商业银行收入结构与银行风险研究

发布时间：2018-07-21 22:00

【摘要】：近年来随着中国经济发展,利率市场化、银行业改革、人民币国际化等金融改革加快推进,资本市场发展导致的金融脱媒以及日趋严格的资本监管迫使商业银行从依赖贷款规模扩张,赚取利差收入的粗放扩张型逐步向业务多元化一服务功能多元化一收入多元化的模式转变。我国商业银行通过多元化经营探索,在产品服务上不断超越传统商业银行业务界限,不同业务的收入流形成多元化的收入组合,银行收入结构逐步向多元化转变。而从国际银行业的发展趋势来看,金融危机前国际银行业银行积极寻求新的业务和收入流,非利息收入占比不断提高,形成多元化的收入结构。但国际银行业大量从事投行和交易业务,银行功能异化,系统性风险增加,金融危机后国际银行业反思银行收入多元化与银行风险的关系,并进行了重大监管改革。因此,在当前分业经营、分业监管的背景下,研究中国银行业的收入结构变迁,探讨收入结构变化与银行绩效和风险的关系对中国商业银行稳定收入,分散风险,实现可持续发展,乃至对整个金融体系的安全也就有着重要的理论和现实意义。本文首先对银行收入多元化与银行绩效和风险的相关理论及文献作系统梳理,特别是金融危机后最新的文献的梳理和借鉴,以把握理论前沿和研究趋势。深化和丰富银行收入多元化与银行绩效和风险的相关理论体系。其次,考察欧美等主要国家和国际主要大银行的收入结构变迁,以及非利息收入发展对银行绩效和风险的影响。为中国银行业提供经验和借鉴。在对美、德、英、日、瑞士等五个典型国家的考察中,发现各国的非利息收入占比及影响存在显著的国别差异,对于非利息业务是否改善银行绩效和分散风险也并未得出一致的结论。但研究中发现共性的特点,如样本国的利息收入都不断下降,手续费和佣金收入是重要而稳定的非利息收入来源,交易收入波动较大,非利息业务发展体现了规模特征。在对国际典型的10家大银行的考察中,发现大银行非利息收入占比较高,波动较大；但资本充足率较低,因此银行风险相对较大；大银行的净息差较低；非利息收入占比提高并不一定改善银行绩效；大银行非利息收入受金融危机影响较大,交易收入是亏损和收入波动的主因；大银行收入结构与其业务模式、经营导向和风险偏好密切相关。第三,全面了解和考察中国经济金融变革的新形势下我国商业银行多元化经营、收入结构变化和发展趋势,考察银行绩效和风险管理情况和趋势。目前我国商业银行的多元化经营模式主要有两种：一是大型商业银行普遍采取的银行控股集团和金融控股集团模式；二是在在现行“分业经营、分业监管”的体制下,银行与其他非银行金融机构合作开展的银信合作、银证合作、银基合作、银保合作业务。目前商业银行的收入依然主要依赖净利息收入,非利息收入占比不高,但非利息收入发展较快。并表现出银行类型和特征的差异。从商业银行的绩效和风险监管指标来看,水平在不断提升。商业银行非利息业务还有较大的发展潜力和空间,但要注意风险的防范与管理。第四,本文构建银行收入结构与银行风险的理论体系和研究框架,进而建立收入结构与银行风险的实证模型,并运用EVIEWS、R软件等分析软件进行实证分析。(1)对商业银行的收入进行波动性分析。发现相比净利息收入,非利息收入波动相对更大。(2)基于资产组合理论对收入波动性进行分解。发现2003-2013年间商业银行整体收入波动性下降,主要来源于净利息收入波动率的下降,其次来源于净利息收入和非利息收入两者的协方差基本为零(全部样本银行)或为负(大型商业银行),因此银行的收入组合可以分散风险。(3)基于资产组合理论,考察利息收入和非利息收入的相关性。计算结果表明净利息收入和非利息收入的相关系数大多为负,具有分散风险效应。(4)对净利息收入和非利息收入相关性的影响因素进行回归分析,发现全样本银行的非利息收入份额对相关系数并没有显著的影响。(5)以国内16家上市商业银行2003-2013年银行面板数据为研究对象,考察了收入多元化、非利息收入份额与银行绩效和风险之间的关系。估算结果显示我国商业银行的多元化程度与银行绩效和风险存在正相关关系。多元化程度提高有助于银行改善绩效,提高风险调整回报,降低银行破产风险。但非利息收入占比与银行绩效和风险呈负相关关系。非利息收入占比提高会降低银行绩效水平,降低风险调整资产回报率,增加银行破产风险。这体现了非利息收入的双刃属性。最后,基于对国内外银行业收入结构变迁与银行风险的全面考察和反思,结合中国银行业收入结构与银行风险的实证分析,对全文主要研究结论做出了归纳总结。对中国银行业收入结构顺利转型和非利息业务发展的启示和借鉴主要有：(1)应理性看待收入多元化和非利息收入占比,非利息收入的发展差异与各国金融制度、经济背景、经营模式密切相关,不能单纯以收入多元化程度和非利息收入占比来衡量银行业的发展程度和竞争力；(2)收入多元化的同时应谨慎发展交易类业务；(3)非利息业务创新应以满足实体经济金融服务需求为目的；(4)收入多元化应注重在银行核心功能基础上的延伸和创新；(5)商业银行多元化定位应与其规模相适应；(6)商业银行收入结构转型要与全面风险管理相结合。
[Abstract]:In recent years, with the development of China's economy, interest rate marketization, banking reform, RMB internationalization and other financial reforms, the financial disintermediation caused by the development of capital market and the increasingly strict capital supervision have forced commercial banks to expand from the scale of reliance on loans, and gradually make a service diversification service. The diversification of functions and diversification has changed. Through diversification of business, commercial banks in our country continue to surpass the business boundary of traditional commercial banks in the product service. The income flow of different business forms a diversified income combination, and the bank income structure is gradually changing to the diversification. Before the financial crisis, the International Banking Bank actively sought new business and income flows, and the proportion of non interest income increased, forming a diversified income structure. However, the international banking industry was engaged in investment bank and trading business, banking function alienation, systemic risk increased, and after the financial crisis, the international banking industry reconsidered bank income diversification and banks The relationship between risk and major regulatory reform was carried out.
Therefore, in the context of the current division of business and division supervision, the study of the changes in the income structure of the Chinese banking industry and the relationship between the change of the income structure and the bank performance and the risk have important theoretical and practical implications for the stable income of the Chinese commercial banks, the dispersal of the risks, the realization of the sustainable development and the security of the whole financial system. Righteousness.
This paper first systematically combs the related theories and literature of bank income diversification and bank performance and risk, especially the latest literature after the financial crisis, in order to grasp the theoretical frontiers and research trends, and deepen and enrich the related theoretical system of bank income diversification and bank performance and risk.
Secondly, we examine the changes in the income structure of the major countries and major international banks, as well as the impact of non interest income development on the performance and risk of the bank, and provide experience and reference for the Chinese banking industry. In the investigation of five typical countries such as the United States, Germany, Britain, Japan and Switzerland, it is found that the proportion of non interest income and the influence of non interest countries are obvious. There is no consistent conclusion on whether non interest business improves bank performance and decentralization. However, in the study, the common features, such as the declining interest income of the country, are the important and stable sources of non interest income, the volatility of transaction income, and the non interest business. The exhibition shows the characteristics of scale. In the investigation of the 10 typical international banks, the non interest income of the large banks is higher and the fluctuation is larger; but the capital adequacy ratio is low, so the bank risk is relatively large; the net interest rate difference of the big banks is low; the increase of the non interest income ratio does not necessarily improve the bank performance; the big bank is not interest. Income is greatly influenced by the financial crisis, and the transaction income is the main cause of loss and income fluctuations; the income structure of the large bank is closely related to its business model, business orientation and risk preference.
