基于Shibor的我国商业银行流动性风险研究

发布时间：2018-03-23 11:13

本文选题：商业银行　切入点：个体流动性风险　出处：《山西财经大学》2017年硕士论文

【摘要】：杠杆化是现代经济发展的主要特征之一。随着经济发展杠杆化的不断加深,流动性问题已经逐渐超越了信用问题,处在了风险管理的核心位置。无论是出于盈利性还是安全性,商业银行都需要在流动性风险方面进行更加严格的理论创新和量化管理。本文对商业银行流动性风险的分析着眼于将商业银行个体流动性风险和系统流动性风险放在同一个框架内进行研究。在理论上从三个方面展开,首先是以Shibor为基础,对流动性风险度量指标进行理论研究和分析;其次是商业银行系统流动性风险及其影响因素的理论分析,充实了我国在系统流动性风险分析方面的理论内容;再次,沿着巴塞尔协议对于流动性风险监管的新指标,对商业银行的个体流动性风险进行了理论分析;最后,采用静态面板模型,将Shibor为基础的流动性度量指标、个体流动性风险和系统流动性风险纳入同一个模型中进行实证分析。理论分析与实证分析结果表明,系统流动性风险对我国商业银行的影响最为显著,人民币汇率与宏观经济杠杆率这两个系统因素需要重点关注。个体流动性风险中的资本充足率与融资结构指标对于流动性风险也有显著的影响。另外,通过对不同种类银行的进一步实证分析发现,国有银行的融资结构对于其流动性风险影响并不显著,而股份制银行的融资结构对于流动性风险影响显著;资本充足率指标虽然不作为流动性风险的监管指标,但是其对缓解流动性风险仍然有重要的作用。
[Abstract]:Leverage is one of the main characteristics of modern economic development. With the deepening of economic leverage, the liquidity problem has gradually gone beyond the credit problem and is at the core of risk management. Commercial banks need to carry out more strict theoretical innovation and quantitative management of liquidity risk. The analysis of liquidity risk of commercial bank focuses on individual liquidity risk and systemic liquidity risk of commercial bank. To carry out research within the same framework. Theoretically, in three ways, Firstly, based on Shibor, the paper makes a theoretical study and analysis on the liquidity risk measurement index, and secondly, the theoretical analysis of the liquidity risk and its influencing factors in the commercial bank system. It enriches the theoretical content of systemic liquidity risk analysis in China. Thirdly, it makes a theoretical analysis of individual liquidity risk of commercial banks along with the new indicators of Basel Accord on liquidity risk regulation. Finally, The static panel model is used to analyze the liquidity index based on Shibor, the individual liquidity risk and the systemic liquidity risk in the same model. The impact of systemic liquidity risk on Chinese commercial banks is most significant. Two systemic factors, RMB exchange rate and macroeconomic leverage ratio, need to be paid more attention to. Capital adequacy ratio and financing structure index in individual liquidity risk also have significant influence on liquidity risk. Through further empirical analysis of different kinds of banks, it is found that the financing structure of state-owned banks has no significant effect on liquidity risk, while the financing structure of joint-stock banks has a significant impact on liquidity risk. Although the capital adequacy index is not regarded as the supervision index of liquidity risk, it still plays an important role in mitigating liquidity risk.
【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】：F832.33

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