基于期限结构匹配的商业银行资产负债优化模型

发布时间：2018-01-30 15:19

本文关键词： 商业银行资产负债管理流动性风险期限错配优化方法　出处：《东北财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：流动性风险是商业银行面临的“最致命的风险”。银行的流动性不仅会影响商业银行的信誉和盈利能力,在极端情况下,还会导致银行破产,当这一风险从银行体系蔓延到实体经济中时,就会使整个国家经济陷入困境,导致经济危机。2008年金融危机中有上百年历史的国际大银行的倒闭,给银行敲响了流动性警钟,使银行开始重视流动性风险。全球金融危机案例表明,银行危机的实质在于资产负债配置失误而导致的流动性危机,而配置失误的其中一个重要方面就是商业银行资产负债的期限错配,也就是资金来源短期化,资金运用长期化。这种期限错配是商业银行盈利的常态手段,同时也蕴含着流动性风险。在经济形势稳定的情况下,这种错配可以依靠活期存款循环来支撑。但是当期限错配严重,经济形势发生改变时,短期资金不足以应对客户对短期资金的提取,则容易诱发商业银行流动性风险,因此,资产负债期限错配程度分析是衡量商业银行流动性风险的一个重要方法。过去,由于宏观流动性的充裕和居民高储蓄现象的存在,商业银行能很容易地以较低成本获得资金。从2007年起,我国商业银行开始全面对外开放,面临来自其他外资银行的竞争,随着股份制银行的发展和城市商业银行的兴起,同业竞争也越来越激烈。近年来,我国商业银行存款短期化、贷款长期化趋势明显。同时,存款增速的减缓和贷款增速的加快增大了我国商业银行面临的流动性风险。因此,从资产负债期限错配角度研究商业银行流动性风险,具有现实意义。为了合理配置银行的资产负债期限结构,在银行日常管理中,进行合理的资产负债管理很重要。资产负债管理是在一定负债总量和结构的前提下,以安全性、流动性和盈利性的协调为目标,对银行资产进行合理配置的一种综合平衡管理方法。资产负债管理方法是当今商业银行进行经营管理的重要方法之一。本文应用银行资产负债管理理论,建立了以银行利息收益最大化为目标函数、以资产负债的期限匹配和商业银行监管法规为约束条件的资产负债结构优化模型,来限制期限错配程度并为商业银行风险管理提供决策意见。在模型中,利用HP滤波法得到活期存款的长期稳定部分,并将其作为长期存款来源进行资产分配。本文通过案例分析和模型敏感性分析,证明模型的可用性。在实证分析方面,本文以15家上市银行为例,将其存款结构分别输入资产负债优化模型,得到各自最优解中中长期资产占比,然后将模型结果与真实情况作对比,来衡量银行资产负债期限错配的状况,判定其面临的流动性风险大小。通过实证分析,可以得到如下结论：我国商业银行普遍存在期限错配的问题,其中国有商业银行期限错配程度比其他商业银行要高,股份制商业银行总体比国有银行错配程度低,城市商业银行相互差别很大；商业银行长期稳定资金来源增加,可以增加最优解中中长期资产占比。最后,本文在实证分析的基础之上,针对期限错配问题为商业银行提出了一些建议,期望能够为我国银行业在流动性风险管理方面提供一些参考。
[Abstract]:The liquidity risk of commercial banks is facing the most deadly risk. The bank's liquidity will not only affect the commercial bank's reputation and profitability, in extreme cases, can lead to bankruptcy, when the spread of the risk from the banking system to the real economy, will make the whole national economic difficulties, resulting in hundreds of years of history of the international big bank failures of economic crisis.2008 financial crisis, liquidity to banks sounded the alarm, the bank began to pay attention to liquidity risk.
The case shows that the global financial crisis, liquidity crisis essence of bank crisis is the allocation of assets and liabilities caused by the mistakes and errors, the allocation of one important aspect is the commercial bank assets and liabilities maturity mismatch, which is short-term funding, long-term use of funds. The term mismatch is the norm means of profit in commercial bank at the same time, also contains a liquidity risk. In the economic situation is stable, this mismatch can depend on the current deposit cycle to support. But the current limit mismatch is serious, the economic situation changes, short-term funds will not be sufficient to deal with the customer on the extraction of short-term funds to the liquidity risk of commercial banks, by so balance the degree of maturity mismatch analysis is an important method to measure the liquidity risk of commercial banks.
In the past, due to the macro ample liquidity and high household savings phenomenon, commercial banks can easily obtain funds at low cost. Since 2007, China's commercial banks began opening, from other facing the competition of foreign banks, with the rise of the development of joint-stock banks and city commercial banks, interbank the competition is increasingly fierce. In recent years, China's commercial bank deposits and short-term loans, long-term trend is obvious. At the same time, deposit growth slowed and loan growth accelerated to increase liquidity risk in China's commercial banks. Therefore, the liquidity risk from the asset liability maturity mismatch angle of commercial bank, has the reality meaning.
In order to rationally allocate the assets of the bank debt maturity structure, in the daily management of the bank, it is important for asset liability management. Reasonable management of assets and liabilities in the premise of certain liabilities in quantity and structure, to coordinate security, liquidity and profitability as the goal, a comprehensive balance management method for the rational allocation of silver for assets. The asset liability management is an important method for management of the commercial bank.
Asset liability management based on the theory of the bank, established with the largest bank interest income as the objective function, the optimization model of the structure of assets and liabilities to assets and liabilities of commercial bank supervision regulations and the term matching as the constraint conditions, to limit the degree of maturity mismatch and provide suggestions of risk management of commercial banks. In the model, long-term stability part of the demand deposits by using the HP filtering method, and as a long-term source of deposits for asset allocation. Through case analysis and model sensitivity analysis to prove the usability of the model.
In the empirical analysis, this paper takes 15 listed banks as an example, the structure of the deposit are input balance optimization model, get their optimal solution in long-term assets ratio, and the model results are compared with the real situation, to measure the bank assets and liabilities maturity mismatch, liquidity risk facing to determine its size. Through empirical analysis, the conclusions are as follows: common term mismatch problems of commercial banks in China, the term of the state-owned commercial bank mismatch degree than other commercial banks, joint-stock commercial banks than the state-owned banks overall mismatch degree low, city commercial banks are very different; commercial banks long-term stable funding increase, can increase the optimal solution in long-term assets ratio.
Finally, based on the empirical analysis, this paper puts forward some suggestions for commercial banks in view of the term mismatch problem, hoping to provide some references for China's banking industry in the aspect of liquidity risk management.

【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.42;F832.33

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