基于巴塞尔协议Ⅲ的国内商业银行流动性风险管理研究
发布时间：2019-05-17 09:26
【摘要】：从巴塞尔委员会于2010年底发布巴塞尔协议III以来,加强和提高了国际流动性风险监管的一致性,金融体系的稳定性得以进一步提高。同步推进,我国监管机构对国内商业银行在该监管框架上的计量实施总体上是优良的,使得商业银行的在风险加权资产、资本及其质量、全面的风险管理的工作越来越全面、完善和精细化。虽然我国银行业改革发展取得了令人瞩目的成就,但要与我国日益庞大的实体经济需求相适应,与国际领先同业相比,仍需要较快且稳健地发展。同时在流动性方面也在不断地积累问题和风险,对我国的监管体系提出了新的挑战和要求。总结以往的流动性风险管理经验以及应对新的流动性风险问题需要深入地进行研究。本文以流动性风险管理体系为研究对象,通过广泛阅读相关文献、深入研究各类风险管理理论和模型的基础上,运用定性定量实证分析方法探索流动性风险的主要影响因素。文章首先研读国内外相关文献,归纳综述风险管理尤其是流动性风险管理的研究成果。在参考和借鉴大量研究成果的基础上,建立本文的研究思路,为后文展开研究指引了方向;其次,深入研究市场因素以及各类风险的内容,并结合流动性风险管理的内容和特点,为本文构建理论基础;再次,运用相关性分析和回归分析模型等经济学术领域普遍应用的定性分析方法,通过采集和处理国内商业银行各个风险指标的数据和宏观经济指标数据,构建的多元线性回归方程并定量方程中各变量的系数,从而分析出各解释变量对被解释变量的影响程度,即各影响因素对流动性风险的影响程度;最后,总结本文研究成果,并结合本文研究结论针对国内商业银行和市场监管者提出建设性意见,具有一定的现实意义和实践价值。本文重点对信用风险、市场风险、流动性风险、资本等影响因素使用其相对应的监测指标和内容,包括资本充足率、杠杆率、流动性比率、存贷比、不良贷款率、市场利率、汇率、货币政策等,对流动性覆盖率进行了实证分析。实证分析的结论表明,市场因素和资本因素以及流动性风险因素与流动性覆盖率指标是息息相关的,其中资本因素是影响流动性覆盖率的最主要因素,即是说银行自身因素是影响流动性的主要因素,市场因素和信用风险因素因素虽然也有一定程度的影响,但是影响力度相对较小。在本文的结尾处,结合本文研究成果,为银行业监管层、商业银行流动性风险管理者们提出了相关的建议。
[Abstract]:Since the Basle Committee issued the III at the end of 2010, the consistency of international liquidity risk regulation has been strengthened and improved, and the stability of the financial system has been further improved. At the same time, the measurement and implementation of domestic commercial banks on this regulatory framework by our regulatory institutions is generally excellent, which makes the work of commercial banks in risk-weighted assets, capital and their quality, and comprehensive risk management more and more comprehensive. Perfect and fine. Although the reform and development of China's banking industry has made remarkable achievements, in order to adapt to the increasing demand of China's real economy, compared with the international leading peers, it still needs to develop quickly and steadily. At the same time, the liquidity is also accumulating problems and risks, which puts forward new challenges and requirements to the regulatory system of our country. Summing up the previous experience of liquidity risk management and dealing with new liquidity risk problems need to be deeply studied. This paper takes the liquidity risk management system as the research object, through extensive reading of relevant literature, deeply studies all kinds of risk management theories and models, and uses qualitative and quantitative empirical analysis methods to explore the main influencing factors of liquidity risk. First of all, this paper studies the relevant literature at home and abroad, summarizes the research results of risk management, especially liquidity risk management. On the basis of referring to and drawing lessons from a large number of research results, the research ideas of this paper are established, which guides the direction of the later research. Secondly, it deeply studies the market factors and the content of all kinds of risks, and combines the contents and characteristics of liquidity risk management to build a theoretical basis for this paper. Thirdly, by using qualitative analysis methods widely used in economic and academic fields, such as correlation analysis and regression analysis model, the data of risk indicators and macroeconomic indicators of domestic commercial banks are collected and processed. The multiple linear regression equation and the coefficient of each variable in the quantitative equation are constructed, and the influence degree of each explanatory variable on the explained variable, that is, the influence degree of each influencing factor on liquidity risk, is analyzed. Finally, it is of practical significance and practical value to summarize the research results of this paper and put forward constructive suggestions for domestic commercial banks and market regulators. This paper focuses on the corresponding monitoring indicators and contents for credit risk, market risk, liquidity risk, capital and other influencing factors, including capital adequacy ratio, leverage ratio, liquidity ratio, deposit-loan ratio, non-performing loan ratio, market interest rate. Exchange rate, monetary policy and so on, this paper makes an empirical analysis of liquidity coverage. The conclusion of empirical analysis shows that market factors and capital factors, as well as liquidity risk factors, are closely related to liquidity coverage indicators, among which capital factor is the most important factor affecting liquidity coverage. That is to say, the bank itself is the main factor affecting liquidity, although the market factors and credit risk factors also have a certain degree of impact, but the impact is relatively small. At the end of this paper, combined with the research results of this paper, some suggestions are put forward for the banking regulatory layer and the liquidity risk managers of commercial banks.
