商业银行风险测量及宏观因素影响分析

发布时间：2018-05-26 09:51

本文选题：上市国有银行 + 长期风险　；参考：《辽宁大学》2017年硕士论文

【摘要】：中国与世界经济的联系越来越紧密,这在促进金融业之间相互交流取长补短的基础上,也促进了国际银行业的发展。但是,随之而来的风险也日趋加剧,尤其是2008年金融危机以来,给世界金融业敲响了警钟。国际金融的自由化和金融的不断开放使得银行作为金融体系的核心风险不断加剧,很容易由于某个国家区域性风险引发整个世界的金融危机。因此,如何有效的防范和规避银行风险,并制定策略减少银行风险对于实体经济的影响,已经成为中国各个监管机构关注的焦点。加之中国处于经济转型重要时期,如何防范国际乃至国内银行之间的风险传染,已经成为银行业风险检测的重要组成部分。首先,文章以中国工商银行为例,利用银行日收益率数据对工商银行的短期风险值进行模拟。在分析中,对数据是否满足ARCH类模型进行分析,最后分析得出符合ARCH类模型要求。最终对ARCH、GARCH、EGARCH等进行模拟,并列表分析了各个模型处理数据,最终选取EGARCH模型的整个过程,得出具体的风险值。在分析中,我们以中国五家国有上市银行作为研究对象,分析各个银行股票日收益、上证指数和银行指数的长短期风险。其次,文章利用模型分析影响银行长期风险的各个宏观经济影响因素。在总结前人分析基础和结合当今经济发展现状基础上,选取了六个宏观经济指标,并构建了向量自回归模型,对影响银行长期风险波动的宏观经济影响因素进行实证分析。最后,具体分析各个变量对风险的具体影响,以及传导过程。最后,通过对五家银行进行模拟和银行业长期风险和宏观影响因素进行分析,我们可以分析风险研究结果:第一,ARCH类模型通过各个种类的比较分析,很好的解释了自2010年至2016年的风险状况,并很好的模拟了中国经济转型时期的风险。即当前五家上市国有银行长期风险较为稳定,并处于国家银监会合理范围内。通过短期和长期风险的分别测量,我们可以很好的应对风险,采取有针对性的措施。第二,对五大国有银行进行对比,风险均值相差不多,但是风险波动情况相差很大,尤其是交通银行,应该加大风险防范,其他银行根据自己实际情况进行适当调整,争取把风险控制在合理范围内。最后的实证分析显示:GDP、CPI、HP及汇率的增长率对长期风险影响较大,对整个经济运行有较大影响。
[Abstract]:China and the world economy are more and more closely linked, which not only promotes the mutual exchange between the financial industry, but also promotes the development of the international banking industry. However, the attendant risks are becoming more and more serious, especially since the 2008 financial crisis, which has sounded the alarm bell for the world financial industry. The liberalization of international finance and the continuous opening of finance make banks as the core risk of the financial system continuously aggravated, it is easy to cause the whole world financial crisis because of the regional risk of a country. Therefore, how to effectively prevent and avoid bank risk, and formulate strategies to reduce the impact of bank risk on the real economy, has become the focus of Chinese regulators. In addition, China is in an important period of economic transition, how to prevent the risk contagion between international and domestic banks has become an important part of banking risk detection. Firstly, taking ICBC as an example, the paper simulates the short-term risk value of ICBC by using the data of daily rate of return. In the analysis, whether the data meets the ARCH class model is analyzed, and finally, it is found that the data meets the requirements of the ARCH class model. Finally, the paper simulates the EGARCH model, and analyzes the processing data of each model in parallel table. Finally, the whole process of EGARCH model is selected, and the specific risk value is obtained. In the analysis, we take five state-owned listed banks in China as the research object, and analyze the long-term and short-term risk of each bank's stock daily income, Shanghai stock index and bank index. Secondly, the paper uses the model to analyze the macro-economic factors that affect the long-term risks of banks. On the basis of summing up the previous analysis basis and combining with the present economic development situation, this paper selects six macroeconomic indicators, and constructs a vector autoregressive model to make an empirical analysis of the macroeconomic impact factors that affect the long-term risk volatility of banks. Finally, the specific impact of each variable on the risk, as well as the conduction process. Finally, through the simulation of five banks and the analysis of the long-term risk and macroscopical factors of banking, we can analyze the results of risk research: first, through the comparative analysis of various types of arch model, A good explanation of the risks from 2010 to 2016, and a good simulation of the risks of China's economic transition. That is, the five listed state-owned banks have a stable long-term risk and are within the reasonable scope of the CBRC. Through the short-term and long-term risk measurement, we can deal with the risk well, take targeted measures. Second, comparing the five major state-owned banks, the average value of risk is not much different, but the fluctuation of risk is very different. Especially the Bank of Communications, we should step up risk prevention, and other banks should make appropriate adjustments according to their actual situation. Try to keep the risk within a reasonable range. Finally, the empirical analysis shows that the growth rate of the CPIHP and the exchange rate have a great influence on the long-term risk and the whole economic operation.
【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33

【参考文献】