本文選題：宏觀審慎監(jiān)管 + 壓力測(cè)試�。� 參考：《湖南大學(xué)》2013年博士論文

【摘要】：2008年爆發(fā)的國(guó)際金融危機(jī)揭示了流動(dòng)性風(fēng)險(xiǎn)具有很強(qiáng)的傳染效應(yīng)，單家銀行出現(xiàn)的流動(dòng)性危機(jī)可能引發(fā)其他銀行的連鎖反應(yīng)，特別是如果出現(xiàn)流動(dòng)性危機(jī)的銀行與其他金融機(jī)構(gòu)具有較高關(guān)聯(lián)性時(shí)，更易引發(fā)系統(tǒng)性金融風(fēng)險(xiǎn)。因此，穩(wěn)健的流動(dòng)性風(fēng)險(xiǎn)監(jiān)管對(duì)于單家銀行的持續(xù)經(jīng)營(yíng)和整個(gè)銀行體系的安全穩(wěn)定都是至關(guān)重要的。 論文對(duì)危機(jī)后各國(guó)流動(dòng)性風(fēng)險(xiǎn)監(jiān)管新動(dòng)向進(jìn)行綜述發(fā)現(xiàn)：各國(guó)監(jiān)管當(dāng)局開(kāi)始探索宏觀審慎監(jiān)管框架下的銀行流動(dòng)性監(jiān)管模式，重點(diǎn)關(guān)注宏觀經(jīng)濟(jì)因子沖擊下的銀行流動(dòng)性擠兌現(xiàn)象以及銀行間流動(dòng)性風(fēng)險(xiǎn)的傳染與反饋效應(yīng)，進(jìn)而評(píng)估流動(dòng)性風(fēng)險(xiǎn)對(duì)系統(tǒng)性風(fēng)險(xiǎn)和整個(gè)金融體系穩(wěn)定性的影響�！栋腿麪枀f(xié)議Ⅲ》的頒布表明，各國(guó)監(jiān)管部門(mén)未來(lái)對(duì)銀行業(yè)流動(dòng)性風(fēng)險(xiǎn)的監(jiān)管將朝著可計(jì)量化和可操作化方向發(fā)展，在此過(guò)程中，流動(dòng)性壓力測(cè)試方法是其進(jìn)行分析評(píng)估的關(guān)鍵工具，也是實(shí)施流動(dòng)性監(jiān)管的重要依據(jù)。 流動(dòng)性壓力測(cè)試方法能夠幫助銀行評(píng)估在極端條件下的流動(dòng)性供求情況，促使其適時(shí)做出應(yīng)急方案，故危機(jī)后逐漸受到關(guān)注。但就目前我國(guó)的實(shí)施現(xiàn)狀來(lái)看，國(guó)內(nèi)商業(yè)銀行的流動(dòng)性壓力測(cè)試更近于敏感性分析而非情景測(cè)試，一是情景設(shè)計(jì)過(guò)于簡(jiǎn)單隨意，，二是沒(méi)有與宏觀經(jīng)濟(jì)和金融市場(chǎng)環(huán)境相掛鉤，這使得壓力測(cè)試往往流于形式。 對(duì)此，論文構(gòu)建了銀行流動(dòng)性擠兌的壓力測(cè)試模型，著重探討宏觀經(jīng)濟(jì)因子沖擊導(dǎo)致的銀行業(yè)流動(dòng)性擠兌問(wèn)題，通過(guò)運(yùn)用KMV模型計(jì)算壓力情景下商業(yè)銀行違約率的變化，進(jìn)而量化商業(yè)銀行違約率與活期存款流失之間的關(guān)系。相對(duì)于目前流動(dòng)性壓力測(cè)試任意設(shè)置參數(shù)的做法，采用風(fēng)險(xiǎn)模型量化違約率以及存款流失率等參數(shù)將顯得較為合理。論文以我國(guó)上市銀行為樣本進(jìn)行了流動(dòng)性壓力測(cè)試實(shí)證分析，結(jié)果表明我國(guó)銀行體系存在較為明顯的流動(dòng)性期限錯(cuò)配現(xiàn)象，部分商業(yè)銀行短期內(nèi)流動(dòng)性壓力較大。 由于宏觀審慎監(jiān)管重點(diǎn)關(guān)注銀行間流動(dòng)性風(fēng)險(xiǎn)的傳染效應(yīng)，故本文采用壓力測(cè)試方法對(duì)此進(jìn)行了研究。近年來(lái)，我國(guó)同業(yè)拆借市場(chǎng)迅速發(fā)展，已成為銀行間流動(dòng)性頭寸調(diào)劑的主要場(chǎng)所，同時(shí)也成為流動(dòng)性風(fēng)險(xiǎn)傳染的重要渠道。本文通過(guò)對(duì)我國(guó)銀行同業(yè)拆借市場(chǎng)上流動(dòng)性風(fēng)險(xiǎn)傳染的實(shí)證研究發(fā)現(xiàn)：當(dāng)銀行體系出現(xiàn)大規(guī)模流動(dòng)性沖擊時(shí)，會(huì)導(dǎo)致拆借市場(chǎng)交易量的迅速萎縮，且很難恢復(fù)到?jīng)_擊前的水平，并可能造成部分銀行倒閉；而在小規(guī)模流動(dòng)性沖擊下，流動(dòng)性風(fēng)險(xiǎn)具有收斂性，市場(chǎng)交易量會(huì)逐步恢復(fù)到平穩(wěn)狀態(tài)。這說(shuō)明：我國(guó)銀行間同業(yè)市場(chǎng)本身具有一定的穩(wěn)定性和風(fēng)險(xiǎn)分散性，但由于我國(guó)國(guó)有商業(yè)銀行的規(guī)模效應(yīng)，其一旦發(fā)生流動(dòng)性擠兌問(wèn)題，則會(huì)對(duì)整個(gè)同業(yè)拆借市場(chǎng)造成巨大的流動(dòng)性沖擊，導(dǎo)致流動(dòng)性風(fēng)險(xiǎn)和恐慌情緒的蔓延。因此，對(duì)系統(tǒng)重要性銀行實(shí)施更為審慎的流動(dòng)性監(jiān)管是必要的。 宏觀審慎監(jiān)管的內(nèi)容不僅涵蓋對(duì)流動(dòng)性風(fēng)險(xiǎn)的量化評(píng)估，也涵蓋流動(dòng)性風(fēng)險(xiǎn)爆發(fā)后的危機(jī)救助和處理機(jī)制。關(guān)于流動(dòng)性救助，學(xué)術(shù)界歷來(lái)存在很大的爭(zhēng)議。論文對(duì)此次金融危機(jī)后各國(guó)救助實(shí)踐的研究發(fā)現(xiàn)，系統(tǒng)性風(fēng)險(xiǎn)防范是政府考慮決定是否提供流動(dòng)性救助的主要因素，其被關(guān)注程度超過(guò)道德風(fēng)險(xiǎn)。由于中央銀行擔(dān)負(fù)維護(hù)金融穩(wěn)定、貨幣政策實(shí)施者和最后貸款人的多重職能，故其在銀行業(yè)流動(dòng)性救助中應(yīng)居于實(shí)施主體地位。在此基礎(chǔ)上，本文探討了流動(dòng)性救助機(jī)制的構(gòu)建，包括流動(dòng)性救助對(duì)象的甄別、救助方式的選擇，建設(shè)性模糊的運(yùn)用以及救助措施的退出機(jī)制等。 要通過(guò)壓力測(cè)試完善對(duì)流動(dòng)性風(fēng)險(xiǎn)的審慎監(jiān)管，需要從宏觀和微觀兩個(gè)層面對(duì)相應(yīng)的環(huán)境和制度建設(shè)進(jìn)行推進(jìn)。從宏觀層面，監(jiān)管當(dāng)局應(yīng)明確流動(dòng)性風(fēng)險(xiǎn)管理策略、構(gòu)建宏觀壓力測(cè)試體系、完善貨幣政策對(duì)銀行體系流動(dòng)性的調(diào)控機(jī)制并健全流動(dòng)性救助和危機(jī)處理機(jī)制；從微觀層面，單家銀行應(yīng)完善其流動(dòng)性風(fēng)險(xiǎn)管理架構(gòu)、優(yōu)化存貸款期限結(jié)構(gòu)和流動(dòng)性資產(chǎn)儲(chǔ)備、在技術(shù)上提高流動(dòng)性壓力測(cè)試的精確性并做出必要的應(yīng)急預(yù)案。
[Abstract]:The international financial crisis broke out in 2008 revealed that liquidity risk has a strong contagion effect . The liquidity crisis in a single bank may trigger a chain reaction of other banks , especially if a bank with liquidity crisis has a high relevance with other financial institutions , it is more likely to trigger systemic financial risks . Therefore , a sound liquidity risk regulation is essential to the continuous operation of a single bank and the security and stability of the entire banking system .

