本文選題：系統(tǒng)性風(fēng)險(xiǎn)　切入點(diǎn)：系統(tǒng)重要性銀行　出處：《南開大學(xué)》2014年博士論文

【摘要】：新一代國(guó)際金融監(jiān)管的重要變革是將系統(tǒng)性風(fēng)險(xiǎn)納入監(jiān)管的新框架,建立全球的宏觀審慎監(jiān)管制度,尤其是加強(qiáng)對(duì)系統(tǒng)重要性金融機(jī)構(gòu)的監(jiān)管,提高監(jiān)管強(qiáng)度和有效性,降低“大而不倒”導(dǎo)致的道德風(fēng)險(xiǎn)以及系統(tǒng)重要性金融機(jī)構(gòu)對(duì)全球金融業(yè)巨大的風(fēng)險(xiǎn)傳染性和影響力；與此同時(shí),中國(guó)金融業(yè)在做大做強(qiáng)的自我發(fā)展道路上遭遇結(jié)構(gòu)變遷的瓶頸,多年來(lái)的分業(yè)經(jīng)營(yíng)模式有礙于金融機(jī)構(gòu)經(jīng)營(yíng)效率的提高和服務(wù)模式的創(chuàng)新,而在向混業(yè)經(jīng)營(yíng)轉(zhuǎn)變的過(guò)程中,不完善的金融體系又面臨更嚴(yán)峻的挑戰(zhàn)。金融控股公司作為混業(yè)經(jīng)營(yíng)的主要工具,在經(jīng)營(yíng)傳統(tǒng)商業(yè)銀行業(yè)務(wù)之外,成立子公司涉足證券、保險(xiǎn)、信托等業(yè)態(tài),加大了金融資產(chǎn)的規(guī)模,增加了業(yè)務(wù)的復(fù)雜性,使得其一旦面臨風(fēng)險(xiǎn),就有可能對(duì)整個(gè)金融體系產(chǎn)生巨大的影響。在這樣的國(guó)內(nèi)外金融發(fā)展背景下,研究我國(guó)系統(tǒng)重要性銀行的風(fēng)險(xiǎn)防范和監(jiān)管問(wèn)題具有非常重要的現(xiàn)實(shí)意義。 金融危機(jī)的爆發(fā)暴露出對(duì)系統(tǒng)重要性金融機(jī)構(gòu)的監(jiān)管缺失,促使監(jiān)管當(dāng)局在新的監(jiān)管框架下更加關(guān)注系統(tǒng)性風(fēng)險(xiǎn)的防范。各個(gè)國(guó)家在面臨當(dāng)前困境的同時(shí)也都在思考：全球的金融監(jiān)管怎么完善,本國(guó)的金融監(jiān)管該如何跟進(jìn)。正是基于這樣一個(gè)簡(jiǎn)單清晰的問(wèn)題,本文展開對(duì)系統(tǒng)重要性銀行的監(jiān)管研究。我國(guó)大型商業(yè)銀行在銀行業(yè)金融機(jī)構(gòu)中資產(chǎn)占比近50%左右,而銀行業(yè)又是我國(guó)金融業(yè)的主力軍,雖然發(fā)展速度較快,但內(nèi)生的脆弱性猶存。所以大型商業(yè)銀行的穩(wěn)健經(jīng)營(yíng)關(guān)系著整個(gè)金融行業(yè)的穩(wěn)定性。當(dāng)前,國(guó)際監(jiān)管組織出臺(tái)了諸多監(jiān)管政策,補(bǔ)充和強(qiáng)化了系統(tǒng)重要性金融機(jī)構(gòu)的監(jiān)管制度,我國(guó)監(jiān)管當(dāng)局也在遵守全球監(jiān)管制度安排的同時(shí),積極探索適合我國(guó)國(guó)情的監(jiān)管策略。本文在對(duì)相關(guān)理論和文獻(xiàn)進(jìn)行梳理的基礎(chǔ)上,著重關(guān)注全球系統(tǒng)重要性金融機(jī)構(gòu)的監(jiān)管制度變革以及中國(guó)近幾年的金融監(jiān)管政策導(dǎo)向,通過(guò)研究系統(tǒng)重要性銀行的識(shí)別方法,系統(tǒng)重要性銀行的風(fēng)險(xiǎn)管理以及系統(tǒng)重要性銀行監(jiān)管有效性等問(wèn)題建立起由事前監(jiān)管、事中監(jiān)管和事后監(jiān)管三個(gè)方面組成的我國(guó)系統(tǒng)重要性銀行監(jiān)管的框架。 本文框架分為六個(gè)部分,具體內(nèi)容如下： 第一章引言：引言部分涉及論文選題的背景意義、論文研究的理論基礎(chǔ)和文獻(xiàn)綜述、論文的研究思路和論文結(jié)構(gòu),以及論文的研究方法和創(chuàng)新點(diǎn)。 