信贷资产证券化对银行流动性风险管理的作用机制及影响因素研究

发布时间：2018-01-03 12:41

本文关键词：信贷资产证券化对银行流动性风险管理的作用机制及影响因素研究　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：2008年,美国次贷危机引发的全球金融危机使金融系统大环境变得恶劣,再加上为稳定我国经济金融发展环境而实施紧缩性货币政策,社会流动资金减少,商业银行流动性过剩局面有所缓解逐步转为流动性基本平衡的状态。2010年,随着全球资金市场的变化发展以及各类理财工具的推出,商业银行流动资金呈现紧缺状态。2014-201.5年6月,在资本市场指数不断上涨的推动下,社会资金大量涌入证券市场,银行流动资金进一步减少,对商业银行流动性风险管理提出更加严峻的考验。信贷资产证券化作为结合商业银行发展和资本市场工具而产生的金融创新模式为解决当前商业银行流动性风险问题提供了有效途径。本文研究信贷资产证券化对商业银行流动性风险管理的影响机制和因素。首先,在对商业银行流动性风险相关理论解析的基础上,通过理论模型分析探究商业银行流动性风险产生的根源,揭示银行流动性风险的内外部影响因素及现状;其次,从特殊目的机构、资产负债、融资功能以及监管资本四个方面揭示对其商业银行流动性风险的运行机制,以此为基础分析我国信贷资产证券化的发展状况,为后期实证研究和政策建议的提出奠定基础。再次,在理论分析的基础上选取2006年至2016年我国商业银行流动性风险及其信贷资产证券化数据,分析信贷资产证券化对我国商业银行流动性及风险管理的作用强度和作用效果。短期贷款与总贷款之比、流动性比率、易变负债与总资产的比率与银行证券化比率之间存在协整关系,并且当银行的证券化比率增加一个百分点,对应的银行短期贷款占比将增加0.36个百分点,对应的银行流动性比率将增加0.356个百分点,对应的银行易变负债占比将减少0.564个百分点。最后,总结分析本文的理论和实证研究结果,并结合我国的发展实践,从信贷资产证券化的外部监管和银行内部风险管理的角度提出完善的政策建议。
[Abstract]:In 2008, the U.S. subprime mortgage crisis triggered by the global financial crisis makes the environment of the financial system has become bad, plus a stable financial environment for the development of our economy and the implementation of tight monetary policy, the society to reduce liquidity, excess liquidity of commercial banks has eased the situation gradually turned to the basic balance of the liquidity status of.2010 years, with the development and to introduce various financial instruments to changes in global capital market, commercial bank liquidity shortages state of.2014-201.5 in June, to promote the continuous rise in the capital market index, social capital poured into the stock market, bank liquidity is further reduced, the more severe test of liquidity risk management of commercial bank credit asset securitization as. Financial innovation model combined with the development of commercial banks and capital market instruments produced in order to solve the liquidity risk of commercial bank Provide an effective way. This paper studies the credit asset securitization on the influence mechanism and factors of liquidity risk management of commercial bank. Firstly, based on the commercial bank liquidity risk related theoretical analysis, through theoretical model analysis the root causes of liquidity risk of commercial banks from the internal and external influence of bank liquidity risk the factors and status quo; secondly, from the SPV, assets and liabilities, financing function and regulatory capital in four aspects reveals the operation mechanism of the liquidity risk of commercial banks, on the basis of analysis of the development of credit asset securitization in our country, to lay the foundation for the later empirical study and put forward policy recommendations. Again, 2006 to 2016, China's commercial banks liquidity risk and credit asset securitization data on the basis of theoretical analysis, analysis of credit asset securitization in our country The role and effect of the strength of commercial bank liquidity and risk management. The short-term loans to total loans ratio, liquidity ratio, there is a cointegration relationship between the volatility of the debt to total assets ratio and bank securitization ratio, and when the ratio of securities bank increased by one percentage point, short-term bank loans accounted for the corresponding ratio will be increased by 0.36 percentage points, the corresponding bank liquidity ratio will increase 0.356 percentage points, the corresponding bank variable proportion of debt will be reduced by 0.564 percentage points. Finally, summarizes the theoretical and empirical analysis of the results of this study, combined with the development practice of our country, put forward the policy suggestions from the internal risk management of credit asset securitization the external supervision and bank angle.

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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