This paper reviews the new trends of liquidity risk supervision in post - crisis countries : the supervision authorities of various countries begin to explore the bank liquidity supervision model under the macro - prudential supervision framework , pay attention to the influence of liquidity risk on the systemic risk and the stability of the whole financial system , and then evaluate the impact of liquidity risk on the systemic risk and the stability of the whole financial system .

The test method of liquidity pressure can help banks to assess the liquidity supply and demand under extreme conditions and prompt them to make contingency plans in due course . However , in view of the current situation of our country , the liquidity pressure test of domestic commercial banks is more close to sensitivity analysis than situational testing .

In this paper , the paper constructed a pressure test model of bank liquidity squeeze , focused on the bank liquidity squeeze caused by the impact of macro - economic factors , and then quantified the relationship between the default rate of commercial banks and the loss of demand deposits by using the KMV model to calculate the change of the default rate of commercial banks .

Since the macro - prudential regulation focuses on the contagion effect of inter - bank liquidity risk , this paper makes a study on the pressure test method . In recent years , China ' s interbank borrowing market has been developed rapidly , and has become the main venue for liquidity risk infection .
Under the impact of small - scale liquidity , the liquidity risk has convergence , and the market volume will gradually return to the steady state . This indicates that the market itself has certain stability and risk dispersion . However , the liquidity risk and the spread of panic emotion can be caused by the scale effect of the state - owned commercial banks in China . Therefore , it is necessary to implement more prudent liquidity supervision to the systemically important banks .

The macro - prudential regulation not only covers the quantitative assessment of liquidity risk , but also covers the crisis rescue and treatment mechanism after liquidity risk .

At the macro level , the supervisory authority should make clear the management strategy of liquidity risk , build the macro - pressure test system , perfect the regulation mechanism of monetary policy on the liquidity of the banking system and perfect the liquidity assistance and crisis management mechanism .
From the micro level , the single bank should perfect its liquidity risk management structure , optimize the loan term structure and liquidity asset reserve , improve the accuracy of the liquidity stress test and make the necessary emergency plan technically .
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.33

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