interest income has a promoting effect on the security level of commercial banks, which makes the security level of the state-owned commercial banks gradually increase. In the view of the bad loan rate, the state-owned banks, which began to enter the WTO and the end of 2003, have invested capital in 2001. After a series of reform measures, such as restructuring, shareholding reform, listing and introducing overseas strategic investors, the problems of backward governance mechanism of the state-owned commercial banks are gradually improved. The reform of the internal control mechanism of the state-owned banks and the improvement of the level of corporate governance promote the decline of the rate of non-performing loans, and have a significant effect on the security level of the state-owned banks. The positive effect of this is another important reason for the security level of the state-owned banks approaching to the shareholding banks. (2) the causes of the difference of security level between domestic and foreign commercial banks are mainly explained by the GDP growth rate, the market concentration and the change of the business structure. From the perspective of the GDP growth rate, the good macroeconomic situation in China has been promoted. The profit level of the commercial banks in China, the improvement of the quality of assets and the expansion of the external raising capacity have a positive effect, thus providing a favorable external environment for the safety level of our commercial banks. From the market concentration, after entering 2007, the competitiveness of China's banking industry is gradually increasing, and in the front end of the inverted U relationship, that is, through reduction. The market power of large banks is to improve the level of the security of commercial banks. On the contrary, the concentration of foreign banks is slowly increasing, which corresponds to the big commercial banks' "big and impossible" problems exposed in the global financial crisis, indicating that the high degree of concentration of foreign banking market leads to the moral hazard of some large commercial banks. The problem is serious, which has a negative impact on the security level of the bank. From the view of the business structure, in recent years, with the completion of the reform of the large state-owned commercial banks in China, the competition pressure of more foreign banks is faced after joining the WTO, and the commercial banks of our country begin to pay more attention to the expansion of the non interest income business and promote the profit model of the commercial banks. It is foreseeable that the proportion of non interest income in China's commercial banks will continue to rise in the future for a period of time, which provides a profit model support for the improvement of the security level of commercial banks in China.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

【参考文献】