基于压力测试的我国商业银行流动性风险管理研究

发布时间：2018-05-08 22:30

本文选题：商业银行 + 流动性风险管理　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：在商业银行经营环境越发复杂的背景下,流动性冲击越发频繁,流动性风险管理的重要性不容忽视。2013年“钱荒”事件表明,我国商业银行在经营过程中也会出现流动性短缺,面临流动性风险的局面。流动性风险突发性强且具有传染性,一旦出现对银行体系乃至整个金融市场都会造成很大的冲击,因此,加强对流动性风险的研究与管理具有十分重要的现实意义。当前,受到经济增速放缓、金融脱媒加快、利率市场化等不稳定因素的影响,我国商业银行面临的流动性风险及其管理难度增大。本文分析了当前我国商业银行流动性风险的现状及管理中存在的问题,在现状分析的基础上,选取6家大型商业银行与30家中小型商业银行作为研究对象,建立面板回归模型实证检验各项风险因素对我国商业银行流动性风险的影响程度。基于回归结果,对大型、中小型两类商业银行进行压力测试,测试结果表明:在重度压力情景下,存款增速放缓、净息差缩窄、同业负债比例与同业拆借利率交互项的增大会引发流动性风险。同时,中小商业银行占比较高的同业负债对流动性比例的降低起到更为显著的影响,加大了流动性风险的管理难度。通过压力测试可以得知,目前我国商业银行整体上虽然不会出现较大的流动性危机,但是商业银行仍需要加强压力情景下流动性风险的管理,重点防范重度压力情景下可能出现的流动性风险。结合压力测试得出的分析结果,本文针对我国商业银行当前流动性风险管理存在的问题,分别对商业银行和监管机构提出了加强流动性风险管理的对策建议:一方面,商业银行必须加强流动性风险管理的主动性,强化风险防范意识;定期、主动开展压力测试,强化对中长期风险的预测与控制;在经营过程中拓宽客户渠道,增加稳定资金来源;积极开展创新中间业务,逐步降低对传统存贷息差收入的依赖;高度重视同业业务风险,加强期限错配管理,控制好流动性风险。另一方面,监管机构需要完善并加强流动性风险的监管,健全压力测试管理体系。
[Abstract]:Under the background of more and more complex business environment of commercial banks, liquidity shocks become more and more frequent, and the importance of liquidity risk management can not be ignored. The "money shortage" incident in 2013 shows that there will also be liquidity shortage in the course of operation of commercial banks in China. Facing liquidity risk. Liquidity risk is sudden and infectious, once it appears, it will have a great impact on the banking system and even the whole financial market. Therefore, it is of great practical significance to strengthen the research and management of liquidity risk. At present, influenced by the economic growth rate, financial disintermediation, interest rate marketization and other unstable factors, China's commercial banks are facing liquidity risks and management difficulties. This paper analyzes the current situation of liquidity risk and the existing problems in the management of commercial banks in China. On the basis of the analysis of the current situation, 6 large commercial banks and 30 small and medium-sized commercial banks are selected as the research objects. A panel regression model is established to test the influence of various risk factors on liquidity risk of commercial banks in China. Based on the regression results, two types of commercial banks, large, medium and small, were tested under stress. The results showed that the growth rate of deposits slowed down and the net interest margin narrowed under the heavy stress situation. The increase of interbank debt ratio and interbank offered rate interaction will lead to liquidity risk. At the same time, medium and small commercial banks account for a higher level of interbank debt, which has a more significant impact on the reduction of liquidity ratio, and increases the difficulty of liquidity risk management. Through the stress test, we can know that although there will not be a large liquidity crisis in China's commercial banks as a whole, commercial banks still need to strengthen the management of liquidity risk under the pressure scenario. Focus on the risk of liquidity under heavy stress scenarios. According to the analysis result of the stress test, this paper puts forward the countermeasures and suggestions of strengthening liquidity risk management for commercial banks and regulators in view of the problems existing in the current liquidity risk management of commercial banks in China: on the one hand, Commercial banks must strengthen the initiative of liquidity risk management, strengthen the awareness of risk prevention, carry out stress tests regularly, strengthen the prediction and control of medium- and long-term risks, broaden customer channels in the process of operation. To increase stable sources of funds; to actively develop innovative intermediate business, gradually reduce the dependence on traditional deposit and loan interest income; attach great importance to the business risk of the same industry, strengthen term mismatch management, control liquidity risk. On the other hand, regulators need to improve and strengthen the regulation of liquidity risk, and improve the stress test management system.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F272.3

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