【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】：2017
【分类号】：F832.33
，
本文编号：2478992
[Abstract]:Since the Basle Committee issued the III at the end of 2010, the consistency of international liquidity risk regulation has been strengthened and improved, and the stability of the financial system has been further improved. At the same time, the measurement and implementation of domestic commercial banks on this regulatory framework by our regulatory institutions is generally excellent, which makes the work of commercial banks in risk-weighted assets, capital and their quality, and comprehensive risk management more and more comprehensive. Perfect and fine. Although the reform and development of China's banking industry has made remarkable achievements, in order to adapt to the increasing demand of China's real economy, compared with the international leading peers, it still needs to develop quickly and steadily. At the same time, the liquidity is also accumulating problems and risks, which puts forward new challenges and requirements to the regulatory system of our country. Summing up the previous experience of liquidity risk management and dealing with new liquidity risk problems need to be deeply studied. This paper takes the liquidity risk management system as the research object, through extensive reading of relevant literature, deeply studies all kinds of risk management theories and models, and uses qualitative and quantitative empirical analysis methods to explore the main influencing factors of liquidity risk. First of all, this paper studies the relevant literature at home and abroad, summarizes the research results of risk management, especially liquidity risk management. On the basis of referring to and drawing lessons from a large number of research results, the research ideas of this paper are established, which guides the direction of the later research. Secondly, it deeply studies the market factors and the content of all kinds of risks, and combines the contents and characteristics of liquidity risk management to build a theoretical basis for this paper. Thirdly, by using qualitative analysis methods widely used in economic and academic fields, such as correlation analysis and regression analysis model, the data of risk indicators and macroeconomic indicators of domestic commercial banks are collected and processed. The multiple linear regression equation and the coefficient of each variable in the quantitative equation are constructed, and the influence degree of each explanatory variable on the explained variable, that is, the influence degree of each influencing factor on liquidity risk, is analyzed. Finally, it is of practical significance and practical value to summarize the research results of this paper and put forward constructive suggestions for domestic commercial banks and market regulators. This paper focuses on the corresponding monitoring indicators and contents for credit risk, market risk, liquidity risk, capital and other influencing factors, including capital adequacy ratio, leverage ratio, liquidity ratio, deposit-loan ratio, non-performing loan ratio, market interest rate. Exchange rate, monetary policy and so on, this paper makes an empirical analysis of liquidity coverage. The conclusion of empirical analysis shows that market factors and capital factors, as well as liquidity risk factors, are closely related to liquidity coverage indicators, among which capital factor is the most important factor affecting liquidity coverage. That is to say, the bank itself is the main factor affecting liquidity, although the market factors and credit risk factors also have a certain degree of impact, but the impact is relatively small. At the end of this paper, combined with the research results of this paper, some suggestions are put forward for the banking regulatory layer and the liquidity risk managers of commercial banks.
【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】：2017
【分类号】：F832.33
，
本文编号：2478992
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