我国商业银行流动性监管问题的研究
发布时间：2018-07-15 17:37
【摘要】：2007年全球经济危机爆发,使许多资本充足率符合统计监管标准的系统重要性金融机构面临倒闭,进而造成国金银行体系遭到冲击,而这次危机爆发的实质是流动性短缺的压力,该风险来源于银行为提高信用额度而导致的合同期限错配行为。因此,以资本监管为核心的风险监管理念开始受到质疑,为了避免同类型的危机再次发生,各国监管当局开始提高对流动性风险监管的重视程度,国内外理论界也针对流动性风险成因、发展变迁、与经济环境、政策的相互关系、影响要素、巴塞尔协议Ⅲ新增的流动性监管内容适用性等主要内容做出了研究探讨。同时巴塞尔协议新增了流动性风险计量、标准和国际框架的内容,将流动性风险的统计监管提升到与资本监管同等重要的地位,构建了更为全面稳健的全面风险监管框架,为国际银行业的统一监管提出了理论标准和依据。在这样的金融发展背景下,本文以我国的流动性风险监管发展为研究的主要内容,主要研究对象包含我国已上市的13家主要商业银行,从我国流动性监管的发展阶段、发展水平、理论研究结论方面进行较为全面的论述,并就流动性风险监管数据、和与巴塞尔协议Ⅲ相关内容的比较分析说明流动性风险监管的现状问题,包括流动性风险治理结构的依赖性与低效,流动性风险监管策略较为简单零散,流动性风险识别计量方式有待改进,监管指标体系有待加强、表外科目未并表管理带来的监管隐患,信息管理系统开发落后等。而发掘问题所在是为我国金融监管主体加强流动性风险监管的协调合作,制定稳健有效的流动性风险监管标准框架,为商业银行调整流动性风险监管治理结构、内部监管策略、量化流动性风险提供改良的方向。另外对如何借鉴国际先进的流动性风险监管经验提出方向性的建议。
[Abstract]:In 2007, the global economic crisis broke out, and the systemic importance financial institutions that made a lot of capital adequacy ratio conformed to the standard of statistical supervision were faced with the collapse of the financial institutions, which led to the impact of the national gold bank system. The essence of the crisis was the pressure of liquidity shortage, which came from the mismatch of the term of the contract due to the increase of the credit line. Therefore, the concept of risk supervision at the core of capital supervision has begun to be questioned. In order to avoid the recurrence of the same type of crisis, the regulatory authorities of various countries begin to raise the importance of the supervision of the convective risk. The theoretical circles both at home and abroad are also aiming at the causes of the liquidity risk, and the relationship with the economic environment and the policy. In addition, the main contents of the Basel Protocol III new liquidity supervision content are discussed. Meanwhile, the Basel agreement has added the content of liquidity risk measurement, standard and international framework, and promoted the statistical supervision of liquidity risk to the same important status as capital supervision, and built a more comprehensive and comprehensive and comprehensive comprehensive. The framework of risk regulation provides theoretical standards and basis for the unified supervision of international banking industry. Under such financial development, this paper focuses on the development of liquidity risk supervision in China as the main content. The main object of this study includes 13 major commercial banks in China, which are developed from the development stage of China's liquidity supervision. The level, the theoretical research conclusion is more comprehensive, and the liquidity risk supervision data, and the Basel Protocol III relative contents are compared and analyzed to explain the current situation of liquidity risk supervision, including the dependence and low efficiency of the liquidity risk management structure, the liquidity risk supervision strategy is simple and scattered, and the liquidity is relatively simple. The measurement method of risk identification needs to be improved, the regulatory index system needs to be strengthened, the hidden dangers from the outside table management and the development of the information management system are backward. The excavation problem is to strengthen the coordination and cooperation of the liquidity risk supervision for the financial regulators in China, and to formulate a robust and effective framework for the supervision of liquidity risk. For commercial banks to adjust the regulatory structure of liquidity risk regulation, internal regulatory strategies, and quantify liquidity risks, the direction of improvement is provided. In addition, suggestions on how to learn from the experience of international advanced liquidity risk supervision are put forward.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33
本文编号：2124849
[Abstract]:In 2007, the global economic crisis broke out, and the systemic importance financial institutions that made a lot of capital adequacy ratio conformed to the standard of statistical supervision were faced with the collapse of the financial institutions, which led to the impact of the national gold bank system. The essence of the crisis was the pressure of liquidity shortage, which came from the mismatch of the term of the contract due to the increase of the credit line. Therefore, the concept of risk supervision at the core of capital supervision has begun to be questioned. In order to avoid the recurrence of the same type of crisis, the regulatory authorities of various countries begin to raise the importance of the supervision of the convective risk. The theoretical circles both at home and abroad are also aiming at the causes of the liquidity risk, and the relationship with the economic environment and the policy. In addition, the main contents of the Basel Protocol III new liquidity supervision content are discussed. Meanwhile, the Basel agreement has added the content of liquidity risk measurement, standard and international framework, and promoted the statistical supervision of liquidity risk to the same important status as capital supervision, and built a more comprehensive and comprehensive and comprehensive comprehensive. The framework of risk regulation provides theoretical standards and basis for the unified supervision of international banking industry. Under such financial development, this paper focuses on the development of liquidity risk supervision in China as the main content. The main object of this study includes 13 major commercial banks in China, which are developed from the development stage of China's liquidity supervision. The level, the theoretical research conclusion is more comprehensive, and the liquidity risk supervision data, and the Basel Protocol III relative contents are compared and analyzed to explain the current situation of liquidity risk supervision, including the dependence and low efficiency of the liquidity risk management structure, the liquidity risk supervision strategy is simple and scattered, and the liquidity is relatively simple. The measurement method of risk identification needs to be improved, the regulatory index system needs to be strengthened, the hidden dangers from the outside table management and the development of the information management system are backward. The excavation problem is to strengthen the coordination and cooperation of the liquidity risk supervision for the financial regulators in China, and to formulate a robust and effective framework for the supervision of liquidity risk. For commercial banks to adjust the regulatory structure of liquidity risk regulation, internal regulatory strategies, and quantify liquidity risks, the direction of improvement is provided. In addition, suggestions on how to learn from the experience of international advanced liquidity risk supervision are put forward.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.33
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