本文選題：資本充足率監(jiān)管　切入點：風險承擔　出處：《暨南大學》2012年碩士論文　論文類型：學位論文

【摘要】：《巴塞爾協(xié)議Ⅲ》對銀行資本充足水平提出了更高要求，那么我國商業(yè)銀行面對資本的嚴格監(jiān)管將如何應對，銀行將如何調(diào)整其資本水平與風險承擔水平，，銀行資本水平的變動與風險水平的變動是否相互影響？在當前金融危機過后的經(jīng)濟復蘇期研究這一問題將有助于監(jiān)管當局做出有利于銀行發(fā)展的監(jiān)管決策，這對維持我國銀行業(yè)的健康穩(wěn)定發(fā)展具有理論意義和現(xiàn)實意義。 本文先就資本充足率監(jiān)管對商業(yè)銀行風險承擔激勵影響的國內(nèi)外文獻進行綜述，發(fā)現(xiàn)學術(shù)界對該問題的研究尚未得出一致結(jié)論。然后對巴塞爾協(xié)議的歷史沿革進行了闡述。接著建立理論模型分析資本充足率監(jiān)管對商業(yè)銀行風險承擔的影響，我們主要針對銀行日常經(jīng)營面臨的最主要風險——信用風險進行分析。結(jié)果發(fā)現(xiàn)，較高的資本充足率要求降低了銀行的信貸風險偏好，進而降低了銀行的風險承擔水平，這正好符合監(jiān)管當局的初衷。在理論分析的基礎(chǔ)上，再就金融危機與銀行性質(zhì)對資本充足率水平和風險承擔激勵之間關(guān)系的影響進行了實證研究，結(jié)果表明，金融危機的發(fā)生在強化銀行資本充足率監(jiān)管效果的同時，也增強了銀行的風險承擔激勵。此外，銀行性質(zhì)的差異也對兩者之間的關(guān)系造成了不同影響。最后對全文進行總結(jié)，并提出相應的政策建議。
[Abstract]:Basel III puts forward higher requirements on the capital adequacy level of banks, so how to deal with the strict supervision of capital, how the banks will adjust their capital level and risk bearing level, Does the change of bank capital level and risk level influence each other? The study of this problem in the period of economic recovery after the current financial crisis will help the regulatory authorities to make regulatory decisions that are conducive to the development of banks, which has theoretical and practical significance for maintaining the healthy and stable development of the banking industry in China. This paper first summarizes the domestic and foreign literature on the influence of capital adequacy ratio regulation on commercial banks' risk-bearing incentives. It is found that the academic research on this issue has not reached a consistent conclusion. Then the history of the Basel Accord is expounded. Then a theoretical model is established to analyze the impact of capital adequacy ratio regulation on the risk bearing of commercial banks. We mainly analyze the most important risk that banks face in their daily operation-credit risk. The results show that the higher capital adequacy ratio reduces the credit risk preference of banks, and then reduces the risk assumption level of banks. This is exactly in line with the original intention of the regulatory authorities. On the basis of theoretical analysis, an empirical study is conducted on the relationship between the financial crisis and the nature of banks on the level of capital adequacy and risk-taking incentives. The results show that, The financial crisis not only strengthens the supervision effect of the bank capital adequacy ratio, but also strengthens the risk-bearing incentive of the bank. In addition, the differences in the nature of the bank also have different effects on the relationship between the two. And put forward the corresponding policy recommendations.
【學位授予單位】：暨南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.1;F832.33;F224

【引證文獻】

相關(guān)博士學位論文 前1條

1 胡恒松;產(chǎn)融結(jié)合監(jiān)管問題及制度創(chuàng)新研究[D];中央民族大學;2013年

相關(guān)碩士學位論文 前1條

1 張超;資本充足率監(jiān)管與商業(yè)銀行資產(chǎn)風險關(guān)系的研究[D];華東師范大學;2013年

本文編號：1619488