本文關鍵詞： 銀行風險 資本結構 因子分析 固定效應模型　出處：《吉林大學》2017年碩士論文　論文類型：學位論文

【摘要】：商業(yè)銀行在我國金融體系中處于核心地位,對維持經濟穩(wěn)健發(fā)展發(fā)揮著至關重要的作用。而商業(yè)銀行是經營貨幣資本的特殊企業(yè),其存在和發(fā)展必須與風險相伴。資本結構作為銀行的重要特征,不僅影響銀行的價值創(chuàng)造,更在一定程度上影響其抵御風險的能力。隨著金融市場的改革和發(fā)展,我國商業(yè)銀行的資本結構正在經歷一系列的變化,這將成為完善資本結構以增強風險防范能力、提升銀行競爭力的一個重要契機。本文研究的資本結構包括兩方面的含義。一是銀行債務資本和權益資本之間的比例關系,即融資結構;二是銀行債權資本和股權資本各自內部的構成比例關系,即股權結構和債務結構。本文首先從理論上分析資本結構對銀行風險的影響機理,然后從信用風險、流動性風險和風險抵補能力三個維度選取不良貸款率、流動性比例、資本充足率等8個風險指標,應用因子分析的方法得到風險綜合得分。在此基礎上,應用面板數據建立固定效應模型檢驗資本結構如何影響銀行風險。在衡量指標的選擇方面,本文的風險代理指標為經因子分析方法計算的風險綜合得分,而資本結構變量從融資結構、股權結構和債務結構三個方面選擇具有代表性的指標;在回歸模型的設定方面,本文在資本結構的框架下,針對股權結構和債務結構進行更深入的研究。在股權結構方面不僅研究不同控股股東性質和股權集中度對風險的影響,而且對其交互作用進行分析。在債務結構方面,檢驗了存款負債比的非線性影響和次級債的市場約束作用。通過對實證結果的分析,結合相關理論,本文從融資結構、股權結構、債務結構三個方面提出政策建議。在融資結構方面,銀行應降低負債權益比,適當提升內源性融資比例;在股權結構方面,銀行應增加多種性質股東,多元化投資主體,保持適度分散的股權結構。另外,對控股股東不同銀行應進行差異化管理。具體來說,政府控股銀行、國企控股銀行應避免出現(xiàn)過高的股權集中度,而其他性質法人控股銀行可在現(xiàn)有的較分散的股權結構的基礎上適當增加股權集中度,降低風險;在債務結構方面,銀行應選擇適當的存款負債率并發(fā)行次級債,豐富債務結構,降低其面臨的風險水平。
[Abstract]:Commercial banks are at the core of the financial system in China and play a vital role in maintaining the steady development of the economy. However, commercial banks are special enterprises operating monetary capital. Its existence and development must be accompanied by risk. As an important characteristic of banks, capital structure not only affects the value creation of banks. With the reform and development of financial market, the capital structure of commercial banks in China is undergoing a series of changes. This will become to improve the capital structure to enhance risk prevention capacity. The capital structure studied in this paper includes two meanings. One is the proportional relationship between bank debt capital and equity capital, that is, the financing structure; The second is the proportion relationship between creditor's capital and equity capital, that is, equity structure and debt structure. Firstly, this paper analyzes the influence mechanism of capital structure on bank risk in theory, and then analyzes the credit risk from the perspective of credit risk. The three dimensions of liquidity risk and risk offset ability choose non-performing loan ratio, liquidity ratio, capital adequacy ratio and other eight risk indicators, and use factor analysis method to get risk comprehensive score. Using panel data to establish a fixed effect model to test how the capital structure affects the risk of banks. In the selection of indicators, the risk agent index is calculated by factor analysis method of risk synthesis score. The capital structure variable selects the representative index from the financing structure, the equity structure and the debt structure. In terms of the establishment of regression model, this paper is based on the framework of capital structure. In the aspect of equity structure, we not only study the influence of different controlling shareholder nature and ownership concentration on risk. In terms of debt structure, the nonlinear effect of deposit to debt ratio and the market constraint of secondary debt are tested. Through the analysis of empirical results, combined with the relevant theory. This paper puts forward some policy suggestions from three aspects: financing structure, equity structure and debt structure. In the aspect of financing structure, banks should reduce the ratio of debt to equity and increase the proportion of endogenous financing. In the aspect of equity structure, banks should increase many kinds of shareholders, diversify investment subjects and maintain moderately dispersed equity structure. In addition, different banks with controlling shareholders should be managed differently. The government holding bank, the state-owned enterprise holding bank should avoid the excessively high equity concentration degree, but other nature legal person holding bank may increase the stock right concentration degree and reduce the risk on the basis of the existing more dispersed equity structure; In the aspect of debt structure, banks should choose appropriate deposit debt ratio and issue subordinated debt to enrich the debt structure and reduce the risk level.
【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.33;F830.42

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