HS银行基于不完全契约理论的流动性风险管理

发布时间：2018-03-16 16:18

本文选题：流动风险管理　切入点：不完全契约　出处：《安徽大学》2017年硕士论文　论文类型：学位论文

【摘要】：风险管理是商业银行业务运营的永恒主题。流动性风险、利率风险、操作风险和信用风险共同构成商业银行的四大主要风险。流动性风险危害巨大,不仅对商业银行是一个致命的风险,而且由于风险的传导机制,对整个金融体系甚至国民经济都会造成巨大的破坏。2013年6月20日,上海银行同业间隔夜回购利率飙升至前所未有的30%,七天回购利率也一度高达28%,而这两个利率在近年来一直低于3%。此次利率大幅波动的根本原因是市场流动性不足。长期以来,由于有国家做信用背书,我国商业银行未能对流动性风险给予足够的关注。此外伴随着金融市场的进一步放开和外部金融市场环境的日益复杂,商业银行已经开始暴露出越来越多的问题,如资产负债结构单一、期限错配严重等,这些问题无疑都将增加流动性风险管理的难度。不完全契约理论作为现代经济学标准分析工具之一,在企业治理、产权结构等领域得到广泛的应用。2016年10月10日,瑞典皇家科学院宣布,奥利弗·哈特和本特·霍尔姆斯特伦共同获得2016年度诺贝尔经济学奖,以表彰他们对不完全契约理论方面的研究贡献,不完全契约的巨大解释力再一次引发人们的关注。本文以此为契机,提出了从不完全契约理论的角度来研究商业银行流动性风险管理这一问题。在内容上以流动性风险管理为主线,结合不完全契约理论分析了流动性风险管理的契约不完全性。然后以HS银行为研究对象,探究了 HS银行的流动性风险管理问题,对HS银行的流动性风险管理现状进行了分析,最后结合不完全契约理论,提出相应的改进建议。本文共分为五个组成部分。第一部分是绪论,介绍了论文的研究背景和意义、结构框架以及创新点等。第二部分为理论综述部分。首先解释流动性风险的相关概念、形成原因和分类,并对流动性风险管理的主要理论进行了阐述;其次介绍了不完全契约的相关概念、成因以及相关理论。最后重点探究了流动性风险契约属性,并指出流动性风险管理契约不完全的原因、后果以及治理原则。第三部分以HS银行为例,通过分析HS银行的主要流动性衡量指标,结合HS银行流动性风险管理的现状,指出HS银行在流动性风险管理上存在的问题。第四部分结合不完全契约理论,从正式契约、关系契约以及心理契约三个角度,针对HS银行存在的问题提出相应改进建议。第五部分是结论和展望部分,总结了本文的研究,指出本文的不足,并为进一步研究提供了思路。
[Abstract]:Risk management is the eternal theme of commercial bank business operation. Liquidity risk, interest rate risk, operational risk and credit risk constitute the four main risks of commercial banks. Not only is it a fatal risk to commercial banks, but also because of the transmission mechanism of risk, it will cause enormous damage to the entire financial system and even to the national economy. In June 20th 2013, The overnight repo rate among Shanghai banks soared to an unprecedented 30, and the seven-day repo rate was once as high as 28 percent, which has been below $3.00 in recent years. The root cause of this sharp fluctuation in interest rates is the lack of liquidity in the market for a long time. As a result of credit endorsement, Chinese commercial banks fail to pay enough attention to liquidity risk. In addition, with the further liberalization of financial markets and the increasing complexity of the external financial market environment, Commercial banks have begun to expose more and more problems, such as the single structure of assets and liabilities, the serious mismatch of maturity and so on. These problems will undoubtedly increase the difficulty of liquidity risk management. As one of the modern economic standard analysis tools, incomplete contract theory has been widely used in corporate governance, property structure and other fields. In October 10th 2016, The Royal Swedish Academy of Sciences announced that Oliver Hart and Ben Holmes Trent were awarded the 2016 Nobel Prize in Economics for their contributions to the theory of incomplete contracts. The great explanatory power of incomplete contract has once again aroused people's attention. This paper puts forward the theory of incomplete contract to study the liquidity risk management of commercial banks. Combined with incomplete contract theory, this paper analyzes the incompleteness of liquidity risk management. Then, taking HS Bank as the research object, this paper probes into the liquidity risk management of HS Bank, and analyzes the current situation of liquidity risk management in HS Bank. Finally, combining the incomplete contract theory, the corresponding improvement suggestions are put forward. This paper is divided into five parts. The first part is the introduction, which introduces the research background and significance of the paper. The second part is a review of the theory. Firstly, it explains the related concepts of liquidity risk, causes and classification, and expounds the main theory of liquidity risk management. Secondly, it introduces the related concepts, causes and relevant theories of incomplete contract. Finally, it focuses on the nature of liquidity risk contract, and points out the reasons of incomplete liquidity risk management contract. The third part takes HS Bank as an example, through the analysis of the main liquidity measurement indicators of HS Bank, combined with the current situation of liquidity risk management in HS Bank. This paper points out the problems in liquidity risk management of HS Bank. Part 4th combines the theory of incomplete contract from three angles: formal contract, relationship contract and psychological contract. The 5th part is the conclusion and prospect part, summarizes the research of this paper, points out the deficiency of this paper, and provides the train of thought for further research.
【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.2

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