我国商业银行流动性风险实证研究从运营角度分析

发布时间：2018-02-02 07:17

本文关键词： 流动性风险管理商业银行压力测试　出处：《山西财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：21世纪初,次贷危机在美国爆发,美国的不少商业银行面临着流动性短缺的严重问题,有些商业银行在这次危机中相继倒闭。次贷危机迅速蔓延致使全球,各国商业银行面临着流动性风险的巨大挑战,并最终衍生为一场全球性质的金融风暴。在国内,商业银行流动性风险管理已经成为相关监管部门的首要工作。由于国内商业银行和国外商业银行在很多的性质上都存在着巨大的差异,所以,在我国不能仅单单照搬国外关于流动性风险管理的一些经验和理论,而是务必要结合中国商业银行的特殊的经营模式和结构来进行较为深入的定量研究。正因如此,我们首先要能够对我国商业银行流动性风险的包括成因、评测以及管理等做出精确的认识,并且准确把握住控制和预防流动性风险的关键因素,使商业银行流动性风险的爆发概率能够有所下降。随着我国金融领域发展的日趋成熟和稳定,我国商业银行也越来越积极的参与到全球金融活动中去。与之相应,国际经济金融形势对我国商业银行的影响也愈来愈大。在最近的几年里,国内商业银行之间相互拆借和市场回购融资已经成为国内商业银行控制流动性风险的一种方式,金融市场融资和拆借频率与日俱增,商业银行面临着更为严峻的流行性风险挑战。所以,在我国商业银行的管理中心,对于流动性发现的把控已经是核心任务。除了银监会要对控制流动性风险进行负责之外,银行内部也应该加强组织建设和对流动性风险的把控,而压力测试就是银行控制流动性风险的一个常用的手段。但是在目前压力测试的发展来看,由于缺少技术水平和实践经验,其测试结果数据的准确性和有效性还比较低。所以在这样的情况下,应该从理论基础出发,为我国商业银行探寻更加有效的压力测试的方法已经是当务之急。笔者以工商银行为例,对商业银行流动性风险管理做出了实证分析研究,希望为商业银行的流动性风险管理提供比较完善的一个事例论证,具有较强的实践应用价值和理论价值。实证分析依托于大量数据,针对我国商业银行流动性风险管理的现状也给予了非常有效的流动性风险管理措施以及防范方案。
[Abstract]:In 21th century, the subprime mortgage crisis broke out in the United States, many commercial banks in the United States are facing the serious problem of liquidity shortage, some commercial banks have collapsed in this crisis. The commercial banks of various countries are facing the huge challenge of liquidity risk, and finally derivative into a global financial storm. At home. Liquidity risk management of commercial banks has become the primary work of the relevant regulatory authorities. Because domestic commercial banks and foreign commercial banks in many of the nature of the existence of huge differences, so. In our country, we can not just copy some foreign experiences and theories about liquidity risk management. It is necessary to combine the special management model and structure of Chinese commercial banks to carry out more in-depth quantitative research. For this reason, we must be able to include the causes of liquidity risk of Chinese commercial banks. Evaluation and management to make accurate understanding, and accurately grasp the control and prevention of liquidity risk key factors. The probability of liquidity risk outbreak of commercial banks can be reduced. With the development of financial field in China, it is becoming more and more mature and stable. China's commercial banks are becoming more and more active in the global financial activities. Accordingly, the international economic and financial situation has become more and more important to our commercial banks. In recent years. Mutual borrowing and market repurchase financing among domestic commercial banks have become a way for domestic commercial banks to control liquidity risk, and the frequency of financing and borrowing in the financial market is increasing day by day. Commercial banks are facing more severe risk challenges. Therefore, the management center of commercial banks in China. Besides the CBRC should be responsible for the control of liquidity risk, the bank should also strengthen the organizational construction and liquidity risk control. Stress testing is a common means for banks to control liquidity risk. However, in the current development of stress testing, due to the lack of technical level and practical experience. The accuracy and validity of the test data is still low. Therefore, in this case, we should proceed from the theoretical basis. It is urgent to explore more effective methods of stress testing for commercial banks in China. Taking ICBC as an example, the author makes an empirical study on liquidity risk management of commercial banks. I hope to provide a more perfect case for the liquidity risk management of commercial banks, with strong practical application value and theoretical value. Empirical analysis is based on a large number of data. In view of the current situation of liquidity risk management of commercial banks in China, it also gives very effective liquidity risk management measures and preventive measures.
【学位授予单位】：山西财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.2

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