商业银行风险管理对价值创造的影响研究

发布时间：2018-07-08 21:50

本文选题：商业银行 + 经济资本　；参考：《安徽大学》2013年硕士论文

【摘要】：随着我国金融市场的蓬勃发展,近年来我国商业银行的数量日趋增加,各种金融新兴业态萌发。银行作为金融业的最大主体,对我国经济持续健康发展、国民生活水平不断提高有着不可忽视的影响。商业银行的不断改革为银行带来更多发展的机遇,但与此同时也面临着来自国内外的压力和巨大的竞争及挑战。商业银行风险管理水平与国际先进银行之间仍然存在着较大的差距,而价值创造能力、盈利能力和综合竞争力也有待提高。近几年来,风险事件频发,我国商业银行遭受的风险越来越大。在这种机遇与挑战并存的环境背景下,我国商业银行如何通过正确的风险控制程序和手段来规避风险、减少损失、提高价值,就显得尤为重要。因此,对我国商业银行风险管理对价值创造的影响进行理论和实证分析,从而提出如何应对风险、创造价值,是十分必要的。本文共分为五个部分,第一部分为引言部分,主要介绍本文的研究背景与意义、国内外研究动态、研究思路和方法以及研究的创新与不足。第二部分为基础分析部分,在介绍MM理论、战略管理理论、风险管理理论和价值链理论这些相关理论的基础上,阐述了商业银行风险管理与价值创造的相关概念,并系统地介绍了商业银行风险管理的发展沿革。第三部分对我国商业银行目前的风险管理现状进行了描述性统计,并通过对银行经济资本相关内容的介绍以及经济资本配置与风险管理关系的阐述,总结出商业银行风险管理对价值创造的影响机理。第四部分是实证分析部分,提出了风险管理对于价值创造影响的研究假设,并悉心选取了研究样本及变量指标,构建了多元回归模型,使用SPSS19.0软件对变量间的关系进行了相关性研究。实证研究结果表明,拨备覆盖率、资产负债率、上市情况对银行价值创造呈现正影响,而资本充足率对银行价值创造能力呈现负影响,不良贷款率与价值创造能力不具有显著相关性。第五部分主要概括了本文的理论以及实践方面的研究结论,提出具有针对性的意见和建议,并展望了未来的研究方向。本文的创新及特色之处在于,在结合MM理论、战略管理理论、风险管理理论和价值创造理论的基础上,通过分析风险管理对价值创造的影响机理来提出银行风险管理和价值管理的重要性以及联系,并提出了当前的银行改革和建设的重点,即银行全面风险管理。我国现有的研究主要是单独针对商业银行风险管理或商业银行价值创造的其中一个方面,而对于前者对后者影响的实证研究很少。本文着重的是通过建立模型研究风险管理对价值创造的影响,从银行的市场风险、信用风险、流动性风险三方面设计解释变量,并通过收集银监会年报及各银行年度报告中的经济数据来分析商业银行风险管理的现状,总结目前我国商业银行的风险管理问题以及所取得的进展,并提出相关意见和建议,以帮助改善银行管理风险的能力,引导银行提高价值创造水平。
[Abstract]:With the rapid development of China's financial market, the number of commercial banks in China has increased in recent years, and various financial emerging formats have sprout. As the largest subject of the financial industry, banks have an invisible effect on the continuous and healthy development of our economy and the continuous improvement of the national standard of living. The continuous reform of commercial banks brings more banks to the banks. At the same time, the opportunities for development are also facing pressure from home and abroad and huge competition and challenges. There is still a big gap between the risk management level of commercial banks and the international advanced banks, and the value creation ability, profitability and comprehensive competitiveness are still to be raised. In recent years, the risk events have been frequent and China's commercial silver has become more frequent. In the context of the coexistence of such opportunities and challenges, it is particularly important for Chinese commercial banks to avoid risks, reduce losses and improve their value through correct risk control procedures and means. Therefore, the impact of risk management on value creation in China's commercial banks is theoretically and empirically divided. It is very necessary to propose how to deal with risks and create value.
This article is divided into five parts. The first part is the introduction, which mainly introduces the background and significance of the research, the research trends at home and abroad, the research ideas and methods, and the innovation and deficiency of the research. The second part is the basic analysis part, and introduces the related theories of MM theory, strategic management theory, risk management theory and value chain theory. On the basis of this, it expounds the related concepts of the risk management and value creation of commercial banks, and systematically introduces the development and evolution of the risk management of commercial banks. The third part makes a descriptive statistics on the present situation of the risk management of commercial banks in China, and introduces the related contents of the bank's economic capital and the allocation of economic capital. The relationship between risk management and risk management is expounded, and the influence mechanism of risk management on value creation is summarized. The fourth part is the empirical analysis part, puts forward the research hypothesis of the impact of risk management on value creation, and carefully selects the research sample and variable index, constructs a multiple regression model, and uses the SPSS19.0 software to the variables. The empirical study shows that the reserve coverage rate, the asset liability ratio and the listing situation have a positive impact on the bank value creation, while the capital adequacy ratio has a negative impact on the bank value creation ability, and the bad loan rate has no significant correlation with the value creation ability. The fifth part mainly summarizes the theory of this article. On the basis of the research findings, we put forward some pertinent opinions and suggestions, and look forward to the future research directions.
On the basis of MM theory, strategic management theory, risk management theory and value creation theory, this paper puts forward the importance and connection of bank risk management and value management by analyzing the influence mechanism of risk management on value creation, and puts forward the focus of current bank reform and construction. That is, the overall risk management of the bank. The current research in our country is mainly about one aspect of the risk management of commercial banks or the value creation of commercial banks, and few empirical studies on the effect of the former on the latter. This paper focuses on the impact of risk management on value creation through the establishment of a model, from the market risk of the bank, Credit risk, liquidity risk three design explanatory variables, and by collecting the annual report of the CBRC and the annual report of the bank's economic data to analyze the current situation of the risk management of commercial banks, summarize the current risk management problems and the progress of the commercial banks in China, and put forward some suggestions and suggestions to help improve the bank. The ability to manage risks will guide banks to improve the level of value creation.
【学位授予单位】：安徽大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.33;F830.42

【参考文献】