第二章金融危機(jī)爆發(fā)促使全球金融監(jiān)管框架變革：本章意在反思金融危機(jī)爆發(fā)過(guò)后暴露出的監(jiān)管缺失,以及全球監(jiān)管框架變革的內(nèi)容,目的是引出全球監(jiān)管框架變革下對(duì)系統(tǒng)性風(fēng)險(xiǎn)的更加關(guān)注和對(duì)系統(tǒng)重要性金融機(jī)構(gòu)監(jiān)管的具體措施,并且著重回顧了金融危機(jī)對(duì)我國(guó)銀行業(yè)造成的沖擊以及危機(jī)后我國(guó)金融監(jiān)管改革的方向。 第三章中國(guó)系統(tǒng)重要性銀行的評(píng)估和識(shí)別：系統(tǒng)重要性銀行的評(píng)估和識(shí)別是對(duì)其進(jìn)行有效監(jiān)管的前提,本章意在建立符合我國(guó)銀行業(yè)發(fā)展現(xiàn)狀的系統(tǒng)重要性銀行的評(píng)估方法。本章在對(duì)國(guó)內(nèi)外系統(tǒng)重要性銀行評(píng)估方法總結(jié)的基礎(chǔ)上,采取市場(chǎng)分析法(CoVaR)和指標(biāo)體系法(Index method)構(gòu)建模型評(píng)估系統(tǒng)重要性銀行,并通過(guò)二者結(jié)果的對(duì)比,最后在指標(biāo)體系法的結(jié)果基礎(chǔ)上結(jié)合系統(tǒng)聚類法識(shí)別出我國(guó)的系統(tǒng)重要性銀行,并分為A類系統(tǒng)重要性銀行(A-SIBS)和B類系統(tǒng)重要性銀行(B-SIBS). 第四章中國(guó)系統(tǒng)重要性銀行的發(fā)展現(xiàn)狀和面臨的風(fēng)險(xiǎn)：本章承接第三章的評(píng)估結(jié)果,首先從國(guó)外和國(guó)內(nèi)兩個(gè)維度進(jìn)行了比較,分析了我國(guó)被評(píng)為全球系統(tǒng)重要性銀行的中國(guó)銀行和中國(guó)工商銀行在全球系統(tǒng)重要性銀行中的地位,以及國(guó)內(nèi)系統(tǒng)重要性銀行A-SIBS和擬成為系統(tǒng)重要性銀行的銀行B-SIBS的發(fā)展現(xiàn)狀,并在此基礎(chǔ)上總結(jié)了中國(guó)系統(tǒng)重要性銀行面臨的主要風(fēng)險(xiǎn),尤其是對(duì)當(dāng)前互聯(lián)網(wǎng)金融下面臨的信息科技風(fēng)險(xiǎn)進(jìn)行了詳細(xì)的研究,旨在進(jìn)一步完善風(fēng)險(xiǎn)管理框架。 第五章中國(guó)系統(tǒng)重要性銀行監(jiān)管有效性研究：本章意在對(duì)中國(guó)系統(tǒng)重要性銀行的監(jiān)管效果進(jìn)行探索性的分析。本章通過(guò)函數(shù)推導(dǎo)建立了風(fēng)險(xiǎn)和收益的數(shù)學(xué)關(guān)系,結(jié)合Panel Data模擬得到了由資本充足率和流動(dòng)性比率組成的監(jiān)管有效性區(qū)域,并根據(jù)當(dāng)前的資本監(jiān)管框架和流動(dòng)性監(jiān)管框架對(duì)系統(tǒng)重要性銀行的監(jiān)管有效性問(wèn)題進(jìn)行了說(shuō)明。 第六章我國(guó)系統(tǒng)重要性銀行監(jiān)管體系的構(gòu)建：本章提出了中國(guó)系統(tǒng)重要性銀行風(fēng)險(xiǎn)防范和監(jiān)管的政策建議,并從事前監(jiān)管、事中監(jiān)管和事后監(jiān)管三個(gè)方面構(gòu)建了中國(guó)系統(tǒng)重要性銀行監(jiān)管體系,同時(shí)在最后一節(jié)得出本文結(jié)論。 整篇論文采用了多種方法綜合進(jìn)行。