本文選題：上市商業(yè)銀行 + 市場風險��； 參考：《南京大學》2014年碩士論文

【摘要】：2007年美國次貸危機引發(fā)的金融危機給全球商業(yè)銀行敲響了警鐘,同時也讓銀行認識到壓力測試的重要性,而不僅僅是依賴VaR模型。壓力測試主要具有在極端情況下量化銀行的風險暴露進而建立起風險因素與銀行財務狀況關(guān)聯(lián)性的功能,目前,國際銀行業(yè)及風險管理組織都著力強調(diào)壓力測試的重要性,并作為當前市場風險管理的重點。隨著我國的利率和匯率的不穩(wěn)定性風險越來越大,以及我國商業(yè)銀行業(yè)務規(guī)模不斷擴大,壓力測試在我國商業(yè)銀行市場風險管理中的地位也越來越重要。目前我國商業(yè)銀行壓力測試主要用于信用風險的實證分析,在市場風險壓力測試方面的研究相對較少。在這樣的背景下,本文主要針對我國16家上市商業(yè)銀行的市場風險進行壓力測試實證研究,以期為今后我國商業(yè)銀行在進行市場風險壓力測試方面提供一些參考。通過對以往文獻的回顧,發(fā)現(xiàn)我國學者在壓力測試方面主要關(guān)注壓力測試理論、國外研究經(jīng)驗借鑒和信用風險實證上,在市場風險壓力測試方面的研究卻相對比較少,因此本文主要以我國目前16家上市銀行為樣本,對其利率和匯率風險進行分析,并通過壓力測試進行實證。通過對市場風險壓力測試模型的回顧與分析,在利率風險壓力測試方面,本文主要利用利率敏感性缺口中的再定價缺口模型來分析銀行利率風險；在匯率風險壓力測試方面,本文主要利用匯率敏感性缺口模型中的凈匯總敞口(NAP)模型來分析銀行匯率風險。本文根據(jù)我國2002年至2012年間的利率走勢情況以及2005年4月至2013年12月人民幣對美元匯率走勢情況來分別分析確定利率和匯率風險壓力測試的情景,并以此為基礎對16家上市商業(yè)銀行市場風險進行壓力測試實證研究。通過實證分析結(jié)果發(fā)現(xiàn),在利率風險方面,包括交通銀行在內(nèi)的五大國有商業(yè)銀行面臨的極端利率風險普遍高于其他股份制商業(yè)銀行,這與目前我國國有商業(yè)銀行主要仍依賴于存貸差盈利的模式有關(guān),在未來的利率市場化過程中,國有商業(yè)銀行應當重視其面臨的利率風險,并有效改善自己的盈利結(jié)構(gòu),避免嚴重的利率風險；而在匯率風險方面,持有大量外匯的工商銀行和中國銀行面臨的匯率風險遠高于其他銀行,中國銀行主要由于其外匯業(yè)務的特殊性而面臨高匯率風險,而工商銀行近年來所持外匯數(shù)量不斷攀升,一旦匯率風險激增,那么其匯率風險將可能超過中國銀行,在未來的發(fā)展過程中,工商銀行應予以重視�？傮w來講,匯率風險總體上對我國一般商業(yè)銀行的影響較小。
[Abstract]:The financial crisis triggered by the U.S. subprime mortgage crisis in 2007 sounded alarm bells for commercial banks around the world, but also made banks realize the importance of stress testing, not just relying on VaR models. Stress testing mainly has the function of quantifying the risk exposure of banks in extreme circumstances and establishing the correlation between risk factors and banks' financial situation. At present, international banking and risk management organizations emphasize the importance of stress testing. And as the current focus of market risk management. With the increasing risk of instability of interest rate and exchange rate and the expansion of commercial bank business in China, stress testing plays an increasingly important role in the market risk management of commercial banks in China. At present, the stress test of commercial banks in China is mainly used in the empirical analysis of credit risk, but the research on market risk stress test is relatively few. In this context, this paper mainly focuses on the market risk of 16 listed commercial banks in China to carry out empirical research on the market risk, in order to provide some references for the future market risk testing of Chinese commercial banks. By reviewing the previous literatures, it is found that Chinese scholars mainly pay attention to the theory of stress testing in the field of stress testing, while foreign research experiences and credit risk empirical studies are relatively few in the field of market risk stress testing. Therefore, this paper mainly takes 16 listed banks as samples, analyzes the interest rate and exchange rate risk, and carries on the demonstration through the stress test. Through the review and analysis of the market risk stress test model, this paper mainly uses the repricing gap model in the interest rate sensitivity gap to analyze the bank interest rate risk, and in the exchange rate risk pressure test, the paper mainly uses the repricing gap model in the interest rate sensitivity gap to analyze the bank interest rate risk. In this paper, the net aggregate exposure (NAP) model in the gap model of exchange rate sensitivity is used to analyze the exchange rate risk of banks. According to the trend of interest rate in China from 2002 to 2012 and the trend of RMB exchange rate against US dollar from April 2005 to December 2013, this paper analyzes the situation of interest rate and exchange rate risk stress test respectively. On the basis of this, the market risk of 16 listed commercial banks is tested empirically. Through empirical analysis, it is found that, in terms of interest rate risk, the extreme interest rate risk faced by five state-owned commercial banks, including Bank of Communications, is generally higher than that of other joint-stock commercial banks. This is related to the mode that the state-owned commercial banks still rely on the profit of deposit and loan. In the future interest rate marketization process, the state-owned commercial banks should pay attention to the interest rate risk they face and improve their profit structure effectively. In terms of exchange rate risks, ICBC and Bank of China, which hold a large amount of foreign exchange, face much higher exchange rate risks than other banks. The Bank of China faces high exchange rate risks mainly because of the particularity of its foreign exchange operations. The amount of foreign exchange held by ICBC has been rising in recent years. Once the exchange rate risk surges, the exchange rate risk will probably exceed that of Bank of China. In the future development process, ICBC should pay attention to it. Generally speaking, exchange rate risk has little influence on Chinese commercial banks.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33

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