Third, to fully understand and investigate the diversification of China's commercial banks under the new situation of economic and financial reform, the change of income structure and the trend of development, and examine the situation and trend of bank performance and risk management. At present, there are two main types of business banks in China: first, the bank control generally adopted by large commercial banks. Stock group and financial holding group model; two in the current "separate operation, division supervision" system, banks and other non bank financial institutions in cooperation with the silver letter, silver certificate cooperation, silver based cooperation, bank insurance cooperation. At present, the income of commercial banks is still mainly dependent on net interest income, non interest income is not high, However, the non interest income has developed rapidly and shows the difference between the types and characteristics of the bank. From the performance and risk supervision index of commercial banks, the level is constantly improving. The non interest business of commercial banks has greater development potential and space, but we should pay attention to the prevention and management of the risk.
Fourth, this paper constructs the theoretical system and research framework of bank income structure and bank risk, and then establishes an empirical model of income structure and bank risk, and makes empirical analysis using EVIEWS, R software and other software analysis software. (1) the Volatility Analysis of commercial banks' income is carried out. (2) the income volatility is decomposed on the basis of portfolio theory. It is found that the overall income volatility of commercial banks in the past 2003-2013 years is mainly due to the decline in net interest income volatility, followed by the basic zero (all sample banks) or negative (large commercial banks) from net interest income and non interest income. Therefore, the bank's income combination can disperse the risk. (3) based on the portfolio theory, the correlation between interest income and non interest income is examined. The results show that the correlation coefficient of net interest income and non interest income is mostly negative, and (4) the influence factors on the correlation between net interest income and non interest income are entered. The non interest income share of the full sample bank has no significant influence on the correlation coefficient. (5) the relationship between the income diversification, the non interest income share and the bank performance and risk is examined by the 2003-2013 year bank panel data of the 16 listed commercial banks in China. The results show that China's business is commercial. There is a positive correlation between the degree of diversification of banks and the performance and risk of banks. The improvement of diversification is helpful to improve the performance of banks, increase the return on risk adjustment, and reduce the risk of bank bankruptcy. However, the ratio of non interest income to bank performance and risk is negatively related. Risk adjusted asset return increases bank bankruptcy risk. This reflects the double edged nature of non interest income.
Finally, based on the comprehensive investigation and Reflection on the changes of domestic and foreign banks' income structure and bank risk, combined with the empirical analysis of the income structure of China's banking industry and the bank risk, the main conclusions are summed up. The enlightenment and reference for the smooth transition of the Chinese banking income structure and the development of non interest business are made. (1) we should rationally look at the diversification of income and the ratio of non interest income. The development difference of non interest income is closely related to the financial system, economic background and business model of various countries. The development degree and competitiveness of the banking industry can not be measured by the degree of income diversification and the ratio of non interest income. (2) the diversification of income should be carefully issued at the same time. Exhibition business; (3) non interest business innovation should be aimed at meeting the needs of real economic and financial services; (4) income diversification should pay attention to the extension and innovation on the basis of the core functions of the bank; (5) the diversification of commercial banks should be adapted to their scale; (6) the transformation of commercial banks' income structure should be related to comprehensive risk management. Close.
【学位授予单位】：华东师范大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.33;F830.42

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