巴塞尔Ⅲ对商业银行资产负债管理的影响研究

发布时间：2018-11-14 16:24

【摘要】：为了提高整个金融系统抗击风险和危机的能力，2009年巴塞尔委员会发布了《增强银行体系稳健性》以及《流动性风险计量标准和检测的国际框架》，经过不断的测算和核审后，20国集团首尔峰会于2010年批准了《巴塞尔协议III》的改革方案，研究制定了国际通用的银行业监管新规。为了有效对接《巴塞尔协议III》的新规定，2011年4月我国银监会制定了一套国内银行业实施的标准，即“中国银行业实施新标准的指导意见”，建立了我国银行业监管新框架，制定了适合我国国情的监管新规。随着监管新规的实施，我国商业银行资产负债管理也将随之发生改变。本文以商业银行资产负债管理为研究对象，研究《巴塞尔协议III》对其的影响。首先，，研究了巴塞尔协议的演变及资产负债管理相关理论，在此基础上深入探讨了金融监管与银行资产负债管理的一致性。其次，从资产负债管理的主要内容着手，分析了《巴塞尔协议III》对我国商业银行资产负债比例管理、资产负债结构、资产负债的期限配置、财务杠杆和资产规模的影响。最后，从“三性”视角出发，定性和定量分析了监管新规对我国商业银行资产负债管理的影响效应。由定量分析可以得出以下结论：第一，监管新规提出前，拨备覆盖率对我国商业银行的安全性与效益性的影响显著；监管新规提出后，贷款拨备率对我国商业银行安全性与效益性的影响显著，而拨备覆盖率不再对我国商业银行的安全性与效益性的产生显著影响。第二，监管新规能加强银行流动性，并且新规中的资本充足率指标能提高银行的安全性，但其与银行效益性关系在监管新规实施前后发生改变。资本充足率对银行效益的约束效应开始显现。第三，新监管要求对我国银行资产规模约束效应逐渐显现。在监管要求更高、经营模式没有改变的情况下，银行必须放缓资产规模的扩张。基于以上的定性和定量分析，本文提出了相关的对策建议：优化商业银行资产负债结构；建立高度协调的流动性管理机制；加快推动资产负债管理的战略转型；建立以资本为核心的资产负债管理模式；构建价值导向型资产负债管理体系。
[Abstract]:In order to improve the ability of the entire financial system to combat risks and crises, in 2009 the Basel Committee issued the International Framework for measuring and testing liquidity risks, which was published by the Basel Committee in 2009. The G20 summit in Seoul approved the Basel III reform package in 2010 and worked out new rules for international banking regulation. In order to effectively connect with the new regulations of Basel III, in April 2011, China Banking Regulatory Commission formulated a set of standards for the implementation of domestic banking, namely, "guidance opinions on the implementation of New Standards for China's Banking sector", and established a new framework for banking supervision in China. Has formulated the regulation which suits our country's national condition the new regulation. With the implementation of the new regulation, the management of assets and liabilities of commercial banks will change. This paper studies the influence of Basel III on asset liability management of commercial banks. Firstly, the evolution of Basel Accord and the theory of asset-liability management are studied, and the consistency between financial supervision and bank asset-liability management is discussed. Secondly, starting with the main contents of asset-liability management, this paper analyzes the effects of Basel III on asset-liability ratio management, asset-liability structure, term allocation of asset-liability, financial leverage and asset size of commercial banks in China. Finally, from the perspective of "three properties", this paper qualitatively and quantitatively analyzes the effect of the new regulation on the asset liability management of commercial banks in China. From the quantitative analysis, we can draw the following conclusions: first, before the introduction of the new regulation, the coverage rate of provisions has a significant impact on the security and efficiency of commercial banks in China; After the new regulation is put forward, the loan reserve ratio has a significant impact on the security and efficiency of commercial banks in China, but the coverage rate of provisions will no longer have a significant impact on the security and efficiency of commercial banks in China. Second, the new regulation can strengthen the bank liquidity, and the capital adequacy index in the new regulation can improve the security of the bank, but its beneficial relationship with the bank changes before and after the implementation of the new regulation. The restraint effect of capital adequacy ratio on bank benefit begins to appear. Third, the new regulatory requirements on the size of China's banking assets constraint effect gradually appeared. With more regulatory demands and no change in business model, banks must slow the expansion of assets. Based on the above qualitative and quantitative analysis, this paper puts forward some countermeasures and suggestions: optimizing the structure of assets and liabilities of commercial banks, establishing a highly coordinated liquidity management mechanism, speeding up the strategic transformation of asset liability management; Establish the asset liability management mode with capital as the core and construct the value-oriented asset-liability management system.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33

【参考文献】