巴塞尔协议Ⅲ框架下中国商业银行资产负债管理研究

发布时间：2018-05-05 23:34

  本文选题：商业银行 + 资产负债管理　； 参考：《武汉大学》2013年博士论文

【摘要】：本轮金融危机充分暴露出资本监管的缺陷,为此巴塞尔委员会制定了第三版巴塞尔协议,采取严格资本监管标准、引入流动性监管要求等一系列措施,以促进商业银行的稳健运行,这些监管变革势必对商业银行的资产负债管理产生深刻影响。 本文结合巴塞尔协议Ⅲ在中国的实践,从资产负债总量和结构安排、资本管理、流动性管理及定价管理等4个方面,对中国商业银行的资产负债管理现状进行了分析。研究结论表明,资产负债管理在中国商业银行经营管理中正逐步受到重视,管理水平不断得到提升,但在巴塞尔协议Ⅲ的框架下,资产负债管理仍具有一定的被动性,资产负债管理目标协调难度较大,资产负债结构还不太合理,风险对冲手段有限。巴塞尔协议Ⅲ的实施显著影响中国商业银行的资产负债结构,促进商业银行谋求更广的资金来源和更多的资金运用渠道,降低资产负债的依存度；加大了资本充足率达标压力,反映出资本补充、风险资产管理精细化程度以及内部资本管理机制的不完善；资本监管加强后导致资产负债管理行为异化,带来的流行性风险隐患不容忽视,同时流动性风险监测的缺陷,给流动性管理带来较大挑战；在利率市场化加快推进的过程中,商业银行定价能力正在形成,但定价管理才刚起步,基础工作尚显薄弱。总体来看,中国商业银行资产负债管理的理念、方法、工具与巴塞尔协议ⅡⅢ的要求还存在一定差距。 为更好地适应巴塞尔协议Ⅲ实施后所带来的新形势,中国商业银行资产负债管理要顺势而为,加快转变工作思路和管理理念,加快改革创新力度,从管理主线、完善措施、保障机制等方面,建立起稳健的、可持续的资产负债管理体系。
[Abstract]:This round of financial crisis has fully exposed the defects of capital supervision. For this reason, the Basel Committee has formulated the third edition of the Basel Accord, adopted a series of measures such as strict capital supervision standards, introduction of liquidity supervision requirements, and so on. In order to promote the steady operation of commercial banks, these regulatory changes are bound to have a profound impact on the management of assets and liabilities of commercial banks. Based on the practice of Basel III in China, this paper analyzes the current situation of asset-liability management in Chinese commercial banks from four aspects: total amount and structure of assets and liabilities, capital management, liquidity management and pricing management. The results show that asset liability management is being paid more and more attention to in the management of Chinese commercial banks, and the management level has been improved constantly. However, under the framework of Basel III, asset liability management is still passive. The goal of asset liability management is difficult to coordinate, the structure of assets and liabilities is not reasonable, and the means of risk hedging are limited. The implementation of Basel III has significantly affected the asset-liability structure of Chinese commercial banks, promoted commercial banks to seek a wider source of funds and more channels for the use of funds, reduced the dependence on assets and liabilities, and increased the pressure on the capital adequacy ratio to meet the standards. Reflecting the capital supplement, the fine degree of risk asset management and the imperfection of the internal capital management mechanism, the strengthening of capital supervision leads to the dissimilation of assets and liabilities management behavior, and the hidden danger of epidemic risk can not be ignored. At the same time, the defects of liquidity risk monitoring bring greater challenges to liquidity management. In the process of accelerating the promotion of interest rate marketization, the pricing ability of commercial banks is being formed, but pricing management has just started, and the basic work is still weak. In general, there is still a gap between the concept, methods and tools of asset-liability management in Chinese commercial banks and the requirements of Basel II 鈪，

本文编号：1849736