利率市场化下我国商业银行经营风险监管研究

发布时间：2018-01-24 15:04

本文关键词： 利率市场化商业银行经营风险金融监管　出处：《浙江财经大学》2017年硕士论文　论文类型：学位论文

【摘要】：利率在金融市场中发挥巨大作用,不仅对资金的流通有导向性,对资源的调配也有优化性,同时从中央银行角度来看,利率也是落实宏观调控的重要手段和政策工具。我国的利率市场化改革经过多年的探索,已取得了一定的成效。2015年中国人民银行宣布放开存款利率管制,这一措施意味着我国商业银行基本实现了利率自主定价,但管制利率放开的同时也增加了商业银行利率风险和信用风险在内的经营风险。而商业银行的信用风险、利率风险、流动性风险、政策风险、外汇风险、操作风险、法律风险、国家风险这些都归为经营风险。若商业银行的各项收入减少是因利率波动所致,那么此种风险为利率风险。因此在利率市场化改革推进中,商业银行必将面临更大、更严峻的利率风险。若商业银行的各项盈利缩减是因借款人未能遵照约定归还贷款所致,则此种风险为信用风险。信贷市场在利率的市场化推进中各种道德风险、逆向选择问题频发,导致我国商业银行的不良贷款率不断增加,从而使我国商业银行面临更严重的信用风险问题。因此研究利率市场化下如何加强商业银行利率风险和信用风险这两类经营风险的监管,从而使商业银行在利率市场化改革中平稳有序发展,已成为当前我国金融界面临的重大课题。本文对国内利率的市场化改革进程深入研究,从我国银行业现状出发,对利率市场化推进中商业银行面临的经营风险予以辨识、度量和分析,最后从金融监管的角度给出降低商业银行在利率市场化改革中经营风险的对策建议。论文除导言外,主要分为四个部分:第一部分主要对利率市场化理论、利率市场化对商业银行经营风险的影响以及应对商业银行经营风险的金融监管对策这三方面进行了文献综述。第二部分对利率市场化下我国商业银行的经营风险问题进行了分析。该部分阐述了我国利率市场化改革的进程及特点,并重点分析了利率市场化改革背景下我国商业银行利率风险和信用风险的形成原因、表现形式及其度量方法。第三部分对我国商业银行在利率市场化下的经营风险做了实证研究。该部分针对商业银行的重新定价利率风险首先利用利率敏感性缺口法进行分析。其次利用我国已上市的13家商业银行2008年第三季度到2015年第二季度共28个季度数据作为面板数据对商业银行基差利率风险和信用风险进行计量分析,并根据实证结论提出利率市场化下降低我国商业银行经营风险的建议。第四部分提出了利率市场化下加强我国商业银行经营风险监管的基本对策。该部分首先从加强我国商业银行利率风险监管和强化我国商业银行信用风险监管方面给出对策,最后从完善我国商业银行经营风险的外部审计监管方面给出基本对策和建议。本文的创新点主要包括:(1)系统研究了利率市场化下商业银行的利率风险和信用风险问题。学术界对利率市场改革下商业银行经营风险的研究主要集中在利率风险领域,针对信用风险方面的研究较少,本文不仅对利率风险进行研究也重点对商业银行的信用风险问题进行了研究(2)运用利率敏感性缺口分析法对商业银行的重新定价利率风险问题做了实证研究。学者们对商业银行利率风险的实证研究大多使用计量经济模型,较少使用利率敏感性缺口法对利率风险进行分析。本文在实证部分单独用利率敏感性缺口分析法对商业银行利率风险问题做了实证研究。(3)从金融监管的角度提出了加强商业银行经营风险监管的基本对策。学术界对于商业银行经营风险问题的研究主要集中在商业银行系统本身如何防范经营风险,而本文在结论部分从加强金融监管的角度提出了降低商业银行经营风险的基本对策。
[Abstract]:Interest rates play a significant role in the financial market, not only on capital flows oriented, the allocation of resources is optimized, at the same time from the central bank perspective, the interest rate is also an important means and policy tools to implement the macro-control. The interest rate marketization reform in our country after years of exploration, has achieved a certain effect of.2015 the people's Bank of Chinese announced the release of the deposit interest rate, which means China's commercial banks have basically realized the interest rate pricing, but also control the interest rate liberalization also increases the commercial bank interest rate risk and credit risk, operational risk and credit risk of commercial banks, interest rate risk, liquidity risk, policy risk, foreign exchange risk, operational risk, legal risk, country risk are classified as business risk. If the income of commercial banks is reduced due to fluctuations in interest rates caused by the wind, then Insurance for interest rate risk. In order to promote the market-oriented reform of interest rates, commercial banks will face more and more serious interest rate risk. If the profit of commercial banks is reduced because the borrower fails to comply with the agreed repayment of loans due to the risk of credit risk. The credit market in the interest rate market to promote the moral hazard. Adverse selection problems occur frequently, resulting in China's commercial banks non-performing loan ratio increased, so that the credit risk of commercial banks in China face more serious problems. So the research on how to strengthen the interest rate marketization of interest rate risk in commercial banks and the credit risk of these two types of business risk supervision, so that commercial banks in the interest rate marketization reform in a smooth and orderly development, has become a major issue facing China's financial sector. This in-depth research on domestic interest rate marketization reform, China's banking industry