在對(duì)系統(tǒng)重要性銀行的監(jiān)管理論進(jìn)行梳理的基礎(chǔ)上,采用市場(chǎng)分析法(CoVaR)和指標(biāo)體系法(Index method)構(gòu)建模型評(píng)估系統(tǒng)重要性銀行；采用系統(tǒng)聚類法識(shí)別出中國(guó)系統(tǒng)重要性銀行；應(yīng)用Excel邏輯函數(shù)對(duì)系統(tǒng)重要性銀行的信息科技風(fēng)險(xiǎn)進(jìn)行了度量和研究；采用函數(shù)推導(dǎo)和Panel Data模型對(duì)系統(tǒng)重要性銀行的有效性進(jìn)行探索性的分析等。通過(guò)各種定性和定量的方法對(duì)系統(tǒng)重要性銀行的評(píng)估、識(shí)別、現(xiàn)狀、風(fēng)險(xiǎn)以及監(jiān)管有效性等一系列問(wèn)題進(jìn)行分析和研究,最后提出了從事前、事中、事后三個(gè)層次構(gòu)建我國(guó)系統(tǒng)重要性銀行的監(jiān)管體系的政策建議。旨在對(duì)系統(tǒng)重要性銀行進(jìn)行全方位的研究,為監(jiān)管當(dāng)局提供簡(jiǎn)便易操作的的監(jiān)管思路和方法,彌補(bǔ)我國(guó)在系統(tǒng)重要性銀行監(jiān)管方面的缺失。
[Abstract]:Change of the new generation of international financial supervision is the systemic risk into a new regulatory framework for the establishment of macro prudential supervision system in the world, especially to strengthen the supervision of systemically important financial institutions, improve the supervision strength and effectiveness, reduce the "too big to fail" caused by moral hazard and systemically important financial institutions for global the financial industry a huge risk of infectious and influence; at the same time, Chinese financial industry bigger and stronger in the self development of the road structure changes encountered bottleneck, years of operation mode due to financial institutions and improve the efficiency of the business service model innovation, and in the process to change the operation mode in the imperfect financial the system also faces more severe challenges. The financial holding company as the main tool of mixed operation, in addition to the traditional commercial banking business, set up a subsidiary foot card Ticket, insurance, trust and other activities, increase the financial assets, increase the complexity of the business, making it once at risk, it is possible to have a huge impact on the entire financial system. In such a background of domestic financial development, has very important practical significance of risk prevention and supervision system of China the importance of the bank.
