本文選題：商業(yè)銀行 + 系統(tǒng)性風險　； 參考：《南京師范大學》2014年碩士論文

【摘要】：自2007年美國次債危機以及2009年的歐洲債務危機以來,全球金融的穩(wěn)定成為最受關注的問題之一,而銀行業(yè)作為金融體系的核心,其系統(tǒng)性風險的防范和控制提上了議事日程,趨于統(tǒng)一的金融監(jiān)管協(xié)調(diào)迫在眉睫。在學術研究上,國內(nèi)外學者從不同的理論基礎分析了系統(tǒng)性風險產(chǎn)生的原因,從多角度探討系統(tǒng)性風險的識別、度量、控制、管理等。但由于研究方法、研究對象等方面的不同,得出的結(jié)論也不盡相同。 隨著我國金融市場的發(fā)展、銀行業(yè)機構(gòu)日益復雜、金融產(chǎn)品的不斷創(chuàng)新,地方性政府債務的擴大以及外在經(jīng)濟沖擊等,我國商業(yè)銀行業(yè)發(fā)生系統(tǒng)性風險的可能性加大。但是,我國銀行業(yè)風險呈現(xiàn)其獨有的特點,銀行以其所享有的國家信譽為隱性擔保。本文利用我國商業(yè)銀行行業(yè)樣本數(shù)據(jù)構(gòu)建適合國情的、準確的系統(tǒng)性風險度量模型,為我國商業(yè)銀行的系統(tǒng)性風險的全面管理提供技術支持。 本文的結(jié)構(gòu)是：首先,在前人已有文獻研究的基礎上,界定系統(tǒng)性風險的定義并且總結(jié)系統(tǒng)性風險的特征,主要分析系統(tǒng)性風險的生成機制、傳染機制。其次,闡述我國銀行業(yè)系統(tǒng)性風險的現(xiàn)狀,從產(chǎn)權(quán)制度和風險管理制度方面,剖析我國銀行業(yè)系統(tǒng)性風險產(chǎn)生的特殊原因以及風險傳染路徑。再次,本文以我國商業(yè)銀行2006年一季度-2013年一季度數(shù)據(jù)為研究樣本,理論與實證相結(jié)合地研究影響銀行系統(tǒng)性風險的內(nèi)生、外生因素。運用主成分分析法進行數(shù)據(jù)處理,提取出不相關的公因子,來構(gòu)建我國特色的銀行業(yè)系統(tǒng)性風險的測度模型。結(jié)果表明：我國商業(yè)銀行系統(tǒng)性風險的主導因素在于資本充足水平、資產(chǎn)質(zhì)量、流動性水平、盈利能力。此外,宏觀的政策和貨幣風險水平對系統(tǒng)性財務風險也有一定的影響。最后,總結(jié)國際金融監(jiān)管巴塞爾協(xié)議的發(fā)展,借鑒發(fā)達國家和地區(qū)的系統(tǒng)性風險的監(jiān)管經(jīng)驗,提出我國銀行業(yè)系統(tǒng)性風險防范的總體思路和控制措施,健全宏微觀審慎監(jiān)管制度以及構(gòu)建我國銀行業(yè)的金融安全網(wǎng)。
[Abstract]:Since the sub-prime crisis in the United States in 2007 and the European debt crisis in 2009, global financial stability has become one of the most concerned issues. As the core of the financial system, the banking industry has put the prevention and control of systemic risk on the agenda. The harmonization of financial supervision is imminent. In academic research, scholars at home and abroad analyze the causes of systemic risk from different theoretical bases, and discuss the identification, measurement, control and management of systemic risk from various angles. However, due to the different research methods, research objects and other aspects, the conclusions are not the same. With the development of our financial market, the increasingly complex banking institutions, the continuous innovation of financial products, the expansion of local government debt and the external economic impact, the possibility of systemic risks in our commercial banking industry has increased. However, the banking risk of our country presents its unique characteristic, the bank takes the national credit as the recessive guarantee. Based on the sample data of commercial banks in China, this paper constructs an accurate systematic risk measurement model, which is suitable for the national conditions, and provides technical support for the overall management of the systemic risks of commercial banks in China. The structure of this paper is as follows: firstly, on the basis of the previous literatures, we define the definition of systemic risk and summarize the characteristics of systemic risk, mainly analyze the mechanism of generating systemic risk and the mechanism of infection. Secondly, the paper expounds the present situation of banking systemic risk in China, and analyzes the special causes and risk contagion path of banking systemic risk in China from the aspects of property right system and risk management system. Thirdly, taking the data of Chinese commercial banks from the first quarter of 2006 to the first quarter of 2013 as the research sample, this paper studies the endogenous and exogenous factors that affect the systemic risk of the banks. The principal component analysis (PCA) is used to process the data and extract the unrelated common factors to construct the systematic risk measurement model of banking industry with Chinese characteristics. The results show that the dominant factors of commercial banks' systemic risk are capital adequacy level, asset quality, liquidity level and profitability. In addition, macro policies and monetary risk levels also have a certain impact on systemic financial risk. Finally, the paper summarizes the development of Basel Agreement on International Financial Supervision, draws lessons from the experience of the supervision of systemic risk in developed countries and regions, and puts forward the general ideas and control measures for the prevention of systemic risk in China's banking industry. Improve macro-micro-prudential supervision system and build a financial safety net for China's banking industry.
【學位授予單位】：南京師范大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.33

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