from now The shape of the identification to promote the marketization of interest rates in the face of commercial banks operating risk, measurement and analysis, finally, from the angle of financial supervision countermeasures to reduce the operation risk of commercial bank in the interest rate marketization reform. Besides introduction, mainly divided into four parts: the first part mainly on the interest rate marketization theory the interest rate market, the financial supervision measures of the operation risk of commercial bank risk management of commercial banks and deal with these three aspects of the literature review. The second part of the interest rate marketization of China's commercial banks operating risk are analyzed. This part expounds the process and characteristics of China's market-oriented interest rate reform. And analyzes the causes of interest rate reform under the background of China's commercial banks for interest rate risk and credit risk, manifestation and measurement methods. In the third part I Commercial banks in the interest rate market risk management has done an empirical study. The risk of re pricing interest rate for commercial banks, using the interest rate sensitivity gap analysis. Secondly China has listed the 13 commercial banks in the third quarter of 2008 to the second quarter of 2015, a total of 28 quarter data as panel data of commercial banks the basis of interest rate risk and credit risk analysis, and according to the empirical results put forward under the market interest rate reduce the operating risk of commercial bank in China. The fourth part puts forward the basic countermeasures to strengthen the interest rate marketization of China's commercial banks operating risk supervision. This part starts from strengthening the interest rate risk management of Chinese commercial banks and credit enhancement the risk of China's commercial banks given countermeasures, finally perfect the supervision of external audit of business risk of commercial bank in China The surface gives the basic countermeasures and suggestions. The main innovations of this thesis include: (1) the system of commercial bank interest rate market interest rate risk and credit risk. The academic research on the reform of the interest rate risk of commercial banks under the market mainly concentrated in the field of research on interest rate risk, credit risk is less, this paper not only research on interest rate risk of commercial banks "credit risk were studied (2) using the interest rate sensitivity gap analysis of commercial bank interest rate risk re pricing problem to do empirical research. Scholars empirical research on interest rate risk of commercial banks mostly use the econometric model, using the interest rate sensitivity gap method for less interest rate risk is analyzed. The interest rate sensitivity gap analysis of interest rate risk of commercial banks do empirical research in the empirical part alone . (3) from the angle of financial supervision put forward the basic countermeasures to strengthen management of commercial bank risk supervision. The academic research for the risk problems of commercial banks are mainly concentrated in the commercial bank system itself how to guard against operational risks, and the conclusion from the strengthening of financial supervision puts forward basic countermeasures to reduce the risk of commercial banks.

【学位授予单位】：浙江财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.33;F832.5

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