基于矩阵法的我国银行间同业市场风险传染效应研究

发布时间：2018-04-28 08:04

本文选题：银行间同业市场 + 风险传染　；参考：《浙江财经大学》2016年硕士论文

【摘要】：对我国金融体系而言,银行的地位不可小觑,其对经济的正常运转发挥着重要的支撑作用,它的稳定性亦决定着未来中国的经济命运。银行经营必然会伴随风险,当前金融化程度越来越高,银行是否能够获得经营成功,除了关乎其自身发展,还会影响与其存在业务往来的其他银行。美国爆发的次贷危机重创了世界金融体系及实体经济,此后金融体系的稳健性成为监管人员需要重新审视的内容,他们逐渐将监管的中心转移至宏观审慎监管,怎样确保金融系统安全是考虑的重点问题,特别是银行系统安全。因为各银行间的信贷关联度非常高,若某一银行倒闭往往会引发连锁反应,导致其他银行遭受资产损失甚至于倒闭,对金融体系造成冲击。所以,自次贷危机,评估、监管银行间的风险传染效应成为世界各国各地区的重点关注内容。本文将从银行间同业市场角度,分析各银行因相互借贷而产生风险的传染效应。在对银行间同业市场风险传染相关文献解读的基础上,首先从理论上阐述了银行间市场风险的定义、结构以及传染的途径;再次运用描述性统计分析法对我国银行间市场的成员组成、发展的现状等进行了分析;最后将新型同业务纳入到同业拆借数据中,选取16家银行作为本文的研究对象,构建本文的指标体系,运用矩阵分析的方法,通过对Matlab数据分析平台的运用来获得了风险头寸矩阵,此外就某一银行经营失败对其他银行造成的冲击展开模拟,本课题选取中国银行、工商银行、建设银行和农业银行在不同的资产损失率下分析对其他银行的影响。本文由此得出的主要结论如下:(1)银行之间发生风险传染与违约损失率有关,违约损失率决定了风险传染是否发生及违约损失的大小;(2)银行总体的资本充足率越高,银行的传染损失越小;(3)在银行的风险传染过程中,银行的系统重要性与其在同业市场所处地位有关;(4)银行风险传染程度与同业市场的结构有关。据此,本文创新性地考量了新型同业业务的影响,在银行间市场风险的预防措施、风险传染过程中的控制、风险传染后的监控等三个角度降低银行间市场的风险提出了对策建议。
[Abstract]:To the financial system of our country, the position of the bank can not be underestimated, it plays an important supporting role to the normal operation of the economy, and its stability also determines the future economic fate of China. Bank management is bound to be accompanied by risks. At present, the degree of financialization is becoming higher and higher. Whether the bank can succeed in its operation will affect not only its own development, but also the other banks that have business dealings with it. The subprime mortgage crisis in the United States has hit the world financial system and the real economy hard. Since then, the stability of the financial system has become something that regulators need to re-examine. They gradually shift the center of supervision to macro-prudential supervision. How to ensure the security of the financial system is a key issue to consider, especially the security of the banking system. Because of the high degree of credit correlation among banks, failure of one bank will often trigger a chain reaction, causing other banks to suffer asset losses and even failure, which will impact the financial system. Therefore, the risk contagion effect between banks has become the focus of attention in various countries and regions since the subprime mortgage crisis. From the perspective of interbank market, this paper analyzes the contagion effect of banks' risk caused by mutual lending. Based on the interpretation of the literature on interbank market risk contagion, the definition, structure and ways of contagion of interbank market risk are expounded theoretically. Thirdly, the paper uses descriptive statistical analysis method to analyze the composition and development of interbank market in China. Finally, 16 banks are selected as the object of this paper, and the new same business is included in the interbank lending data. The index system of this paper is constructed and the risk position matrix is obtained by using the Matlab data analysis platform. In addition, the impact of the failure of one bank on other banks is simulated. In this paper, Bank of China, Industrial and Commercial Bank of China, China Construction Bank and Agricultural Bank are selected to analyze the impact on other banks under different asset loss rates. The main conclusions of this paper are as follows: 1) the risk contagion among banks is related to the default loss rate, which determines whether or not the risk contagion occurs and the size of the default loss. 2) the higher the overall capital adequacy ratio of the banks, the higher the capital adequacy ratio of the banks as a whole. The smaller the contagion loss of banks is, the smaller the degree of risk contagion is related to the structure of interbank market in the process of risk contagion of banks, the systemic importance of banks is related to their position in the interbank market. Accordingly, this paper creatively considers the influence of the new interbank business, the prevention measures in the interbank market risk, and the control of the risk contagion process. The paper puts forward countermeasures and suggestions to reduce the risk of interbank market from three angles: monitoring after risk contagion.
【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.2

【相似文献】