The financial crisis exposed of systemically important financial institutions lack of supervision, the supervision authorities in the prevention of the new regulatory framework more focus on systemic risk. All countries in the face of current difficulties but also in thinking: global financial supervision and how to improve the national financial supervision, how is such a follow up. A simple and clear problem based on this article launches the research on the supervision of systemically important banks. China's large commercial banks in the financial institutions of the banking assets accounted for nearly 50%, and the banking industry is China's financial industry is the main force, although the development of faster, but the inherent fragility of the robust so remain. Management of large commercial banks in relation to the stability of the entire financial industry. At present, the organization of international supervision promulgated a number of regulatory policies, and strengthen the supervision of systemically important financial institutions system Of the regulatory authorities in China also in compliance with global regulatory institutional arrangements and actively explore suitable for China's regulatory strategy. Based on the review of the relevant literature and theory on the financial supervision policy focuses on the change regulation of global systemically important financial institutions as well as in China in recent years, through the identification of the method of the importance of banking system, risk management system and the importance of the effectiveness of banking supervision of systemically important banks established by ex ante supervision, supervision and supervision in three aspects of the importance of our system of banking supervision framework.
The framework of this paper is divided into six parts, the specific contents are as follows:
The first chapter is foreword: the introduction involves the background significance of the topic selection, the theoretical basis and literature review, the research ideas and structure of the thesis, and the research methods and innovations of the thesis.
The second chapter of the financial crisis the global financial regulatory framework changes: the purpose of this chapter is on the financial crisis exposed the lack of supervision, and the contents of global regulatory framework reform, is to lead a global regulatory framework for change of systemic risk and pay more attention to the importance of financial institutions supervision system of specific measures, the direction of China the reform of financial supervision and review on the financial crisis on China's banking industry and the impact of the crisis.
The third chapter China assessment and identification of systemically important banks: assessment and recognition of the importance of banking system is the precondition of effective supervision on them, this chapter is intended to establish evaluation methods for systemically important banks in line with the status quo of the development of China's banking industry. Based on the domestic and foreign banks in the system the importance of evaluation methods in this chapter, take market analysis (CoVaR) and the index system method (Index method) to construct evaluation model of systemically important banks, and by comparing the results of the two, finally on the basis of the index system the method of system clustering method to identify the importance of banking system in China combined and divided into a systemically important banks (A-SIBS) and B the importance of banking system (B-SIBS).
The current situation of the development of the fourth chapter Chinese systemically important banks and risk: this chapter the third chapter evaluation results, firstly from two aspects at home and abroad were compared and analyzed the status of our country was named Global systemically important banks Chinese banks and ICBC in the importance of the global banking system in the domestic and the importance of system the bank intends to become the current situation of the development of A-SIBS and the importance of banking system of bank B-SIBS, and on the basis of summarizing the main risks facing the Chinese systemically important banks, especially in the current Internet information technology under the financial risks are studied in detail, in order to further improve the risk management framework.
The fifth chapter China system the importance of the effectiveness of banking supervision: exploratory analysis purpose of this chapter is on Chinese systemically important banks regulatory effect. This chapter through the function derived the mathematical relation between risk and benefit, combined with Panel Data simulation has been the effective area composed of regulatory capital adequacy ratio and liquidity ratio. And was described according to the current capital regulatory framework and liquidity regulatory framework for systemically important banks supervision effectiveness.
The sixth chapter is the structure of our system and the importance of the banking supervision system: this chapter puts forward the risk prevention and supervision system Chinese the importance of the bank's policy recommendations, and in the supervision, regulation and supervision in three aspects to construct the supervision system of Chinese systemically important banks, the thesis draws a conclusion in the last section at the same time.
This paper uses a variety of methods. On the foundation of combing the importance of bank supervision system on the theory of the market analysis method (CoVaR) and the index system method (Index method) to construct evaluation model of the importance of banking system; uses the system clustering method to identify Chinese systemically important banks; application of Excel logic function of information technology risk the importance of banking system for the measurement and research; the function is derived and Panel Data model on the effectiveness of systemically important banks are discussed and analyzed. Through various methods of qualitative and quantitative assessment of the importance of banking system identification, the status quo, analysis and research of a series of problems and risk supervision effectiveness, finally put forward in before the matter, after the construction of China's system of the importance of the bank's supervision system of three levels in order to policy recommendations. The importance of banks has been studied in an all-round way, which provides simple and operational supervision ideas and methods for regulatory authorities to make up for the lack of systemically important banking supervision in China.

【學(xué)位授予單位】：南開大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.33
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本文編號(hào)：1663053