【摘要】：通過合理的流動(dòng)性風(fēng)險(xiǎn)管理來保持適度的流動(dòng)性，控制流動(dòng)性風(fēng)險(xiǎn)一直是商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理的熱點(diǎn)與重點(diǎn)。巴塞爾委員會(huì)也曾指出測度與管理其流動(dòng)性是商業(yè)銀行最為重要的業(yè)務(wù)之一。但是因?yàn)榇蟛糠秩苏J(rèn)為銀行即使出現(xiàn)流動(dòng)性危機(jī)，政府也會(huì)進(jìn)行救助，，致使流動(dòng)性風(fēng)險(xiǎn)曾一度被國內(nèi)外學(xué)者忽視。然而，近年來，銀行業(yè)不斷出現(xiàn)流動(dòng)性風(fēng)險(xiǎn)問題，使加強(qiáng)流動(dòng)性風(fēng)險(xiǎn)管理再次成為商業(yè)銀行的關(guān)注熱點(diǎn)。因此，準(zhǔn)確測度商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)，并深入研究流動(dòng)性風(fēng)險(xiǎn)影響因素，對(duì)我國銀行業(yè)甚至金融業(yè)的良性發(fā)展有重要意義，鑒于此，本文圍繞這些問題針對(duì)我國商業(yè)銀行展開研究，具體包括以下五部分： 首先，界定流動(dòng)性、流動(dòng)性風(fēng)險(xiǎn)的定義，梳理商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理的相關(guān)理論，并介紹本文運(yùn)用的分析方法及其原理。 其次，回顧我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)發(fā)展歷程與現(xiàn)狀，并全方位、深入分析當(dāng)前我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理中存在的問題。 然后，運(yùn)用靜態(tài)、動(dòng)態(tài)流動(dòng)性風(fēng)險(xiǎn)衡量方法對(duì)我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)進(jìn)行衡量，并在我國現(xiàn)有的商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)衡量指標(biāo)的基礎(chǔ)之上，懫用主成分分析方法，構(gòu)造出一個(gè)衡量商業(yè)銀行流動(dòng)性綜合水平的指標(biāo)。 再次，以構(gòu)造的流動(dòng)性綜合水平為被解釋變量，從銀行內(nèi)外部選取解釋變量對(duì)我國不同規(guī)模上市商業(yè)銀行建立面板數(shù)據(jù)模型進(jìn)行實(shí)證分析，以探求我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)的影響因素。 最后，在流動(dòng)性風(fēng)險(xiǎn)現(xiàn)狀及問題分析的基礎(chǔ)上、結(jié)合影響因素的實(shí)證分析結(jié)果，從銀行自身層面、宏觀政策層面以及第三方監(jiān)督層面對(duì)我國商業(yè)銀行流動(dòng)性管理提出相應(yīng)對(duì)策建議。
[Abstract]:Through reasonable liquidity risk management to maintain appropriate liquidity, liquidity risk control has been the focus of commercial banks liquidity risk management. The Basel Committee has also pointed out that measuring and managing its liquidity is one of the most important business of commercial banks. But because most people believe that even if banks have a liquidity crisis, the government will also rescue, resulting in liquidity risk was once ignored by domestic and foreign scholars. However, in recent years, the liquidity risk has appeared continuously in the banking industry, which makes the strengthening of liquidity risk management become the focus of commercial banks again. Therefore, it is of great significance to measure the liquidity risk of commercial banks accurately and to study the influencing factors of liquidity risk for the benign development of banking and even financial industry in China. This paper focuses on these problems in China's commercial banks, including the following five parts: first, define liquidity, liquidity risk definition, combing the commercial banks liquidity risk management theory, The analysis method and principle used in this paper are also introduced. Secondly, the paper reviews the development course and present situation of liquidity risk of commercial banks in China, and analyzes the existing problems in liquidity risk management of commercial banks in China. Then, using the static and dynamic liquidity risk measurement method to measure the liquidity risk of commercial banks in China, and on the basis of the existing liquidity risk measurement indicators of commercial banks in China, the principal component analysis method is used. This paper constructs an index to measure the comprehensive level of liquidity of commercial banks. Thirdly, taking the synthetic level of liquidity as the explanatory variable, the paper analyzes the panel data model of China's listed commercial banks with different sizes by selecting the explanatory variables from the inside and outside of the banks. In order to explore the liquidity risk of commercial banks in China. Finally, on the basis of the analysis of the current situation and problems of liquidity risk, combined with the empirical analysis results of influencing factors, from the bank's own level, The macroscopic policy level and the third party supervision level put forward the corresponding countermeasure suggestion to our country commercial bank liquidity management.
【學(xué)位授予單位】：燕山大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉海虹;銀行危機(jī)與商業(yè)銀行流動(dòng)性問題研究[J];財(cái)貿(mào)經(jīng)濟(jì);1999年01期

2 王敬;劉華;;LOF流動(dòng)性風(fēng)險(xiǎn)度量與實(shí)證研究[J];大連理工大學(xué)學(xué)報(bào)(社會(huì)科學(xué)版);2009年01期

3 張維,蔣東明,熊熊,高雅琴,安瑛輝;商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)管理決策程序研究[J];東南大學(xué)學(xué)報(bào)(哲學(xué)社會(huì)科學(xué)版);2004年04期

4 呂耀明;西方商業(yè)銀行信貸資產(chǎn)風(fēng)險(xiǎn)管理及其借鑒[J];國際金融研究;1998年12期

5 張秀文;;加強(qiáng)我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)監(jiān)管研究[J];財(cái)政監(jiān)督;2012年10期

6 鄭澤華;風(fēng)險(xiǎn)演進(jìn)、理念轉(zhuǎn)換與中國監(jiān)管體制改革[J];廣東金融學(xué)院學(xué)報(bào);2005年01期

7 于坤;;淺析我國商業(yè)銀行流動(dòng)性風(fēng)險(xiǎn)防范研究[J];商業(yè)經(jīng)濟(jì);2012年14期

8 張晉生;;流動(dòng)性過剩的影響、成因及對(duì)策[J];經(jīng)濟(jì)與管理研究;2007年04期

9 童頻,丁之鎖;中國商業(yè)銀行流動(dòng)性管理的特征及其制度背景[J];經(jīng)濟(jì)研究;2000年09期

10 喬志強(qiáng);;中小銀行流動(dòng)性風(fēng)險(xiǎn)管理研究[J];金融理論與實(shí)踐;2009年07期

相關(guān)博士學(xué)位論文 前1條

1 郭德維;銀行流動(dòng)性風(fēng)險(xiǎn)度量與管理研究[D];天津大學(xué);2009年

本文編號(hào)：2390119